# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001410368-26-018846
**Filing Date:** 2026-2
**Character Count:** 265845
**Document Hash:** a9a41a3df707f3fdbc7efd892a5812ac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-018846.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001410368-26-018846

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 26684818

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Variable Series Trust
- **DATE OF NAME CHANGE:** 20070920

## Series and Classes Contracts Data

### CTIVP - American Century Diversified Bond Fund (Series ID: S000028684)

| Class ID   | Class Name                                             | Ticker Symbol   |
|:---|:---|:---|
| C000087786 | CTIVP - American Century Diversified Bond Fund Class 1 |  |
| C000087787 | CTIVP - American Century Diversified Bond Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Columbia Funds Variable Series Trust II

- **b. Investment Company Act file number:** 811-22127

- **c. CIK number of Registrant:** 0001413032

- **d. LEI of Registrant:** 54930017CSZ4UCL7G406

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

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 800-345-6611

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

- **a. Name of Series:** CTIVP - American Century Diversified Bond Fund

- **b. EDGAR series identifier (if any):** S000028684

- **c. LEI of Series:** BU04ZZ3Q2TRF08VKW804

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3669741842.39

**Total Liabilities:** $237037732.78

**Net Assets:** $3432704109.61

**Delayed Delivery Securities:** $233865980.45

**Cash Not Reported:** $1.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 122890.12000000 | **1-Year:** 13928.42000000 | **5-Year:** 118545.67000000 | **10-Year:** 266595.89000000 | **30-Year:** 674279.56000000

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

- **3-Month:** 0.00000000 | **1-Year:** 9350.82000000 | **5-Year:** 99592.38000000 | **10-Year:** 48912.19000000 | **30-Year:** 72859.04000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087786 | 0.65%                | 0.54%                | 0.00%                |
| Class ID C000087787 | 0.65%                | 0.54%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5694888.65              | $424133.92                                 |
| Month 2  | $3080416.12              | $4664180.16                                |
| Month 3  | $1454240.97              | $-9562736.77                               |

**Designated Index Information**

- **Index Name:** BBG U.S. Aggregate Index

- **Index Identifier:** LEH_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMERICAN AIRLINES/AADVAN                                              | American Airlines Inc/AAdvantage Loyalty IP Ltd                              | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |        83 | PA      | $82.80        | 0.00%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                              | Acadia Healthcare Co Inc                                                     | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |   5365000 | PA      | $5161491.74   | 0.15%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                                    | Advance Auto Parts Inc                                                       | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |    389000 | PA      | $391628.19    | 0.01%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                                    | Advance Auto Parts Inc                                                       | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |   5555000 | PA      | $5590657.25   | 0.16%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                        | Air Lease Corp                                                               | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   6495000 | PA      | $6410398.79   | 0.19%             | 2026-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                                         | Aircastle Ltd                                                                | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |  13285000 | PA      | $13242476.71  | 0.39%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                                       | Aligned Data Centers Issuer LLC                                              | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6300000 | PA      | $6190006.41   | 0.18%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY CORP                                                   | Alliant Energy Corp                                                          | CUSIP: 018802AF5<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |   5530000 | PA      | $5519914.88   | 0.16%             | 2056-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                              | Allison Transmission Inc                                                     | CUSIP: 019736AH0<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |   6600000 | PA      | $6694063.97   | 0.20%             | 2033-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                             | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  56380000 | PA      | $52118464.70  | 1.52%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                             | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 121729000 | PA      | $121386637.19 | 3.54%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                             | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  42530000 | PA      | $43124679.55  | 1.26%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                 | American Airlines Inc                                                        | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |   3310000 | PA      | $3383045.32   | 0.10%             | 2028-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                              | American Assets Trust LP                                                     | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |   6870000 | PA      | $6264260.22   | 0.18%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                               | American Electric Power Co Inc                                               | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1657977.75   | 0.05%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                               | American Electric Power Co Inc                                               | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   3763000 | PA      | $3699976.86   | 0.11%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                | American Honda Finance Corp                                                  | CUSIP: 02665WEY3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   4690000 | PA      | $4690546.81   | 0.14%             | 2026-01-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                   | American Tower Corp                                                          | CUSIP: 03027XCP3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   2626000 | PA      | $2693332.99   | 0.08%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                             | Amgen Inc                                                                    | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   4140000 | PA      | $4060884.73   | 0.12%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                                         | Amphenol Corp                                                                | CUSIP: 032095BA8<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $3971487.05   | 0.12%             | 2036-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_19-5                                    | ANGEL OAK MORTGAGE TRUST AOMT_19-5                                           | CUSIP: 03464KAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4852564.50   | 0.14%             | 2049-10-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                              | Angel Oak Mortgage Trust 2024-3                                              | CUSIP: 03466HAA1<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |   2211370 | PA      | $2209624.88   | 0.06%             | 2068-11-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                                      | Antares Holdings LP                                                          | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   6690000 | PA      | $6821909.81   | 0.20%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                                 | Antero Resources Corp                                                        | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |   2538000 | PA      | $2577070.14   | 0.08%             | 2029-02-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                         | AppLovin Corp                                                                | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1028000 | PA      | $1054416.76   | 0.03%             | 2029-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                         | AppLovin Corp                                                                | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1951000 | PA      | $2021028.60   | 0.06%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                         | AppLovin Corp                                                                | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   3305000 | PA      | $3395633.76   | 0.10%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                       | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                       | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4917361 | PA      | $4917414.09   | 0.14%             | 2036-11-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                                   | Arbor Realty SR Inc                                                          | CUSIP: 03881NAL1<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              |  | US        |   3515000 | PA      | $3501877.45   | 0.10%             | 2028-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FU                                              | Ares Strategic Income Fund                                                   | CUSIP: 04020EAG2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2339392.66   | 0.07%             | 2028-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                | Arizona Public Service Co                                                    | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |   2771000 | PA      | $2915277.25   | 0.08%             | 2034-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                   | Ashtead Capital Inc                                                          | CUSIP: 045054AR4<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   4998000 | PA      | $5289060.22   | 0.15%             | 2033-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                              | Ashton Woods USA LLC / Ashton Woods Finance Co                               | CUSIP: 045086AR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3423000 | PA      | $3429538.61   | 0.10%             | 2033-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO                                                | Asurion LLC and Asurion Co-Issuer Inc                                        | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2206177.22   | 0.06%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                 | Athene Global Funding                                                        | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2865000 | PA      | $2935502.17   | 0.09%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                                                  | Atlas Warehouse Lending Co LP                                                | CUSIP: 049463AE2<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |   5578000 | PA      | $5872862.98   | 0.17%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                                                  | Atlas Warehouse Lending Co LP                                                | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |   4320000 | PA      | $4333796.14   | 0.13%             | 2030-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AVILEASE CAPITAL LTD                                                  | Avilease Capital Ltd                                                         | CUSIP: 05370HAA1<br>LEI: 635400SXOPVAVBWNE366 | Long             | DBT              | CORP              | KY        |   5875000 | PA      | $5834692.17   | 0.17%             | 2030-11-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                           | Barclays Commercial Mortgage Trust 2019-C5                                   | CUSIP: 05492JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360754 | PA      | $1787459.53   | 0.05%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                           | BBCMS 2019-BWAY Mortgage Trust                                               | CUSIP: 05492NAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8236000 | PA      | $41180.00     | 0.00%             | 2034-11-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| BBVA MEX BANCA GRUPO TX                                               | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX | CUSIP: 05533UAF5<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   5490000 | PA      | $5382088.01   | 0.16%             | 2033-01-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                           | BBCMS Mortgage Trust 2024-5C27                                               | CUSIP: 05555FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10672000 | PA      | $11236022.67  | 0.33%             | 2057-07-15      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                           | BNP Paribas SA                                                               | CUSIP: 05565A5R0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  16156000 | PA      | $17188016.22  | 0.50%             | 2028-08-14      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                      | CUSIP: 05578QAH6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   5790000 | PA      | $5283902.20   | 0.15%             | 2037-01-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                                              | Banco Bilbao Vizcaya Argentaria SA                                           | CUSIP: 05946KAF8<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   5200000 | PA      | $5240937.96   | 0.15%             | 2027-11-16      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                    | Banco Santander SA                                                           | CUSIP: 05971KAH2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  17200000 | PA      | $17081128.87  | 0.50%             | 2026-11-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                              | Banco Mercantil del Norte SA/Grand Cayman                                    | CUSIP: 05971PAB4<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |   2598000 | PA      | $2669972.43   | 0.08%             | 2029-06-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                              | Banco Mercantil del Norte SA/Grand Cayman                                    | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |   4076000 | PA      | $4046494.71   | 0.12%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FIEMEX ENERGIA - BANC AC                                              | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple             | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3221130 | PA      | $3380706.90   | 0.10%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Bank                                                                  | BANK 2018-BNK15                                                              | CUSIP: 06036FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1729000 | PA      | $1431746.17   | 0.04%             | 2061-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                  | Bank of America Corp                                                         | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5370000 | PA      | $5608698.42   | 0.16%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                      | Bank of Montreal                                                             | CUSIP: 06368LQ58<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3271000 | PA      | $3478696.15   | 0.10%             | 2084-05-26      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                   | Bank of Nova Scotia/The                                                      | CUSIP: 0641598S8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   6892000 | PA      | $7311062.17   | 0.21%             | 2082-10-27      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                   | Bank of Nova Scotia/The                                                      | CUSIP: 0641598V1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   4550000 | PA      | $4869813.59   | 0.14%             | 2084-01-27      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                                  | BANK 2019-BNK17                                                              | CUSIP: 065403AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215000 | PA      | $1895233.08   | 0.06%             | 2052-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                                  | BANK 2021-BNK36                                                              | CUSIP: 06540DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2212104 | PA      | $1659871.26   | 0.05%             | 2064-09-15      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | Barclays PLC                                                                 | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   9798000 | PA      | $10426354.23  | 0.30%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                              | Baxter International Inc                                                     | CUSIP: 071813DD8<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1303653.32   | 0.04%             | 2030-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                              | Baxter International Inc                                                     | CUSIP: 071813DE6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   1817000 | PA      | $1843037.64   | 0.05%             | 2035-12-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BEACON FUNDING TRUST                                                  | Beacon Funding Trust                                                         | CUSIP: 073952AB9<br>LEI: 984500A80A2EBF5A7C93 | Long             | DBT              | CORP              | US        |   2905000 | PA      | $2951244.53   | 0.09%             | 2054-08-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                  | Beignet Investor LLC                                                         | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1566000 | PA      | $1657871.62   | 0.05%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                              | Benchmark 2018-B5 Mortgage Trust                                             | CUSIP: 08160BAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5659000 | PA      | $4496038.15   | 0.13%             | 2051-07-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                              | Benchmark 2020-B16 Mortgage Trust                                            | CUSIP: 08161NAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4287000 | PA      | $3250119.60   | 0.09%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                              | Benchmark 2021-B31 Mortgage Trust                                            | CUSIP: 08163MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1821000 | PA      | $1209953.07   | 0.04%             | 2054-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BIOCON BIOLOGICS GLOBAL                                               | Biocon Biologics Global PLC                                                  | CUSIP: 090978AA5<br>LEI: 254900PMQN51VACG2D55 | Long             | DBT              | CORP              | GB        |   3565000 | PA      | $3587627.52   | 0.10%             | 2029-10-09      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                                | Blackstone Private Credit Fund                                               | CUSIP: 09261HBN6<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   4475000 | PA      | $4566535.71   | 0.13%             | 2029-07-16      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINA                                              | Blue Owl Technology Finance Corp                                             | CUSIP: 095924AA4<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |   9035000 | PA      | $9085808.35   | 0.26%             | 2028-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                             | Boeing Co/The                                                                | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4700000 | PA      | $4803071.06   | 0.14%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                                   | Braskem Netherlands Finance BV                                               | CUSIP: 10554TAB1<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |   1756000 | PA      | $726356.32    | 0.02%             | 2028-01-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                                   | Braskem Netherlands Finance BV                                               | CUSIP: 10554TAD7<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |  10980000 | PA      | $4268600.64   | 0.12%             | 2030-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                       | BRAVO Trust 2025-SR1                                                         | CUSIP: 10567UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11055203 | PA      | $10722215.54  | 0.31%             | 2045-03-25      | Variable      | 3.00%                 | 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        |   4484219 | PA      | $4540320.36   | 0.13%             | 2064-02-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                       | BRAVO Residential Funding Trust 2024-NQM1                                    | CUSIP: 10570FAB1<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |   1457712 | PA      | $1468657.70   | 0.04%             | 2063-12-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                       | BRAVO Residential Funding Trust 2024-CES1                                    | CUSIP: 10570NAA6<br>LEI: 254900UJENIYH5UEYD42 | Long             | ABS-MBS          | CORP              | US        |   1365789 | PA      | $1383840.25   | 0.04%             | 2054-04-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                 | Brazil Government International Bonds                                        | CUSIP: 105756CL2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   8344000 | PA      | $8597496.41   | 0.25%             | 2035-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                       | Bravo Residential Funding Trust 2025-Nqm3                                    | CUSIP: 105927AC1<br>LEI: 254900KREJHICFBDC014 | Long             | ABS-MBS          | CORP              | US        |   2744162 | PA      | $2768963.85   | 0.08%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                               | Bristol-Myers Squibb Co                                                      | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   3460000 | PA      | $3401168.14   | 0.10%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BUCKHORN PARK CLO LTD BKPRK_19-1A                                     | BUCKHORN PARK CLO LTD BKPRK_19-1A                                            | CUSIP: 118382BE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11500000 | PA      | $11505037.00  | 0.34%             | 2034-07-18      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                              | Builders FirstSource Inc                                                     | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   9040000 | PA      | $8606589.53   | 0.25%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                | CCO Holdings LLC / CCO Holdings Capital Corp                                 | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11584000 | PA      | $11570830.36  | 0.34%             | 2027-05-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                     | CBRE Services Inc                                                            | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   3055000 | PA      | $3069272.51   | 0.09%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                                               | Capital Automotive REIT                                                      | CUSIP: 12510HAX8<br>LEI: N/A                  | Long             | ABS-O            |  | US        |   4708000 | PA      | $4643577.61   | 0.14%             | 2054-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                                  | CHNGE Mortgage Trust 2022-NQM1                                               | CUSIP: 12569CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3069742 | PA      | $3063189.69   | 0.09%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                    | CNA Financial Corp                                                           | CUSIP: 126117AZ3<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |   4757000 | PA      | $4781562.95   | 0.14%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                               | CNO Financial Group Inc                                                      | CUSIP: 12621EAL7<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |   5020000 | PA      | $5097287.86   | 0.15%             | 2029-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                               | CNO Financial Group Inc                                                      | CUSIP: 12621EAM5<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |   2017000 | PA      | $2134022.35   | 0.06%             | 2034-06-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                          | CSMC 2021-BHAR                                                               | CUSIP: 12659VAG5<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3281000 | PA      | $3254408.81   | 0.09%             | 2038-11-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                       | CVS Health Corp                                                              | CUSIP: 126650EE6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3775000 | PA      | $3794820.93   | 0.11%             | 2044-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                       | CVS Health Corp                                                              | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2254000 | PA      | $2364149.44   | 0.07%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                       | CVS Health Corp                                                              | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1667000 | PA      | $1706279.21   | 0.05%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                                 | Caesars Entertainment Inc                                                    | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   6076000 | PA      | $5832296.91   | 0.17%             | 2029-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| California State University                                           | CALIFORNIA ST UNIV REVENUE                                                   | CUSIP: 13077DKU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2250000 | PA      | $1502453.25   | 0.04%             | 2051-11-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                              | Capital One Financial Corp                                                   | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3910000 | PA      | $3423705.52   | 0.10%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                      | Carlisle Cos Inc                                                             | CUSIP: 142339AM2<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |   1926000 | PA      | $1950219.26   | 0.06%             | 2040-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                         | Carnival Corp                                                                | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   5531000 | PA      | $5442978.71   | 0.16%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                         | Carnival Corp                                                                | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   3511000 | PA      | $3552783.95   | 0.10%             | 2029-05-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CARPENTER TECHNOLOGY                                                  | Carpenter Technology Corp                                                    | CUSIP: 144285AN3<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1326557.81   | 0.04%             | 2034-03-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                                  | Castlelake Aircraft Securitization Trust 2018-1                              | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    796545 | PA      | $788580.23    | 0.02%             | 2043-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                              | Celanese US Holdings LLC                                                     | CUSIP: 15089QBC7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   4555000 | PA      | $4662147.84   | 0.14%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                          | Centene Corp                                                                 | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2812112.81   | 0.08%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                    | Cenovus Energy Inc                                                           | CUSIP: 15135UBB4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   2462000 | PA      | $2459061.44   | 0.07%             | 2036-03-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                  | Chart Industries Inc                                                         | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |   7288000 | PA      | $7604369.86   | 0.22%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                    | Chase Home Lending Mortgage Trust 2024-9                                     | CUSIP: 16160QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3783734 | PA      | $3797574.22   | 0.11%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                    | Chase Home Lending Mortgage Trust 2024-9                                     | CUSIP: 16160QAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125723 | PA      | $1125287.58   | 0.03%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                   | Cheniere Energy Inc                                                          | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $4047417.21   | 0.12%             | 2028-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                   | Citadel Finance LLC                                                          | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |   1454000 | PA      | $1484572.07   | 0.04%             | 2030-02-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                         | Citigroup Inc                                                                | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2339424.56   | 0.07%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                         | Citigroup Inc                                                                | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  14147000 | PA      | $14104755.13  | 0.41%             | 2026-02-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                         | Citigroup Inc                                                                | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3550000 | PA      | $3587231.08   | 0.10%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                         | Citigroup Inc                                                                | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1734437.69   | 0.05%             | 2056-03-04      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                     | Citigroup Mortgage Loan Trust 2024-1                                         | CUSIP: 17332CBP0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   4005183 | PA      | $4036366.47   | 0.12%             | 2054-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                     | Citigroup Mortgage Loan Trust 2024-CMI1                                      | CUSIP: 17332DAE4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   2263170 | PA      | $2264022.13   | 0.07%             | 2054-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                     | Citigroup Mortgage Loan Trust 2024-CMI1                                      | CUSIP: 17332DAL8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   6055680 | PA      | $6078854.68   | 0.18%             | 2054-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                   | Coinbase Global Inc                                                          | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |    945000 | PA      | $899258.04    | 0.03%             | 2028-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                              | Permian Resources Operating LLC                                              | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |   2026000 | PA      | $2035462.08   | 0.06%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                               | Colombia Government International Bonds                                      | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    562000 | PA      | $598662.27    | 0.02%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                               | Colombia Government International Bonds                                      | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    995000 | PA      | $1037311.89   | 0.03%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                      | COLT 2024-4 Mortgage Loan Trust                                              | CUSIP: 19688WAB4<br>LEI: 213800KKXAZ8LJ3W5A65 | Long             | ABS-MBS          | CORP              | US        |   5356750 | PA      | $5427469.05   | 0.16%             | 2069-07-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                         | COLUMBIA SHORT TERM CASH FUND                                                | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  83396553 | NS      | $83371534.19  | 2.43%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                                              | Columbia Pipelines Holding Co LLC                                            | CUSIP: 19828AAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3460000 | PA      | $3461053.03   | 0.10%             | 2032-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                               | Columbia Pipelines Operating Co LLC                                          | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3160000 | PA      | $3382675.92   | 0.10%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                  | Commercial Metals Co                                                         | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    345000 | PA      | $353718.84    | 0.01%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                | Commonwealth Edison Co                                                       | CUSIP: 202795KB5<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |   1183000 | PA      | $1228878.52   | 0.04%             | 2055-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CONCENTRIX CORP                                                       | Concentrix Corp                                                              | CUSIP: 20602DAB7<br>LEI: 5493000EAJN1KMPVA737 | Long             | DBT              | CORP              | US        |   8130000 | PA      | $8392824.51   | 0.24%             | 2028-08-02      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                      | Fannie Mae Connecticut Avenue Securities                                     | CUSIP: 20755RAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   5100000 | PA      | $5101581.00   | 0.15%             | 2044-09-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                      | Fannie Mae Connecticut Avenue Securities                                     | CUSIP: 207942AA1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1242457 | PA      | $1251867.99   | 0.04%             | 2043-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                              | Corebridge Financial Inc                                                     | CUSIP: 21871XAT6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2468000 | PA      | $2488780.91   | 0.07%             | 2054-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                         | CoreWeave Inc                                                                | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |   6728000 | PA      | $6257808.07   | 0.18%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae                                                                   | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17468000 | PA      | $17426713.16  | 0.51%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COTY/HFC PRESTIGE/INT US                                              | Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC         | CUSIP: 22207AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5155000 | PA      | $5198807.86   | 0.15%             | 2031-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                | Cox Communications Inc                                                       | CUSIP: 224044CS4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   2669000 | PA      | $2689934.94   | 0.08%             | 2033-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL 2019-C15 Commercial Mortgage Trust                                     | CUSIP: 22945DAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3555000 | PA      | $2921784.47   | 0.09%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                                    | CyrusOne Data Centers Issuer I LLC                                           | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12655000 | PA      | $12468141.33  | 0.36%             | 2049-03-22      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                                    | CyrusOne Data Centers Issuer I LLC                                           | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4194723.53   | 0.12%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DI Issuer LLC                                                         | DI Issuer LLC                                                                | CUSIP: 23292FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12241431 | PA      | $11767372.69  | 0.34%             | 2051-09-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                               | Dell International LLC / EMC Corp                                            | CUSIP: 24703TAN6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   1584000 | PA      | $1628891.01   | 0.05%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                              | Discovery Communications LLC                                                 | CUSIP: 25470DAR0<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   3161000 | PA      | $2925485.15   | 0.09%             | 2028-03-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                              | Discovery Communications LLC                                                 | CUSIP: 25470DBY4<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   4010000 | PA      | $3210511.95   | 0.09%             | 2037-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                              | Discovery Communications LLC                                                 | CUSIP: 25470DCA5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   7170000 | PA      | $6939343.52   | 0.20%             | 2029-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| DRESDNER FNDG TRUST I                                                 | Dresdner Funding Trust I                                                     | CUSIP: 26156FAA1<br>LEI: 549300ZEO4BKB37E3J03 | Long             | DBT              | CORP              | US        |   6170000 | PA      | $6779385.59   | 0.20%             | 2031-06-30      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                               | Dryden 43 Senior Loan Fund                                                   | CUSIP: 26245CBU6<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |  17500000 | PA      | $17368802.50  | 0.51%             | 2034-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_19-68A                                  | DRYDEN SENIOR LOAN FUND DRSLF_19-68A                                         | CUSIP: 26252QAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   6000000 | PA      | $6002766.00   | 0.17%             | 2035-07-15      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                              | Duke Energy Progress LLC                                                     | CUSIP: 26442UAR5<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1217524.10   | 0.04%             | 2053-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                              | Duke Energy Progress LLC                                                     | CUSIP: 26442UAT1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   3020000 | PA      | $3042614.18   | 0.09%             | 2027-03-06      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                               | Duke Energy Florida LLC                                                      | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2173427.36   | 0.06%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                               | Duke Energy Florida LLC                                                      | CUSIP: 26444HAU5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1717000 | PA      | $1712712.88   | 0.05%             | 2035-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                              | Electricite de France SA                                                     | CUSIP: 268317AC8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   4809000 | PA      | $5380464.82   | 0.16%             | 2039-01-26      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                               | Eni SpA                                                                      | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   3091000 | PA      | $3068189.91   | 0.09%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                        | EPR Properties                                                               | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |   5065000 | PA      | $5104485.79   | 0.15%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                              | Eagle Funding Luxco Sarl                                                     | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |  12412000 | PA      | $12640543.65  | 0.37%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS INC                                                   | Eagle Materials Inc                                                          | CUSIP: 26969PAC2<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |   3689000 | PA      | $3613560.49   | 0.11%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                                          | Eagle RE 2023-1 Ltd                                                          | CUSIP: 26982EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    804426 | PA      | $805417.17    | 0.02%             | 2033-09-26      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                                    | Eastern Energy Gas Holdings LLC                                              | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |   1489000 | PA      | $1441664.25   | 0.04%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                          | Ecopetrol SA                                                                 | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   5249000 | PA      | $5382074.42   | 0.16%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 24 Ltd                                                    | Elmwood CLO 24 Ltd                                                           | CUSIP: 290020AQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5550000 | PA      | $5549794.65   | 0.16%             | 2038-01-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| EMERA INC                                                             | Emera Inc                                                                    | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |   7364000 | PA      | $7407576.70   | 0.22%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                          | Enbridge Inc                                                                 | CUSIP: 29250NAN5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   8375000 | PA      | $8393947.93   | 0.24%             | 2077-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                    | Energy Transfer LP                                                           | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3345000 | PA      | $3290362.29   | 0.10%             | 2045-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                    | Energy Transfer LP                                                           | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4990000 | PA      | $4970500.67   | 0.14%             | 2028-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                    | Energy Transfer LP                                                           | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   8288000 | PA      | $8329702.08   | 0.24%             | 2026-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                    | Energy Transfer LP                                                           | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5744000 | PA      | $6302932.63   | 0.18%             | 2033-12-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ENERFLEX INC                                                          | Enerflex Inc                                                                 | CUSIP: 29281WAA6<br>LEI: 549300SQCOV1LC1GBK07 | Long             | DBT              | CORP              | US        |   1778000 | PA      | $1817635.68   | 0.05%             | 2031-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                              | Enterprise Products Operating LLC                                            | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1746000 | PA      | $1777043.68   | 0.05%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Escambia County Health Facilities Authority                           | ESCAMBIA CNTY FL HLTH FACS AUTH                                              | CUSIP: 296110GG8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2170000 | PA      | $1795587.12   | 0.05%             | 2040-08-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                      | Essent Group Ltd                                                             | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |   8445000 | PA      | $8819253.88   | 0.26%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                    | Essex Portfolio LP                                                           | CUSIP: 29717PBD8<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |   4300000 | PA      | $4221896.59   | 0.12%             | 2036-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EUSHI FINANCE INC                                                     | EUSHI Finance Inc                                                            | CUSIP: 29882DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3425000 | PA      | $3419318.60   | 0.10%             | 2056-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                              | F&G Annuities & Life Inc                                                     | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1464000 | PA      | $1524608.92   | 0.04%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                    | Meta Platforms Inc                                                           | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1812644.08   | 0.05%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                    | Meta Platforms Inc                                                           | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2725000 | PA      | $2603138.11   | 0.08%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                    | Meta Platforms Inc                                                           | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   5710000 | PA      | $5756855.29   | 0.17%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                    | Meta Platforms Inc                                                           | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3996933.16   | 0.12%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                    | Meta Platforms Inc                                                           | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   5140000 | PA      | $4941674.27   | 0.14%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FS Commerical Mortgage Trust 2023-4SZN                                | FS Commercial Mortgage Trust 2023-4SZN                                       | CUSIP: 30334RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5020000 | PA      | $5111410.69   | 0.15%             | 2039-11-10      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Gold Pool                                                        | CUSIP: 3128M5YL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185744 | PA      | $196623.54    | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DM5Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7617792 | PA      | $6762348.34   | 0.20%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DN3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13763248 | PA      | $13507956.11  | 0.39%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DNFZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4196509 | PA      | $3916340.75   | 0.11%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DNQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1516078 | PA      | $1413788.70   | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DNTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6466167 | PA      | $6532343.98   | 0.19%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DPM96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8075609 | PA      | $8335193.90   | 0.24%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DQQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10594013 | PA      | $9916868.95   | 0.29%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DS4N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12413447 | PA      | $12975443.82  | 0.38%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28667677 | PA      | $27399125.95  | 0.80%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4364404 | PA      | $4277595.26   | 0.12%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133BBGD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4494256 | PA      | $4306999.87   | 0.13%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133BBGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3928299 | PA      | $3667847.18   | 0.11%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KKB57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4171276 | PA      | $3539677.12   | 0.10%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9980665 | PA      | $8541263.52   | 0.25%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KMEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6935389 | PA      | $6173846.01   | 0.18%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8496060 | PA      | $6928968.08   | 0.20%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KNNV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9474412 | PA      | $8497390.38   | 0.25%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KPGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2549521 | PA      | $2433745.53   | 0.07%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KPMJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21049354 | PA      | $20172308.78  | 0.59%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KQDW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16457272 | PA      | $17021623.61  | 0.50%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3133KQE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2845158 | PA      | $2906518.23   | 0.08%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae REMICS                                                            | CUSIP: 3136BQFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47027286 | PA      | $5979594.61   | 0.17%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3138EGXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919256 | PA      | $899986.84    | 0.03%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99754 | PA      | $106363.88    | 0.00%             | 2039-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3138LSL65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404743 | PA      | $388661.93    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3138WF3X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1541532 | PA      | $1491541.28   | 0.04%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3138WFYH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372374 | PA      | $360105.95    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3138WJYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3630062 | PA      | $3397775.66   | 0.10%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3138YGYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115690 | PA      | $1059925.51   | 0.03%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 3138YL2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2246169 | PA      | $2134361.23   | 0.06%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae REMICS                                                            | CUSIP: 31394UJ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93059 | PA      | $92778.78     | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140FS6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653282 | PA      | $660015.53    | 0.02%             | 2047-03-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140FTAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636439 | PA      | $642471.46    | 0.02%             | 2047-04-01      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140MHUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3481463 | PA      | $3123875.43   | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140MKAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2582306 | PA      | $2474712.67   | 0.07%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140N24W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4180570 | PA      | $4131486.26   | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140N25N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3095503 | PA      | $3122050.69   | 0.09%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 3140QEY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  36516101 | PA      | $31587629.45  | 0.92%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QG5L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20439361 | PA      | $17612897.93  | 0.51%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QN4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13236991 | PA      | $12610511.93  | 0.37%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QNF31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6980013 | PA      | $6249161.95   | 0.18%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QPAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11496276 | PA      | $10657555.09  | 0.31%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QPSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3820607 | PA      | $3744614.53   | 0.11%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QPXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11004339 | PA      | $11051910.53  | 0.32%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QQ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12640737 | PA      | $12672573.42  | 0.37%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QQKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8749524 | PA      | $8772462.30   | 0.26%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QREQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16552245 | PA      | $16877671.63  | 0.49%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QREU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11129184 | PA      | $11601664.19  | 0.34%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8241552 | PA      | $8568430.97   | 0.25%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QS4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8300987 | PA      | $8544817.25   | 0.25%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QUBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19207455 | PA      | $19524529.96  | 0.57%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140QUNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9433157 | PA      | $9711200.92   | 0.28%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140W3AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32293670 | PA      | $31609124.46  | 0.92%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140X7RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3065432 | PA      | $2778979.20   | 0.08%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3967891 | PA      | $3403901.79   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XF4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14822303 | PA      | $12170965.73  | 0.35%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 3140XFLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33666838 | PA      | $30176898.19  | 0.88%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XGMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7633371 | PA      | $7287332.05   | 0.21%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XGST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2428603 | PA      | $2250749.33   | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XHCM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6108149 | PA      | $5505168.52   | 0.16%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XHN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2347694 | PA      | $2242662.29   | 0.07%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XHWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11732286 | PA      | $10503908.22  | 0.31%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XJQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7394300 | PA      | $6617849.76   | 0.19%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XK3J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10383780 | PA      | $8428192.85   | 0.25%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XKAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3040898 | PA      | $2613426.93   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XKZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8031788 | PA      | $7532327.41   | 0.22%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 3140XNVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14125414 | PA      | $14365473.00  | 0.42%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31412PG47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229286 | PA      | $231267.53    | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31413H2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228984 | PA      | $242190.66    | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31415P4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222303 | PA      | $230140.17    | 0.01%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665003 | PA      | $670750.62    | 0.02%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31417AQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1461157 | PA      | $1429016.87   | 0.04%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31417MTD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076694 | PA      | $1086004.25   | 0.03%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31418DQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8304846 | PA      | $7104116.68   | 0.21%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31418EJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6928081 | PA      | $7053838.54   | 0.21%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29669907 | PA      | $30651162.35  | 0.89%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31419HB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036005 | PA      | $1044804.14   | 0.03%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                            | Fannie Mae Pool                                                              | CUSIP: 31419LYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2949840 | PA      | $2846359.03   | 0.08%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3142GQLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7354596 | PA      | $7659357.38   | 0.22%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                           | Freddie Mac Pool                                                             | CUSIP: 3142GRMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11062965 | PA      | $11300818.02  | 0.33%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FinBe USA Trust                                                       | FinBe USA Trust 2025-1                                                       | CUSIP: 317967AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6727161 | PA      | $6752472.93   | 0.20%             | 2028-12-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                                                | Flexential Issuer 2021-1                                                     | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2975086 | PA      | $2933715.07   | 0.09%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                                                | Flexential Issuer LLC                                                        | CUSIP: 33938MAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11200000 | PA      | $11142071.36  | 0.32%             | 2060-10-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FLOWERS FOODS INC                                                     | Flowers Foods Inc                                                            | CUSIP: 343498AD3<br>LEI: 7YNCQQNDK8FBM9BBTK25 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2131904.94   | 0.06%             | 2035-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Foothill-Eastern Transportation Corridor Agency                       | FOOTHILL ESTRN TRANSPRTN CORRIDOR AGY CA TOLL ROAD REVENUE                   | CUSIP: 345105JE1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3035000 | PA      | $2479226.25   | 0.07%             | 2049-01-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                              | Ford Motor Credit Co LLC                                                     | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   4860000 | PA      | $5203437.34   | 0.15%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                              | Ford Motor Credit Co LLC                                                     | CUSIP: 345397G31<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   5640000 | PA      | $5775633.42   | 0.17%             | 2031-11-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                 | Foundry JV Holdco LLC                                                        | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1887217.10   | 0.05%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                 | Foundry JV Holdco LLC                                                        | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   3595000 | PA      | $3815035.40   | 0.11%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                 | Foundry JV Holdco LLC                                                        | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   4982000 | PA      | $5144354.41   | 0.15%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                 | Foundry JV Holdco LLC                                                        | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   2683000 | PA      | $2809638.27   | 0.08%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                 | Foundry JV Holdco LLC                                                        | CUSIP: 350930AK9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   4971000 | PA      | $5246612.64   | 0.15%             | 2039-01-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                 | Freedom Mortgage Holdings LLC                                                | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |   8230000 | PA      | $8630103.72   | 0.25%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                 | Freedom Mortgage Holdings LLC                                                | CUSIP: 35641AAE8<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |   6880000 | PA      | $6888567.96   | 0.20%             | 2031-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                               | Frontier Communications Holdings LLC                                         | CUSIP: 35908MAE0<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |   7654000 | PA      | $8062780.82   | 0.23%             | 2031-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780283 | PA      | $737902.93    | 0.02%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2378715 | PA      | $2141612.07   | 0.06%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6276912 | PA      | $5656456.21   | 0.16%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7672519 | PA      | $7066932.65   | 0.21%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179WG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2756548 | PA      | $2547746.90   | 0.07%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9074691 | PA      | $8164489.05   | 0.24%             | 2051-07-20      | 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        |   9280279 | PA      | $8349455.58   | 0.24%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19453607 | PA      | $18531587.98  | 0.54%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18466207 | PA      | $18123336.45  | 0.53%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8692947 | PA      | $8269291.22   | 0.24%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15085011 | PA      | $14802591.98  | 0.43%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35473551 | PA      | $33679152.89  | 0.98%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36179YU44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17936098 | PA      | $17491987.86  | 0.51%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                               | GLP Capital LP / GLP Financing II Inc                                        | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              |  | US        |   3913000 | PA      | $3920950.55   | 0.11%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                    | Ally Financial Inc                                                           | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   5972000 | PA      | $6777224.82   | 0.20%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297975 | PA      | $291323.80    | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae I Pool                                                            | CUSIP: 36204DT66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2057369 | PA      | $2046866.63   | 0.06%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae I Pool                                                            | CUSIP: 3620AQ6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1295117 | PA      | $1297289.72   | 0.04%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                   | CUSIP: 3620ARC25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1301173 | PA      | $1292929.88   | 0.04%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae II Pool                                                           | CUSIP: 3622ADQC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12634818 | PA      | $12643693.98  | 0.37%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                     | GXO Logistics Inc                                                            | CUSIP: 36262GAF8<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   6948000 | PA      | $7321606.07   | 0.21%             | 2029-05-06      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                     | GXO Logistics Inc                                                            | CUSIP: 36262GAG6<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   2067000 | PA      | $2233692.19   | 0.07%             | 2034-05-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust 2025-PJ3                                 | CUSIP: 36273WAD5<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   4670941 | PA      | $4726734.92   | 0.14%             | 2055-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Ginnie Mae I Pool                                                            | CUSIP: 36296YCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157233 | PA      | $157658.76    | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                   | CUSIP: 36297GEB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    316726 | PA      | $325787.30    | 0.01%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                | General Motors Financial Co Inc                                              | CUSIP: 37045XEY8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2852000 | PA      | $2972107.75   | 0.09%             | 2031-06-18      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                | General Motors Financial Co Inc                                              | CUSIP: 37045XFK7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $2082665.76   | 0.06%             | 2035-07-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                                 | GENMAB A/S/GENMAB FINANCE LLC                                                | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |   4125000 | PA      | $4228008.22   | 0.12%             | 2032-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                                 | GENMAB A/S/GENMAB FINANCE LLC                                                | CUSIP: 37230JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |   1700000 | PA      | $1785690.07   | 0.05%             | 2033-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                                                 | Gildan Activewear Inc                                                        | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |   2860000 | PA      | $2847393.36   | 0.08%             | 2030-10-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                                                 | Gildan Activewear Inc                                                        | CUSIP: 375916AG8<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |   3840000 | PA      | $3827293.32   | 0.11%             | 2035-10-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                  | Glencore Funding LLC                                                         | CUSIP: 378272BV9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1115263.38   | 0.03%             | 2054-04-04      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                  | Glencore Funding LLC                                                         | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2865000 | PA      | $2939074.05   | 0.09%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                                                | Global Atlantic Fin Co                                                       | CUSIP: 37959GAD9<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |   7505000 | PA      | $8567189.64   | 0.25%             | 2033-06-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp                              | GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT                  | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3015000 | PA      | $2680835.49   | 0.08%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                               | Goldman Sachs Group Inc/The                                                  | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3660000 | PA      | $3883295.19   | 0.11%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                               | Goldman Sachs Group Inc/The                                                  | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3891893.72   | 0.11%             | 2031-10-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC                                                     | Golub Capital BDC Inc                                                        | CUSIP: 38173MAD4<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |   4232000 | PA      | $4466591.48   | 0.13%             | 2028-12-05      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL CAP FND                                                 | Golub Capital Private Credit Fund                                            | CUSIP: 38179RAE5<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |   4955000 | PA      | $4987000.31   | 0.15%             | 2028-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen 2018-1                                                             | CUSIP: 38218GAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |   2460568 | PA      | $2284975.09   | 0.07%             | 2053-10-15      | Variable      | 3.93%                 | 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        |   4509918 | PA      | $3751654.71   | 0.11%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| GRUPO ENERGIA BOGOTA                                                  | Grupo Energia Bogota SA ESP                                                  | CUSIP: 40053XAC3<br>LEI: 529900LG618OWYVHI655 | Long             | DBT              | CORP              | CO        |   2142000 | PA      | $2116646.63   | 0.06%             | 2035-10-22      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GRUPO AEROMEXICO SAB                                                  | Grupo Aeromexico SAB de CV                                                   | CUSIP: 40054JAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   5175000 | PA      | $5287126.54   | 0.15%             | 2029-11-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                               | HCA Inc                                                                      | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1217000 | PA      | $1242264.60   | 0.04%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                               | HCA Inc                                                                      | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5197000 | PA      | $5128766.50   | 0.15%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                               | HCA Inc                                                                      | CUSIP: 404119DH9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3638000 | PA      | $3473517.33   | 0.10%             | 2055-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                     | HSBC Holdings PLC                                                            | CUSIP: 404280BL2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  12216000 | PA      | $12315646.94  | 0.36%             | 2027-05-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                     | HSBC Holdings PLC                                                            | CUSIP: 404280EH8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2794000 | PA      | $2884801.49   | 0.08%             | 2029-09-11      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                                              | HPS Corporate Lending Fund                                                   | CUSIP: 40440VAC9<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |   1638000 | PA      | $1695843.69   | 0.05%             | 2029-09-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                                              | HPS Corporate Lending Fund                                                   | CUSIP: 40440VAH8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1537529.04   | 0.04%             | 2028-01-14      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                                              | HPS Corporate Lending Fund                                                   | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2654340.19   | 0.08%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN ELEC CO                                                      | Hawaiian Electric Co Inc                                                     | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |   8523000 | PA      | $8631405.15   | 0.25%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                     | Herc Holdings Inc                                                            | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |   3029000 | PA      | $3210367.70   | 0.09%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                           | Hologic Inc                                                                  | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |   3014000 | PA      | $2970585.49   | 0.09%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| City of Houston TX                                                    | HOUSTON TX                                                                   | CUSIP: 4423313K8<br>LEI: 549300C64URYS0WQQY42 | Long             | DBT              | MUN               | US        |    800000 | PA      | $688494.48    | 0.02%             | 2047-03-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                     | Hyatt Hotels Corp                                                            | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1512000 | PA      | $1585028.59   | 0.05%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                               | Hyundai Capital America                                                      | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $1298215.72   | 0.04%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                                              | Icon Investments Six DAC                                                     | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   1654000 | PA      | $1749821.74   | 0.05%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                          | ING Groep NV                                                                 | CUSIP: 456837AR4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  16715000 | PA      | $16796296.94  | 0.49%             | 2026-11-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                            | Intel Corp                                                                   | CUSIP: 458140CL2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2760000 | PA      | $2792217.63   | 0.08%             | 2034-02-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                            | Intel Corp                                                                   | CUSIP: 458140CM0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1857580.86   | 0.05%             | 2054-02-21      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BRIGHTSTAR LOTTERY PLC                                                | Brightstar Lottery PLC                                                       | CUSIP: 460599AE3<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |   7240000 | PA      | $7222668.48   | 0.21%             | 2029-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                   | Intesa Sanpaolo SpA                                                          | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3702000 | PA      | $3532669.74   | 0.10%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                   | Intesa Sanpaolo SpA                                                          | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   2470000 | PA      | $2107149.66   | 0.06%             | 2042-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                             | IQVIA Inc                                                                    | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   5455000 | PA      | $5456192.02   | 0.16%             | 2027-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                             | IQVIA Inc                                                                    | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   3117000 | PA      | $3286385.21   | 0.10%             | 2029-02-01      | Fixed         | 6.25%                 | 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        |  11886889 | PA      | $11955531.41  | 0.35%             | 2055-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust                                                     | CUSIP: 46593VAD9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   6454802 | PA      | $6481175.34   | 0.19%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust Series 2025-7MPR                                    | CUSIP: 46594CAH1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   5145410 | PA      | $5150237.25   | 0.15%             | 2056-02-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust Series 2025-CES5                                    | CUSIP: 46594DAA4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  14732802 | PA      | $14789973.87  | 0.43%             | 2056-02-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2005-S2                                             | CUSIP: 466247VM2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    123694 | PA      | $121895.69    | 0.00%             | 2032-02-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2006-A4                                             | CUSIP: 46628LAK4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    649667 | PA      | $422935.27    | 0.01%             | 2036-06-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                   | JPMorgan Chase & Co                                                          | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6142000 | PA      | $6539352.87   | 0.19%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                   | JPMorgan Chase & Co                                                          | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1982000 | PA      | $2046062.20   | 0.06%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                   | JPMorgan Chase & Co                                                          | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5156000 | PA      | $5323611.35   | 0.16%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2023-7                                              | CUSIP: 46657DAE0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   9278404 | PA      | $9320916.78   | 0.27%             | 2054-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust Series 2024-6                                       | CUSIP: 46657YAF1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1189426 | PA      | $1189440.65   | 0.03%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | J.P. Morgan Mortgage Trust 2024-10                                           | CUSIP: 46658LAD3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   3830215 | PA      | $3847593.82   | 0.11%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | J.P. Morgan Mortgage Trust 2024-10                                           | CUSIP: 46658LAK7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2333665 | PA      | $2336218.33   | 0.07%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2024-CCM1                                           | CUSIP: 46658NAF4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   9355147 | PA      | $9403200.76   | 0.27%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2024-INV1                                           | CUSIP: 46658PAD4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   3932862 | PA      | $3992268.77   | 0.12%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust Series 2024-5                                       | CUSIP: 46658RAF5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2682200 | PA      | $2689345.30   | 0.08%             | 2054-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2024-12                                             | CUSIP: 46658TAB0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   7979919 | PA      | $8070627.22   | 0.24%             | 2055-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2024-12                                             | CUSIP: 46658TAD6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  11049091 | PA      | $11160595.13  | 0.33%             | 2055-06-25      | Variable      | 6.00%                 | 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        |   6139612 | PA      | $6199430.17   | 0.18%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust Series 2025-CES7                                    | CUSIP: 46660GAA6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   6375000 | PA      | $6388205.18   | 0.19%             | 2056-04-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust Series 2025-11                                      | CUSIP: 46662QAQ7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  12964000 | PA      | $13054951.53  | 0.38%             | 2056-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                               | JetBlue Airways Corp / JetBlue Loyalty LP                                    | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   2900000 | PA      | $2921055.66   | 0.09%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                   | JPMorgan Chase & Co                                                          | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3442000 | PA      | $3422175.84   | 0.10%             | 2026-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                                               | K Hovnanian Enterprises Inc                                                  | CUSIP: 48251UAQ1<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |    482000 | PA      | $489753.02    | 0.01%             | 2033-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                              | Kaiser Foundation Hospitals                                                  | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |   2365000 | PA      | $1544991.84   | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KB HOME                                                               | KB Home                                                                      | CUSIP: 48666KAY5<br>LEI: 549300LGUCWQURMWLG09 | Long             | DBT              | CORP              | US        |   5059000 | PA      | $5038084.28   | 0.15%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                 | Kentucky Utilities Co                                                        | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |   2418000 | PA      | $2441734.59   | 0.07%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                      | Kilroy Realty LP                                                             | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |   2040000 | PA      | $1895409.49   | 0.06%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                      | Kilroy Realty LP                                                             | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |   2605000 | PA      | $2174305.30   | 0.06%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                  | Kyndryl Holdings Inc                                                         | CUSIP: 50155QAL4<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3423490.09   | 0.10%             | 2031-10-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                      | LPL Holdings Inc                                                             | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   3390000 | PA      | $3459529.08   | 0.10%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                                              | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp           | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              |  | US        |   6645000 | PA      | $6573541.02   | 0.19%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                                              | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp           | CUSIP: 505742AR7<br>LEI: N/A                  | Long             | DBT              |  | US        |   9635000 | PA      | $10215890.32  | 0.30%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                                      | Lamar Media Corp                                                             | CUSIP: 513075BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4625000 | PA      | $4538736.79   | 0.13%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                              | Liberty Mutual Group Inc                                                     | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   4180000 | PA      | $4118586.68   | 0.12%             | 2051-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP                                                 | Lincoln National Corp                                                        | CUSIP: 534187BA6<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   2407000 | PA      | $2708647.81   | 0.08%             | 2040-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                              | Lloyds Banking Group PLC                                                     | CUSIP: 53944YAJ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   4973000 | PA      | $5014149.45   | 0.15%             | 2026-06-27      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District/CA                             | LOS ANGELES CA CMNTY CLG DIST                                                | CUSIP: 54438CPA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    800000 | PA      | $887151.36    | 0.03%             | 2049-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LOUISIANA-PACIFIC CORP                                                | Louisiana-Pacific Corp                                                       | CUSIP: 546347AM7<br>LEI: 549300C7E2UAO5BVRR75 | Long             | DBT              | CORP              | US        |   3670000 | PA      | $3566206.76   | 0.10%             | 2029-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS & ELEC                                                 | Louisville Gas and Electric Co                                               | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |    698000 | PA      | $704362.68    | 0.02%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                        | Lowe's Cos Inc                                                               | CUSIP: 548661EW3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   3805000 | PA      | $3785777.01   | 0.11%             | 2032-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                        | Lowe's Cos Inc                                                               | CUSIP: 548661EX1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   5595000 | PA      | $5548529.67   | 0.16%             | 2035-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) LP                                       | Lyra Music Assets Delaware LP                                                | CUSIP: 552339AA1<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   8642596 | PA      | $8745100.51   | 0.25%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) LP                                       | Lyra Music Assets Delaware LP                                                | CUSIP: 552339AD5<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   6391000 | PA      | $6430079.69   | 0.19%             | 2065-09-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                            | MFA 2023-NQM3 Trust                                                          | CUSIP: 55286MAA8<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   5925331 | PA      | $5957329.41   | 0.17%             | 2068-07-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                            | MFA 2024-NQM1 Trust                                                          | CUSIP: 55286VAA8<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    980485 | PA      | $993994.77    | 0.03%             | 2069-03-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                            | MFA 2024-NQM1 Trust                                                          | CUSIP: 55286VAB6<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   3229256 | PA      | $3272504.05   | 0.10%             | 2069-03-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Maritime Partners, LLC                                                | MP 2023 LLC                                                                  | CUSIP: 553427AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11395144 | PA      | $11389198.31  | 0.33%             | 2065-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LONDON                                                 | Macquarie Bank Ltd/London                                                    | CUSIP: 556079AB7<br>LEI: 549300MPRNPO6FWNKN78 | Long             | DBT              | CORP              | AU        |   4737000 | PA      | $4807741.48   | 0.14%             | 2027-03-08      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                              | Warnermedia Holdings Inc                                                     | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3982000 | PA      | $3910263.36   | 0.11%             | 2027-03-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD MAGNE_20-28A                                        | MAGNETITE CLO LTD MAGNE_20-28A                                               | CUSIP: 55955LAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  13500000 | PA      | $13537044.00  | 0.39%             | 2038-01-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                     | Magnetite XXVIII Ltd                                                         | CUSIP: 55955LAY8<br>LEI: 54930077HHZ1QV5CPQ30 | Long             | ABS-CBDO         | CORP              | KY        |   8800000 | PA      | $8810806.40   | 0.26%             | 2038-01-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                     | Magnetite Xli Ltd                                                            | CUSIP: 55956AAC9<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |   2550000 | PA      | $2555444.25   | 0.07%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                              | Mars Inc                                                                     | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2935000 | PA      | $2960485.71   | 0.09%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                              | Mars Inc                                                                     | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1689000 | PA      | $1686938.60   | 0.05%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                | Massachusetts Institute of Technology                                        | CUSIP: 575718AK7<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |    925000 | PA      | $950854.03    | 0.03%             | 2055-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                                                  | Matador Resources Co                                                         | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2582261.31   | 0.08%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER/MEDL CO                                              | Medline Borrower LP/Medline Co-Issuer Inc                                    | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9317000 | PA      | $9646077.37   | 0.28%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                        | Merck & Co Inc                                                               | CUSIP: 58933YBT1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   2379000 | PA      | $2404919.01   | 0.07%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                        | Merck & Co Inc                                                               | CUSIP: 58933YBZ7<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   3127000 | PA      | $3120478.43   | 0.09%             | 2035-12-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                           | MetLife Inc                                                                  | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   4957000 | PA      | $5199625.76   | 0.15%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                           | MetLife Inc                                                                  | CUSIP: 59156RAV0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   3165000 | PA      | $4221875.79   | 0.12%             | 2039-08-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Metropolitan St Louis Sewer District                                  | MET SAINT LOUIS MO SWR DIST WSTWTR SYS REVENUE                               | CUSIP: 592481LV5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1650000 | PA      | $1310748.45   | 0.04%             | 2045-05-01      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Michigan Strategic Fund                                               | MICHIGAN ST STRATEGIC FUND LTD OBLG REVENUE                                  | CUSIP: 594698SJ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3550000 | PA      | $2722597.24   | 0.08%             | 2047-09-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                 | Micron Technology Inc                                                        | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   5920000 | PA      | $6132720.20   | 0.18%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                 | MidAmerican Energy Co                                                        | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   9337000 | PA      | $9611356.46   | 0.28%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Missouri Highway & Transportation Commission                          | MISSOURI ST HIGHWAY & TRANSPRTN COMMISSION STATE ROAD REVENU                 | CUSIP: 60636WNU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1700000 | PA      | $1743765.14   | 0.05%             | 2033-05-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                        | Morgan Stanley                                                               | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3080000 | PA      | $3263923.76   | 0.10%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                        | Morgan Stanley                                                               | CUSIP: 61747YFJ9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4615000 | PA      | $5157242.40   | 0.15%             | 2034-11-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                        | Morgan Stanley                                                               | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1548478.32   | 0.05%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                        | Morgan Stanley                                                               | CUSIP: 61747YFV2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1355109.18   | 0.04%             | 2055-11-19      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                        | Morgan Stanley                                                               | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3918155.30   | 0.11%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust 2018-H3                                       | CUSIP: 61767YAC4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   1644000 | PA      | $1388724.61   | 0.04%             | 2051-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust 2020-L4                                       | CUSIP: 61770KAE5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   3572000 | PA      | $2709859.22   | 0.08%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                        | Morgan Stanley Residential Mortgage Loan Trust 2023-2                        | CUSIP: 61775JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10662650 | PA      | $10709084.68  | 0.31%             | 2053-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                               | Morgan Stanley Private Bank NA                                               | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $2189332.29   | 0.06%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                               | Morgan Stanley Private Bank NA                                               | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   6885000 | PA      | $6899540.66   | 0.20%             | 2031-11-19      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                                | Mosaic Solar Loan Trust 2023-2                                               | CUSIP: 61945WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4259452 | PA      | $4095885.19   | 0.12%             | 2053-09-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                                     | Mountain View CLO 2017-2 LLC                                                 | CUSIP: 62432LAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    786561 | PA      | $786687.23    | 0.02%             | 2031-01-16      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| NMI HOLDINGS                                                          | NMI Holdings Inc                                                             | CUSIP: 629209AC1<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | DBT              | CORP              | US        |   8205000 | PA      | $8512318.23   | 0.25%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                               | Nationwide Building Society                                                  | CUSIP: 63859WAF6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   3050000 | PA      | $3027706.52   | 0.09%             | 2032-10-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                     | NatWest Group PLC                                                            | CUSIP: 639057AB4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3870000 | PA      | $3562762.74   | 0.10%             | 2035-11-28      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC                                 | New Economy Assets - Phase 1 Sponsor LLC                                     | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $7976052.50   | 0.23%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                   | NEW YORK NY                                                                  | CUSIP: 64966Q7G9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   3000000 | PA      | $3087407.40   | 0.09%             | 2053-10-01      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                    | NY ST DORM AUTH PERS REV                                                     | CUSIP: 64990F5N0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1265000 | PA      | $974667.45    | 0.03%             | 2043-02-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| NEWMONT / NEWCREST FIN                                                | Newmont Corp / Newcrest Finance Pty Ltd                                      | CUSIP: 65163LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4030000 | PA      | $4221929.06   | 0.12%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                     | Nexstar Media Inc                                                            | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |   8635000 | PA      | $8569467.49   | 0.25%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                                  | Niagara Mohawk Power Corp                                                    | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1267512.57   | 0.04%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                          | NiSource Inc                                                                 | CUSIP: 65473PAX3<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   3272000 | PA      | $3348174.79   | 0.10%             | 2035-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                       | Nordea Bank Abp                                                              | CUSIP: 65559CAA9<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  15600000 | PA      | $15679785.05  | 0.46%             | 2026-03-26      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| NORTHERN NATURAL GAS CO                                               | Northern Natural Gas Co                                                      | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1451561.36   | 0.04%             | 2054-02-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                                                   | Northern Trust Corp                                                          | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |  10313000 | PA      | $10168298.91  | 0.30%             | 2032-05-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                 | Northrop Grumman Corp                                                        | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1980000 | PA      | $1969027.87   | 0.06%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NOVANT HEALTH INC                                                     | Novant Health Inc                                                            | CUSIP: 66988AAH7<br>LEI: 549300ZUXEGFGE8EP917 | Long             | DBT              | CORP              | US        |   2820000 | PA      | $1867026.10   | 0.05%             | 2051-11-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                              | OBX 2024-NQM8 Trust                                                          | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-MBS          | CORP              | US        |   3908777 | PA      | $3965498.25   | 0.12%             | 2064-05-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                              | OBX 2025-J3 Trust                                                            | CUSIP: 67449KAE3<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |   8560950 | PA      | $8548616.91   | 0.25%             | 2055-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ohio Turnpike & Infrastructure Commission                             | OHIO ST TURNPIKE COMMISSION                                                  | CUSIP: 67760HNB3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2640000 | PA      | $1946319.94   | 0.06%             | 2048-02-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                | One Market Plaza Trust 2017-1MKT                                             | CUSIP: 68245HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5370000 | PA      | $5075955.45   | 0.15%             | 2032-02-10      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                  | OneMain Finance Corp                                                         | CUSIP: 682691AL4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1437793.67   | 0.04%             | 2030-05-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust                                        | ONNI Commerical Mortgage Trust 2024-APT                                      | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7843000 | PA      | $7992688.36   | 0.23%             | 2039-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                           | Oracle Corp                                                                  | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2149000 | PA      | $1719021.19   | 0.05%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                           | Oracle Corp                                                                  | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  12020000 | PA      | $11608061.57  | 0.34%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                           | Oracle Corp                                                                  | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8135000 | PA      | $7809185.74   | 0.23%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                           | Ovintiv Inc                                                                  | CUSIP: 69047QAD4<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $3387585.21   | 0.10%             | 2053-07-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                                                | Blue Owl Credit Income Corp                                                  | CUSIP: 69120VAW1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   5145000 | PA      | $5440908.75   | 0.16%             | 2029-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINA                                              | Blue Owl Technology Finance Corp II                                          | CUSIP: 69121JAB3<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |   3425000 | PA      | $3503739.77   | 0.10%             | 2029-04-04      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORP                                                 | Blue Owl Capital Corp                                                        | CUSIP: 69121KAH7<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3103642.64   | 0.09%             | 2029-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                                         | PRA Group Inc                                                                | CUSIP: 69354NAF3<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   1892000 | PA      | $1964902.68   | 0.06%             | 2030-01-31      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                           | PRKCM 2024-HOME1 Trust                                                       | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4053336 | PA      | $4118312.98   | 0.12%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                        | PMT Loan Trust 2025-J5                                                       | CUSIP: 69392KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12750000 | PA      | $12822110.18  | 0.37%             | 2057-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                        | PMT Loan Trust 2025-J3                                                       | CUSIP: 69392XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8598126 | PA      | $8645609.72   | 0.25%             | 2056-11-27      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PALOMINO FUNDING TRUST I                                              | Palomino Funding Trust I                                                     | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1743615.23   | 0.05%             | 2028-05-17      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Turnpike Commission                                      | PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE                         | CUSIP: 709223A27<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |   1295000 | PA      | $1288820.78   | 0.04%             | 2045-12-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                 | PennyMac Financial Services Inc                                              | CUSIP: 70932MAE7<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |   6754000 | PA      | $7102154.10   | 0.21%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                 | PennyMac Financial Services Inc                                              | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1474841.37   | 0.04%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE                                              | Perrigo Finance Unlimited Co                                                 | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   1195000 | PA      | $1154092.42   | 0.03%             | 2030-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                   | Petroleos Mexicanos                                                          | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  20840000 | PA      | $20165221.57  | 0.59%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                                              | Piedmont Operating Partnership LP                                            | CUSIP: 720198AJ9<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              |  | US        |    796000 | PA      | $846086.59    | 0.02%             | 2029-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                                              | Piedmont Operating Partnership LP                                            | CUSIP: 720198AK6<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              |  | US        |   6920000 | PA      | $7001897.40   | 0.20%             | 2033-01-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                              | Plains All American Pipeline LP / PAA Finance Corp                           | CUSIP: 72650RBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2544000 | PA      | $2576478.30   | 0.08%             | 2036-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | PORT AUTH OF NEW YORK & NEW JERSEY NY                                        | CUSIP: 73358WEK6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1862630.40   | 0.05%             | 2051-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| PRIO LUX HLD SARL                                                     | PRIO Luxembourg Holding Sarl                                                 | CUSIP: 74259PAA5<br>LEI: 2221003VQP4JY7T31H94 | Long             | DBT              | CORP              | LU        |   2487000 | PA      | $2427718.53   | 0.07%             | 2030-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                      | Provident Funding Mortgage Trust 2024-1                                      | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7162160 | PA      | $7202253.51   | 0.21%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                      | Provident Funding Mortgage Trust 2025-2                                      | CUSIP: 74389DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8852230 | PA      | $8902253.03   | 0.26%             | 2055-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                 | Quikrete Holdings Inc                                                        | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2122812.54   | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                 | Quikrete Holdings Inc                                                        | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   5007000 | PA      | $5228209.29   | 0.15%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                           | RCKT Mortgage Trust 2024-CES4                                                | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4386032 | PA      | $4444530.58   | 0.13%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                           | RCKT Mortgage Trust 2024-CES1                                                | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4005194 | PA      | $4038088.31   | 0.12%             | 2044-02-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                           | RCKT Mortgage Trust 2024-CES9                                                | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9847771 | PA      | $9948551.56   | 0.29%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                    | RWE Finance US LLC                                                           | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $1130646.63   | 0.03%             | 2035-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ANYWHERE RE GRP/REALOGY                                               | Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp                      | CUSIP: 75606DAV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2393000 | PA      | $2595367.90   | 0.08%             | 2030-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Reese Park CLO, Ltd.                                                  | REESE PARK CLO LTD                                                           | CUSIP: 758465BQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5700000 | PA      | $5731560.90   | 0.17%             | 2038-01-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| REPSOL E&P CAP MARKETS                                                | Repsol E&P Capital Markets US LLC                                            | CUSIP: 76026AAB3<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |   3157000 | PA      | $3201092.13   | 0.09%             | 2030-09-16      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| REPSOL E&P CAP MARKETS                                                | Repsol E&P Capital Markets US LLC                                            | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |   1531000 | PA      | $1562602.58   | 0.05%             | 2035-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                 | RIO TINTO FIN USA PLC                                                        | CUSIP: 76720AAV8<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |   2368000 | PA      | $2413767.14   | 0.07%             | 2055-03-14      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RIVERBANK PARK CLO LTD RVRPK_24-1                                     | RIVERBANK PARK CLO LTD RVRPK_24-1                                            | CUSIP: 76857JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8000000 | PA      | $8016080.00   | 0.23%             | 2038-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                        | Rocket Cos Inc                                                               | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2791997.31   | 0.08%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                        | Rocket Cos Inc                                                               | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2840000 | PA      | $2966327.77   | 0.09%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                               | Royal Caribbean Cruises Ltd                                                  | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   2851000 | PA      | $2931280.54   | 0.09%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                                       | SEB Funding LLC                                                              | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9735000 | PA      | $9976245.96   | 0.29%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                                             | Stonepeak 2021-1 ABS                                                         | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625443 | PA      | $1586668.81   | 0.05%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                          | SM Energy Co                                                                 | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |   2825000 | PA      | $2828675.47   | 0.08%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SAAVI ENERGIA SARL                                                    | Saavi Energia Sarl                                                           | CUSIP: 78518PAA3<br>LEI: 254900A2V0IO8K56UH35 | Long             | DBT              | CORP              | LU        |   4555000 | PA      | $4938885.92   | 0.14%             | 2035-02-10      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                             | Santander Mortgage Asset Receivable Trust 2025-Ces1                          | CUSIP: 802650AB7<br>LEI: 254900WEZWXJLYHMU869 | Long             | ABS-MBS          | CORP              | US        |  15510747 | PA      | $15503179.33  | 0.45%             | 2055-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                                    | Santos Finance Ltd                                                           | CUSIP: 803014AC3<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |   2159000 | PA      | $2149064.62   | 0.06%             | 2035-11-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                   | Charles Schwab Corp/The                                                      | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  13809000 | PA      | $13710662.85  | 0.40%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                               | Light & Wonder International Inc                                             | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |   4621000 | PA      | $4739368.24   | 0.14%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                | Sempra                                                                       | CUSIP: 816851BA6<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $4746392.18   | 0.14%             | 2027-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                | Sempra                                                                       | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   8678000 | PA      | $8519822.43   | 0.25%             | 2052-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust 2025-11                                               | CUSIP: 816950AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16093197 | PA      | $16069089.01  | 0.47%             | 2055-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust 2024-6                                                | CUSIP: 81743DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5108442 | PA      | $5125097.94   | 0.15%             | 2054-07-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST SEMT_24-7                                      | SEQUOIA MORTGAGE TRUST SEMT_24-7                                             | CUSIP: 81748EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3547459 | PA      | $3581675.98   | 0.10%             | 2054-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust 2024-9                                                | CUSIP: 81749PAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400393 | PA      | $1405859.56   | 0.04%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust 2024-10                                               | CUSIP: 81749QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2287190 | PA      | $2297567.07   | 0.07%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust 2024-10                                               | CUSIP: 81749QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380523 | PA      | $1382054.63   | 0.04%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                  | Shell Finance US Inc                                                         | CUSIP: 822905AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1552148.19   | 0.05%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAT                                              | Siemens Financieringsmaatschappij NV                                         | CUSIP: 82620KAZ6<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |   2200000 | PA      | $2188660.31   | 0.06%             | 2026-03-11      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                   | Sirius XM Radio LLC                                                          | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   8915000 | PA      | $8711283.55   | 0.25%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                   | Sirius XM Radio LLC                                                          | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   3495000 | PA      | $3462464.98   | 0.10%             | 2026-09-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                              | Snam SpA                                                                     | CUSIP: 83304JAC1<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |   2508000 | PA      | $2682740.28   | 0.08%             | 2055-05-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                      | Societe Generale SA                                                          | CUSIP: 83370RAB4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1692000 | PA      | $1681870.90   | 0.05%             | 2026-05-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                      | Societe Generale SA                                                          | CUSIP: 83370RAC2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  12420000 | PA      | $13257718.44  | 0.39%             | 2027-11-22      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                      | Societe Generale SA                                                          | CUSIP: 83371GAA9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3165000 | PA      | $3509161.39   | 0.10%             | 2028-11-14      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| SOLSTICE ADVANCED MATERI                                              | Solstice Advanced Materials Inc                                              | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |   4034000 | PA      | $4072310.17   | 0.12%             | 2033-09-30      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                           | Southern Co/The                                                              | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2825000 | PA      | $2823950.11   | 0.08%             | 2051-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                               | Southern Co Gas Capital Corp                                                 | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3628317.12   | 0.11%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                 | Southwest Airlines Co                                                        | CUSIP: 844741BL1<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |   4830000 | PA      | $4839649.29   | 0.14%             | 2028-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                    | Expand Energy Corp                                                           | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   6812000 | PA      | $6915575.85   | 0.20%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SPIRE INC                                                             | Spire Inc                                                                    | CUSIP: 84857LAD3<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |   5151000 | PA      | $5114561.28   | 0.15%             | 2056-06-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                   | Sprint Capital Corp                                                          | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   2808000 | PA      | $3013847.53   | 0.09%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI                                              | Standard Building Solutions Inc                                              | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    692000 | PA      | $713355.57    | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                | Standard Chartered PLC                                                       | CUSIP: 853254CM0<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2682000 | PA      | $2781055.38   | 0.08%             | 2027-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                                              | Standard Industries Inc/NY                                                   | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   3971000 | PA      | $3839302.33   | 0.11%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STANFORD UNIVERSITY                                                   | Leland Stanford Junior University/The                                        | CUSIP: 85440KAE4<br>LEI: JIUV0DC2REIJXQ26CR37 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2520124.11   | 0.07%             | 2035-03-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                                    | Subway Funding LLC                                                           | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8498160 | PA      | $8614952.76   | 0.25%             | 2054-07-30      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Sumter Landing Community Development District                         | SUMTER LANDING FL CDD RECREATIONAL REVENUE                                   | CUSIP: 86657MCH7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    530000 | PA      | $549131.83    | 0.02%             | 2040-10-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Sumter Landing Community Development District                         | SUMTER LANDING FL CDD RECREATIONAL REVENUE                                   | CUSIP: 86657MCJ3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    805000 | PA      | $823791.84    | 0.02%             | 2045-10-01      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Sumter Landing Community Development District                         | SUMTER LANDING FL CDD RECREATIONAL REVENUE                                   | CUSIP: 86657MCK0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1470000 | PA      | $1487848.89   | 0.04%             | 2054-10-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                             | Sunoco LP                                                                    | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   2629000 | PA      | $2741195.87   | 0.08%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                             | Sunoco LP                                                                    | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   3491000 | PA      | $3489000.76   | 0.10%             | 2034-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SURGERY CENTER HOLDINGS                                               | Surgery Center Holdings Inc                                                  | CUSIP: 86881WAF9<br>LEI: 54930054EVI5HWPPW113 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $1649336.75   | 0.05%             | 2032-04-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                                | Switch ABS Issuer LLC                                                        | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3354021.68   | 0.10%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                          | Synopsys Inc                                                                 | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   6192000 | PA      | $6322545.83   | 0.18%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNOVUS BANK GA                                                       | Synovus Bank/Columbus GA                                                     | CUSIP: 87164DXY1<br>LEI: DX0JX77PRMOELF7VG772 | Long             | DBT              | CORP              | US        |   5520000 | PA      | $5559361.43   | 0.16%             | 2036-01-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Trust                                      | THPT 2023-THL Mortgage Trust                                                 | CUSIP: 87252LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5520000 | PA      | $5582464.32   | 0.16%             | 2034-12-10      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                      | T-Mobile USA Inc                                                             | CUSIP: 87264ADV4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4412000 | PA      | $4943189.84   | 0.14%             | 2033-12-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                             | TEGNA Inc                                                                    | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $6724430.84   | 0.20%             | 2028-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                 | Tenet Healthcare Corp                                                        | CUSIP: 88033GDK3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1335406.28   | 0.04%             | 2028-10-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp                         | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                               | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2635000 | PA      | $2687305.28   | 0.08%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                                           | Textron Inc                                                                  | CUSIP: 883203CF6<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   2272000 | PA      | $2256323.84   | 0.07%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| 3R LUX SARL                                                           | 3R Lux SARL                                                                  | CUSIP: 88563PAA6<br>LEI: 9845007D0DF0BEFD8D97 | Long             | DBT              | CORP              | LU        |    556000 | PA      | $571999.92    | 0.02%             | 2031-02-05      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                 | Time Warner Cable LLC                                                        | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   4139000 | PA      | $4222054.04   | 0.12%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                 | Toronto-Dominion Bank/The                                                    | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   4765000 | PA      | $5011419.88   | 0.15%             | 2082-10-31      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust 2024-CES1                                          | CUSIP: 89183CAA3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   3912334 | PA      | $3933564.25   | 0.11%             | 2064-01-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                         | TransDigm Inc                                                                | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1709260.97   | 0.05%             | 2029-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                         | TransDigm Inc                                                                | CUSIP: 893647BQ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   5170000 | PA      | $5152569.70   | 0.15%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TRUST FIBRAUNO                                                        | Trust Fibra Uno                                                              | CUSIP: 898339AA4<br>LEI: N/A                  | Long             | DBT              |  | MX        |    283000 | PA      | $276889.12    | 0.01%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| TRUST 2401                                                            | Trust 2401                                                                   | CUSIP: 89834MAA4<br>LEI: N/A                  | Long             | DBT              |  | MX        |    547000 | PA      | $538436.39    | 0.02%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| TRUST 2401                                                            | Trust 2401                                                                   | CUSIP: 89834MAB2<br>LEI: N/A                  | Long             | DBT              |  | MX        |   4888000 | PA      | $5404005.39   | 0.16%             | 2032-01-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                          | UBS Group AG                                                                 | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  12345000 | PA      | $13547042.46  | 0.39%             | 2028-11-13      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust 2018-C15                                       | CUSIP: 90278LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1258868.88   | 0.04%             | 2051-12-15      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                      | UWM Holdings LLC                                                             | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2884000 | PA      | $2879237.04   | 0.08%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                   | United Airlines Inc                                                          | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   2945000 | PA      | $2928756.72   | 0.09%             | 2029-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United Nations Development Corp                                       | UNITED NATIONS DEV CORP NY                                                   | CUSIP: 911157MF9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    530000 | PA      | $565546.04    | 0.02%             | 2055-08-01      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                               | United Rentals North America Inc                                             | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2354895.20   | 0.07%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10600000 | PA      | $10787156.25  | 0.31%             | 2030-08-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  79000000 | PA      | $81289765.63  | 2.37%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55000000 | PA      | $56276171.88  | 1.64%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3029296.88   | 0.09%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $16205000.00  | 0.47%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CNH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26000000 | PA      | $26221406.25  | 0.76%             | 2028-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  94000000 | PA      | $93676875.00  | 2.73%             | 2030-08-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14940234.38  | 0.44%             | 2030-10-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38000000 | PA      | $38010390.63  | 1.11%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | U.S. Treasury Notes                                                          | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61000000 | PA      | $60404296.88  | 1.76%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                | UnitedHealth Group Inc                                                       | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   4720000 | PA      | $4266870.91   | 0.12%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                | UnitedHealth Group Inc                                                       | CUSIP: 91324PFK3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   4141000 | PA      | $4109339.40   | 0.12%             | 2044-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                | UnitedHealth Group Inc                                                       | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1889000 | PA      | $1955706.19   | 0.06%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                         | CUSIP: 913366KC3<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |   1595000 | PA      | $1034023.19   | 0.03%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| University of California                                              | UNIV OF CALIFORNIA CA REVENUES                                               | CUSIP: 91412HKE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1255000 | PA      | $851456.26    | 0.02%             | 2051-05-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                                      | VB-S1 Issuer LLC - VBTEL                                                     | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5920257.50   | 0.17%             | 2054-05-15      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                      | Ventas Realty LP                                                             | CUSIP: 92277GBC0<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |   1635000 | PA      | $1625388.00   | 0.05%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                 | Venture Global Plaquemines LNG LLC                                           | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   3237000 | PA      | $3313159.13   | 0.10%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                 | Venture Global Plaquemines LNG LLC                                           | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   4881946 | PA      | $4990777.91   | 0.15%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                | Verizon Communications Inc                                                   | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1294025.65   | 0.04%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                | Verizon Communications Inc                                                   | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1562000 | PA      | $1544230.91   | 0.04%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                                      | VERTICAL BRIDGE CC LLC                                                       | CUSIP: 92535VAQ5<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |  12123873 | PA      | $12147167.81  | 0.35%             | 2055-08-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2024-4                                            | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |   2729666 | PA      | $2767869.99   | 0.08%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2024-5                                            | CUSIP: 92540HAA4<br>LEI: 213800YE6HC7EZSFHW30 | Long             | ABS-MBS          | CORP              | US        |   7749378 | PA      | $7869306.24   | 0.23%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                      | Paramount Global                                                             | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   2183000 | PA      | $1519828.00   | 0.04%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                      | Paramount Global                                                             | CUSIP: 92553PBC5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   3380000 | PA      | $3052567.06   | 0.09%             | 2057-02-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                | VICI Properties LP / VICI Note Co Inc                                        | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |   4155000 | PA      | $4034777.25   | 0.12%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                    | Expand Energy Corp                                                           | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   1161000 | PA      | $1168014.85   | 0.03%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                          | Voya CLO 2019-1 Ltd                                                          | CUSIP: 92917NAY4<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |  11150000 | PA      | $11156545.05  | 0.33%             | 2037-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                  | WEC Energy Group Inc                                                         | CUSIP: 92939UAM8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1423835.62   | 0.04%             | 2026-09-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                  | WEC Energy Group Inc                                                         | CUSIP: 92939UAU0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   3051000 | PA      | $3070591.14   | 0.09%             | 2056-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP INC                                                        | Weir Group Inc                                                               | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |   3111000 | PA      | $3196980.61   | 0.09%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                 | Wells Fargo & Co                                                             | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4143000 | PA      | $4128915.43   | 0.12%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                 | Wells Fargo & Co                                                             | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3025000 | PA      | $2769012.45   | 0.08%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                 | Wells Fargo & Co                                                             | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4385000 | PA      | $4596666.48   | 0.13%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BANK                                                 | Western Alliance Bank                                                        | CUSIP: 95758BCL1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | DBT              | CORP              | US        |   5156000 | PA      | $5178003.48   | 0.15%             | 2035-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| WYNNTON FUNDING TRUST II                                              | Wynnton Funding Trust II                                                     | CUSIP: 983197AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3333000 | PA      | $3351486.36   | 0.10%             | 2055-08-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| YINSON BERGENIA PRODUCTI                                              | Yinson Bergenia Production BV                                                | CUSIP: 98585VAA6<br>LEI: 549300JDIAWKPMZD5256 | Long             | DBT              | CORP              | NL        |   6645000 | PA      | $6972393.55   | 0.20%             | 2045-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ZIONS BANCORP NA                                                      | Zions Bancorp NA                                                             | CUSIP: 98971DAC4<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | DBT              | CORP              | US        |   5940000 | PA      | $6315325.94   | 0.18%             | 2035-11-19      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                                            | U.K. Gilts                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |  20000000 | PA      | $27011495.25  | 0.79%             | 2035-03-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                       | Danske Bank A/S                                                              | CUSIP: 000000000<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  13095000 | PA      | $13063445.99  | 0.38%             | 2026-05-18      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                                            | U.K. Gilts                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   7800000 | PA      | $7398232.28   | 0.22%             | 2035-07-31      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                | Skandinaviska Enskilda Banken AB                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   8200000 | PA      | $8401825.20   | 0.24%             | 2027-06-30      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                   | U.K. Gilts                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   6300000 | PA      | $8394217.72   | 0.24%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                        | US DOLLARS                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |         1 | NC      | $-267024.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                | US 10YR NOTE MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       761 | NC      | $-308183.09   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                | US LONG BOND MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       564 | NC      | $-521570.28   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                | US ULTRA 10YR NOTE MAR 26                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       519 | NC      | $-38500.96    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                | US ULTRA T-BOND MAR 26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1507 | NC      | $-2627119.52  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co. LLC                                               | ICE: (CDX.NA.HY.45.V1)                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        | -55000000 | OU      | $151214.31    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Columbia Funds Variable Series Trust II

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager