# EDGAR Filing Document

**Accession Number:** 0001475712
**File Stem:** 0001410368-25-042720
**Filing Date:** 2025-12
**Character Count:** 725101
**Document Hash:** 4f194f306eb75e5e878552a64e58fb51
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-042720.hdr.sgml**: 20251229

**ACCESSION NUMBER**: 0001410368-25-042720

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251229

**DATE AS OF CHANGE**: 20251229

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Global Opportunities Portfolio
- **CENTRAL INDEX KEY:** 0001475712

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22350
- **FILM NUMBER:** 251604160

**BUSINESS ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6174828260

**MAIL ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

## Series and Classes Contracts Data

### Global Opportunities Portfolio (Series ID: S000027417)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000082717 | Global Opportunities Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Global Opportunities Portfolio

- **b. Investment Company Act file number:** 811-22350

- **c. CIK number of Registrant:** 0001475712

- **d. LEI of Registrant:** 732CSYB5YI2A4VM2EI15

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

  - **Street Address 1:** One Post Office Square

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-482-8260

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

- **a. Name of Series:** Global Opportunities Portfolio

- **b. EDGAR series identifier (if any):** S000027417

- **c. LEI of Series:** 732CSYB5YI2A4VM2EI15

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**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:** $14137676080.38

**Total Liabilities:** $4673548093.71

**Net Assets:** $9464127986.67

**Amount of Assets Invested in Other Investment Companies:** $22201475.95

**Delayed Delivery Securities:** $2709122257.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2923.40000000 | **1-Year:** -28621.30000000 | **5-Year:** -111213.40000000 | **10-Year:** -43330.31000000 | **30-Year:** -12207.10000000

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

- **3-Month:** -10628.87000000 | **1-Year:** -157931.10000000 | **5-Year:** -343647.74000000 | **10-Year:** -231675.99000000 | **30-Year:** -194235.35000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000082717 | 2.15%                | 0.53%                | 0.75%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $8838337.47              | $118370528.40                              |
| Month 2  | $14329215.27             | $31881907.78                               |
| Month 3  | $30223316.84             | $-3262190.67                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GLOBAL AUTO HO/AAG FH UK                                   | Global Auto Holdings Ltd/AAG FH UK Ltd                                                                                                     | CUSIP: 00033GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      1000000 | PA      | $963505.00     | 0.01%             | 2029-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| GLOBAL AUTO HO/AAG FH UK                                   | Global Auto Holdings Ltd/AAG FH UK Ltd                                                                                                     | CUSIP: 00033GAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      1000000 | PA      | $950009.30     | 0.01%             | 2032-01-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ABRA GLOBAL FINANCE                                        | ABRA Global Finance                                                                                                                        | CUSIP: 000852AC7<br>LEI: 2549007QS3P0D4KT9G26 | Long             | DBT              | CORP              | KY        |      6999382 | PA      | $6862019.13    | 0.07%             | 2029-10-22      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| Asset Based Lending LLC                                    | ABL 2024-RTL1                                                                                                                              | CUSIP: 00092EAA6<br>LEI: 254900C9FQN3N2YOSF41 | Long             | ABS-MBS          | CORP              | US        |     11050000 | PA      | $11134251.83   | 0.12%             | 2029-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Asset Based Lending LLC                                    | ABL 2025-RTL1                                                                                                                              | CUSIP: 00092RAB5<br>LEI: 254900C9FQN3N2YOSF41 | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1519015.35    | 0.02%             | 2030-06-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Aimco                                                      | Aimco CLO 11 Ltd                                                                                                                           | CUSIP: 00140NBC3<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4032056.00    | 0.04%             | 2037-07-17      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2021-SFR1 Trust                                                                                                                       | CUSIP: 00179DAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2250000 | PA      | $2146376.48    | 0.02%             | 2038-06-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR1 Trust                                                                                                                       | CUSIP: 00179WAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14000000 | PA      | $13758946.60   | 0.15%             | 2039-03-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                         | A&D Mortgage Trust 2024-NQM6                                                                                                               | CUSIP: 00249YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1440000 | PA      | $1473320.02    | 0.02%             | 2070-01-25      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| Abry Liquid Credit CLO Ltd                                 | Abry Liquid Credit CLO 2025-1 Ltd                                                                                                          | CUSIP: 00383LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5017075.00    | 0.05%             | 2038-10-20      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Achieve Mortgage                                           | ACHM Mortgage Trust 2024-HE1                                                                                                               | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       694715 | PA      | $724720.44     | 0.01%             | 2039-05-25      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| ADECOAGRO SA                                               | Adecoagro SA                                                                                                                               | CUSIP: 00676LAC0<br>LEI: 529900Q00UR5LFELO811 | Long             | DBT              | CORP              | LU        |      4559000 | PA      | $4313041.95    | 0.05%             | 2032-07-29      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AFFIRM HOLDINGS INC                                        | Affirm Holdings Inc                                                                                                                        | CUSIP: 00827BAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2540000 | PA      | $2763520.00    | 0.03%             | 2029-12-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                 | Airbnb Inc                                                                                                                                 | CUSIP: 009066AB7<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |      1933000 | PA      | $1904005.00    | 0.02%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                    | Akamai Technologies Inc                                                                                                                    | CUSIP: 00971TAN1<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      2365000 | PA      | $2239655.00    | 0.02%             | 2029-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                    | Akamai Technologies Inc                                                                                                                    | CUSIP: 00971TAP6<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      3520000 | PA      | $3564000.00    | 0.04%             | 2033-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                                      | Alibaba Group Holding Ltd                                                                                                                  | CUSIP: 01609WBG6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |      8404000 | PA      | $14879282.00   | 0.16%             | 2031-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Allegany Park CLO, Ltd.                                    | Allegany Park CLO Ltd                                                                                                                      | CUSIP: 01714PAL3<br>LEI: 549300D5KL0IVFLIND32 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $995664.00     | 0.01%             | 2035-01-20      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                                      | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    908740000 | PA      | $805299852.41  | 8.51%             | 2055-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                                      | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000000 | PA      | $497617175.00  | 5.26%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                                      | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1045600000 | PA      | $1056627786.36 | 11.16%            | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                         | Ally Financial Inc                                                                                                                         | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     16000000 | PA      | $15692728.00   | 0.17%             | 2026-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ALNYLAM PHARMACEUTICALS                                    | Alnylam Pharmaceuticals Inc                                                                                                                | CUSIP: 02043QAC1<br>LEI: 529900S3ZI14OWRJII50 | Long             | DBT              | CORP              | US        |      2540000 | PA      | $2546350.00    | 0.03%             | 2028-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALPHATEC HOLDINGS INC                                      | Alphatec Holdings Inc                                                                                                                      | CUSIP: 02081GAC6<br>LEI: 549300EZE8CQ8K65FS24 | Long             | DBT              | CORP              | US        |       870000 | PA      | $1245520.02    | 0.01%             | 2030-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AMPHASTAR PHARMACEUTICAL                                   | Amphastar Pharmaceuticals Inc                                                                                                              | CUSIP: 03209RAB9<br>LEI: 54930055TH0ZLSAQMJ38 | Long             | DBT              | CORP              | US        |      2170000 | PA      | $1971228.00    | 0.02%             | 2029-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMYNTA AGENCY/WARRANTY                                     | Amynta Agency Borrower Inc and Amynta Warranty Borrower Inc                                                                                | CUSIP: 03238AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5155855.00    | 0.05%             | 2033-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                               | Ares LXI CLO Ltd                                                                                                                           | CUSIP: 04019EAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3350000 | PA      | $3370210.55    | 0.04%             | 2037-04-20      | Floating      | 10.72%                | No            |                  2 | On Loan: No      |
| ARIS MINING CORP                                           | Aris Gold Corp                                                                                                                             | CUSIP: 04041BAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      1217537 | PA      | $1229334.93    | 0.01%             | 2027-08-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AUNA SA                                                    | Auna SA                                                                                                                                    | CUSIP: 05151AAA1<br>LEI: 254900SOGP7YC0N9I368 | Long             | DBT              | CORP              | LU        |      5369858 | PA      | $5708830.29    | 0.06%             | 2029-12-18      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                        | Avianca Midco 2 PLC                                                                                                                        | CUSIP: 05369YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      2515000 | PA      | $2497659.08    | 0.03%             | 2030-02-14      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                        | Avianca Midco 2 PLC                                                                                                                        | CUSIP: 05369YAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      8897431 | PA      | $8897431.00    | 0.09%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| AVNET INC                                                  | Avnet Inc                                                                                                                                  | CUSIP: 053807AY9<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |      1860000 | PA      | $1837680.00    | 0.02%             | 2030-09-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                        | Axon Enterprise Inc                                                                                                                        | CUSIP: 05464CAB7<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |       190000 | PA      | $608522.50     | 0.01%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc               | BAMLL Trust 2024-BHP                                                                                                                       | CUSIP: 05493WAC6<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $8056392.00    | 0.09%             | 2039-08-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc               | BAMLL Trust 2024-BHP                                                                                                                       | CUSIP: 05493WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $1702766.92    | 0.02%             | 2039-08-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                             | BAHA Trust 2024-MAR                                                                                                                        | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7822500 | PA      | $8172506.81    | 0.09%             | 2041-12-10      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                             | BAHA Trust 2024-MAR                                                                                                                        | CUSIP: 05493XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21000000 | PA      | $22060609.20   | 0.23%             | 2041-12-10      | Variable      | 8.91%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                             | BAHA Trust 2024-MAR                                                                                                                        | CUSIP: 05493XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36000000 | PA      | $38795666.40   | 0.41%             | 2041-12-10      | Variable      | 10.96%                | No            |                  2 | On Loan: No      |
| AZULE ENERGY FINANCE PLC                                   | Azule Energy Finance Plc                                                                                                                   | CUSIP: 05501YAA6<br>LEI: 2138006X6O82RJSQDB63 | Long             | DBT              | CORP              | GB        |      8402000 | PA      | $8452069.95    | 0.09%             | 2030-01-23      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD 2024-VICT Mortgage Trust                                                                                                              | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3300000 | PA      | $3316289.13    | 0.04%             | 2041-07-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Commercial Mortgage Trust 2025-660F                                                                                                   | CUSIP: 05556QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6400000 | PA      | $6428377.60    | 0.07%             | 2042-11-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Commercial Mortgage Trust 2025-660F                                                                                                   | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13300000 | PA      | $13362236.02   | 0.14%             | 2042-11-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                  | BPR Commercial Mortgage Trust 2024-PARK                                                                                                    | CUSIP: 05593UAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7300000 | PA      | $7924494.93    | 0.08%             | 2039-11-05      | Variable      | 9.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2023-DELC                                                                                                                         | CUSIP: 05610DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1521228.00    | 0.02%             | 2038-05-15      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2022-CSMO                                                                                                     | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12000000 | PA      | $12117492.00   | 0.13%             | 2027-06-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                              | Ballyrock CLO 14 Ltd                                                                                                                       | CUSIP: 05874XAW9<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2519812.50    | 0.03%             | 2037-07-20      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                              | Ballyrock CLO 2019-2 Ltd                                                                                                                   | CUSIP: 05875NAK6<br>LEI: 254900IF22Z7SA13VI60 | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $6021594.00    | 0.06%             | 2038-10-25      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                              | Ballyrock CLO 15 Ltd                                                                                                                       | CUSIP: 05875TAS6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7029246.00    | 0.07%             | 2038-01-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                              | Ballyrock CLO 15 Ltd                                                                                                                       | CUSIP: 05875UAE4<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1946200.00    | 0.02%             | 2038-01-15      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                              | Ballyrock CLO 18 Ltd                                                                                                                       | CUSIP: 05875XAE8<br>LEI: 2549009NE3IA6DAH4G62 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1944286.00    | 0.02%             | 2038-04-15      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                              | Ballyrock CLO 16 Ltd                                                                                                                       | CUSIP: 05876KAS4<br>LEI: 2549003CI27B7ZDOMR46 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2968071.00    | 0.03%             | 2038-04-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                              | Ballyrock CLO 16 Ltd                                                                                                                       | CUSIP: 05877AAE6<br>LEI: 2549003CI27B7ZDOMR46 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2822367.00    | 0.03%             | 2038-04-20      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| Banco BBVA Argentina SA                                    | Banco BBVA Argentina SA                                                                                                                    | CUSIP: 058934100<br>LEI: 579100KKDBKJFDKKD024 | Long             | EC               | CORP              | AR        |        11800 | NS      | $195526.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO DAVIVIENDA SA                                        | Banco Davivienda SA                                                                                                                        | CUSIP: 059501AG1<br>LEI: 549300P161V4IPKAQS70 | Long             | DBT              | CORP              | CO        |      6519000 | PA      | $6740399.13    | 0.07%             | 2035-07-02      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Banco Macro SA                                             | Banco Macro SA                                                                                                                             | CUSIP: 05961W105<br>LEI: 579100KKDKKIFEBKK040 | Long             | EC               | CORP              | AR        |         6800 | NS      | $615128.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO MACRO SA                                             | Banco Macro SA                                                                                                                             | CUSIP: 05963GAK4<br>LEI: 579100KKDKKIFEBKK040 | Long             | DBT              | CORP              | AR        |      5936000 | PA      | $5997140.80    | 0.06%             | 2029-06-23      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BANCO LATINOAMERICANO SA                                   | Banco Latinoamericano de Comercio Exterior SA                                                                                              | CUSIP: 05968CAD4<br>LEI: 549300CN3134K4LC0651 | Long             | DBT              | NUSS              | PA        |      2429000 | PA      | $2484320.48    | 0.03%             | 2032-09-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                   | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 05971PAD0<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      2002000 | PA      | $2096320.25    | 0.02%             | 2031-05-20      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PER                                   | Banco de Credito del Peru S.A.                                                                                                             | CUSIP: 05971U2K2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |      7308000 | PA      | $7355794.32    | 0.08%             | 2037-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                                                       | CUSIP: 060505682<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |         3000 | NS      | $3783000.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF GEORGIA JSC                                        | Bank of Georgia JSC                                                                                                                        | CUSIP: 062269AA3<br>LEI: 549300RPLD8RXL49Z691 | Long             | DBT              | CORP              | GE        |       200000 | PA      | $207005.03     | 0.00%             | 2029-07-16      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                          | Barclays Bank PLC                                                                                                                          | CUSIP: 06744EDH7<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |      2071000 | PA      | $2348990.33    | 0.02%             | 2029-02-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                             | Barings CLO Ltd 2023-II                                                                                                                    | CUSIP: 06763GAC2<br>LEI: 5493000BRJ0JDPJBIK61 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3015690.00    | 0.03%             | 2038-10-20      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                             | Barings Clo Ltd 2022-IV                                                                                                                    | CUSIP: 06763HAU0<br>LEI: 549300NRFNRCBGSJ3239 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5040340.00    | 0.05%             | 2037-10-20      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                             | Barings CLO Ltd 2025-I                                                                                                                     | CUSIP: 067927AJ2<br>LEI: 2549000XGGHFFMGI1592 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3022278.00    | 0.03%             | 2038-04-20      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                             | Barings CLO Ltd 2025-I                                                                                                                     | CUSIP: 067928AA9<br>LEI: 2549000XGGHFFMGI1592 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3945528.00    | 0.04%             | 2038-04-20      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                             | Barings CLO Ltd 2024-III                                                                                                                   | CUSIP: 067940AA4<br>LEI: 254900XKSMU0WUDSV074 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2017928.00    | 0.02%             | 2037-07-20      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                          | BATTALION CLO LTD                                                                                                                          | CUSIP: 07134FAG5<br>LEI: 5493006S0D1X0TK7V334 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5034750.00    | 0.05%             | 2037-03-13      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                          | Battalion CLO XXII Ltd                                                                                                                     | CUSIP: 07134KAJ8<br>LEI: 5493003R1TSL3IKE4V49 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1922982.00    | 0.02%             | 2035-01-20      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                          | Battalion CLO XXIX Ltd                                                                                                                     | CUSIP: 07135TAJ8<br>LEI: 254900BHK74DPDADPT35 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5032120.00    | 0.05%             | 2038-03-31      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                     | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX                                                               | CUSIP: 07336UAA1<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |      1771000 | PA      | $1960665.25    | 0.02%             | 2038-06-29      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO                                    | Beach Acquisition Bidco LLC                                                                                                                | CUSIP: 07337JAC1<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5380830.00    | 0.06%             | 2033-07-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Bear Mountain Park CLO, Ltd                                | Bear Mountain Park CLO Ltd                                                                                                                 | CUSIP: 07403KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1375000 | PA      | $1379827.63    | 0.01%             | 2037-07-15      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                            | Benefit Street Partners CLO XVI Ltd                                                                                                        | CUSIP: 08181VBG9<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2005130.00    | 0.02%             | 2038-01-17      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                            | Benefit Street Partners CLO XVI Ltd                                                                                                        | CUSIP: 08181VBJ3<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2509640.00    | 0.03%             | 2038-01-17      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                            | Benefit Street Partners Clo 41 Ltd                                                                                                         | CUSIP: 08186GAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5012000.00    | 0.05%             | 2038-07-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                            | Benefit Street Partners Clo XXII Ltd                                                                                                       | CUSIP: 08186UBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2008958.00    | 0.02%             | 2035-04-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                            | Benefit Street Partners Clo XXII Ltd                                                                                                       | CUSIP: 08186WAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1990574.00    | 0.02%             | 2035-04-20      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                            | Benefit Street Partners CLO XII-B Ltd                                                                                                      | CUSIP: 081917AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3023088.00    | 0.03%             | 2037-10-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS INC                                        | Bentley Systems Inc                                                                                                                        | CUSIP: 08265TAB5<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |      1195000 | PA      | $1187830.00    | 0.01%             | 2026-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BILL HOLDINGS INC                                          | BILL Holdings Inc                                                                                                                          | CUSIP: 090043AE0<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |      2330000 | PA      | $2069040.00    | 0.02%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                       | Birch Grove CLO 14 Ltd                                                                                                                     | CUSIP: 09090RAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5010605.00    | 0.05%             | 2037-07-22      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| BLACKLINE INC                                              | BlackLine Inc                                                                                                                              | CUSIP: 09239BAD1<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |      2455000 | PA      | $2415106.25    | 0.03%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BLACKLINE INC                                              | BlackLine Inc                                                                                                                              | CUSIP: 09239BAF6<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |      1860000 | PA      | $2002011.00    | 0.02%             | 2029-06-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Blueberry Park CLO                                         | Blueberry Park CLO Ltd                                                                                                                     | CUSIP: 09609QAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1500000 | PA      | $1505095.50    | 0.02%             | 2037-10-20      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO 2015-3 Ltd                                                                                                                | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |       829871 | PA      | $830177.40     | 0.01%             | 2031-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO 2015-3 Ltd                                                                                                                | CUSIP: 09628MAG9<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1751360.00    | 0.02%             | 2031-04-20      | Floating      | 9.55%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO 2016-3 Ltd                                                                                                                | CUSIP: 09628XAE0<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $980056.00     | 0.01%             | 2030-11-15      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO XXVI Ltd                                                                                                                  | CUSIP: 09630GAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3505386.50    | 0.04%             | 2034-10-20      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO XXX Ltd                                                                                                                   | CUSIP: 09630RAG4<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1950960.00    | 0.02%             | 2035-04-15      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO XXXIV Ltd                                                                                                                 | CUSIP: 09631KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $990332.00     | 0.01%             | 2035-04-20      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                              | Boeing Co/The                                                                                                                              | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        37000 | NS      | $2394640.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Brean Asset Backed Securities Trust                        | Brean Asset Backed Securities Trust 2023-RM6                                                                                               | CUSIP: 10638AAA4<br>LEI: 98450003CE714EY3D313 | Long             | ABS-MBS          | CORP              | US        |      3464403 | PA      | $3466827.31    | 0.04%             | 2063-01-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                               | Bridge 2024-SFR1 Trust                                                                                                                     | CUSIP: 10806DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2915000 | PA      | $2798540.21    | 0.03%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                               | Bridge 2024-SFR1 Trust                                                                                                                     | CUSIP: 10806DAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000000 | PA      | $967486.00     | 0.01%             | 2040-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRIDGEBIO PHARMA INC                                       | Bridgebio Pharma Inc                                                                                                                       | CUSIP: 10806XAH5<br>LEI: 54930028YG89VTY2J114 | Long             | DBT              | CORP              | US        |       660000 | PA      | $1000312.50    | 0.01%             | 2031-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                               | Bridge 2025-SFR1 Trust                                                                                                                     | CUSIP: 10807GAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1450000 | PA      | $1350000.61    | 0.01%             | 2042-09-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Brookhaven Park CLO Ltd                                    | Brookhaven Park CLO LTD                                                                                                                    | CUSIP: 113520AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3021033.00    | 0.03%             | 2037-04-19      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                    | Bryant Park Funding 2023-21 Ltd                                                                                                            | CUSIP: 117650AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2999256.00    | 0.03%             | 2038-10-18      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                    | Bryant Park Funding 2023-19 Ltd                                                                                                            | CUSIP: 11765AAY5<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |      5250000 | PA      | $5258226.75    | 0.06%             | 2038-04-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                    | Bryant Park Funding 2023-21 Ltd                                                                                                            | CUSIP: 11766BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3004470.00    | 0.03%             | 2038-10-18      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                    | Bryant Park Funding 2024-22 Ltd                                                                                                            | CUSIP: 11766CAJ3<br>LEI: 5493000N8L82QL1KEO96 | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $6046272.00    | 0.06%             | 2037-04-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                    | Bryant Park Funding 2023-20 Ltd                                                                                                            | CUSIP: 117919AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5016730.00    | 0.05%             | 2038-04-15      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2025-GW                                                                                                                           | CUSIP: 12433GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3950000 | PA      | $3975302.12    | 0.04%             | 2042-07-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2025-GW                                                                                                                           | CUSIP: 12433GAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19750000 | PA      | $19915935.55   | 0.21%             | 2042-07-15      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2023-H11 LLC                                                                                                                          | CUSIP: 12530KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7600000 | PA      | $7432580.36    | 0.08%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2023-H11 LLC                                                                                                                          | CUSIP: 12530KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2075000 | PA      | $2010021.17    | 0.02%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2023-H12 LLC                                                                                                                          | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11000000 | PA      | $10673004.10   | 0.11%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-HB13 LLC                                                                                                                         | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |      1150000 | PA      | $1094075.04    | 0.01%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-HB13 LLC                                                                                                                         | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $4740498.00    | 0.05%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-HB14 LLC                                                                                                                         | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1201744.63    | 0.01%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-HB14 LLC                                                                                                                         | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      1550000 | PA      | $1479555.76    | 0.02%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-HB14 LLC                                                                                                                         | CUSIP: 12530XAE1<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      8500000 | PA      | $8024658.75    | 0.08%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-R1 LLC                                                                                                                           | CUSIP: 12530YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5770000 | PA      | $5412225.38    | 0.06%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-R1 LLC                                                                                                                           | CUSIP: 12530YAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9932000 | PA      | $9088137.55    | 0.10%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | Cascade Funding Mortgage Trust                                                                                                             | CUSIP: 12531BAE8<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |      9300000 | PA      | $8684999.37    | 0.09%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                       | CHNGE Mortgage Trust 2022-NQM1                                                                                                             | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1764000 | PA      | $1776978.81    | 0.02%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                           | CIFC Funding 2022-III Ltd                                                                                                                  | CUSIP: 12571KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3750000 | PA      | $3761658.75    | 0.04%             | 2035-04-21      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                            | CMS Energy Corp                                                                                                                            | CUSIP: 125896BX7<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1984500.00    | 0.02%             | 2028-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2025-167G Mortgage Trust                                                                                                              | CUSIP: 12674VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20220000 | PA      | $20651165.21   | 0.22%             | 2040-08-10      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                      | Caesars Entertainment Inc                                                                                                                  | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2522380.00    | 0.03%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC                                           | Cajun Global LLC                                                                                                                           | CUSIP: 12803PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12400000 | PA      | $12726943.36   | 0.13%             | 2055-02-20      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC                                           | Cajun Global LLC                                                                                                                           | CUSIP: 12803VAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000000 | PA      | $9988960.00    | 0.11%             | 2055-11-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC                                           | Cajun Global LLC                                                                                                                           | CUSIP: 12803VAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17500000 | PA      | $17500000.00   | 0.18%             | 2055-11-20      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| CAMPOSOL SA                                                | Camposol SA                                                                                                                                | CUSIP: 134638AE5<br>LEI: 5493008B0STMH3JFSW17 | Long             | DBT              | CORP              | PE        |       562000 | PA      | $551986.99     | 0.01%             | 2027-02-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Canacol Energy Ltd                                         | Canacol Energy Ltd                                                                                                                         | CUSIP: 134808302<br>LEI: 549300X5MNRWPMSM9N14 | Long             | EC               | CORP              | CA        |       147000 | NS      | $236868.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Canyon Capital CLO Ltd                                     | Canyon Capital CLO 2016-1 Ltd                                                                                                              | CUSIP: 13876EAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3954504.00    | 0.04%             | 2031-07-15      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                     | Canyon Capital CLO 2017-1 Ltd                                                                                                              | CUSIP: 13876HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1988326.00    | 0.02%             | 2030-07-15      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                     | Canyon Capital CLO 2016-2 Ltd                                                                                                              | CUSIP: 13876WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $958937.00     | 0.01%             | 2031-10-15      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                     | Canyon CLO 2018-1 Ltd                                                                                                                      | CUSIP: 13877AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1997616.00    | 0.02%             | 2031-07-15      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                     | Canyon Capital CLO 2022-1 Ltd                                                                                                              | CUSIP: 13877JAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1900000 | PA      | $1883781.60    | 0.02%             | 2035-04-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                           | CARLYLE US CLO 2019-3 LTD                                                                                                                  | CUSIP: 14314KAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3035841.00    | 0.03%             | 2037-04-20      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                           | CARLYLE US CLO 2019-4 LTD                                                                                                                  | CUSIP: 14317VAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1750000 | PA      | $1754828.25    | 0.02%             | 2035-04-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                           | CARLYLE US CLO 2019-4 LTD                                                                                                                  | CUSIP: 14317WAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2013616.00    | 0.02%             | 2035-04-15      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                     | Cascade MH Asset Trust 2022-MH1                                                                                                            | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2434445 | PA      | $2376846.40    | 0.03%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor Abs Trust              | Center Street Lending Resi-Investor ABS Mortgage Trust 2024-RTL1                                                                           | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8450000 | PA      | $8581299.48    | 0.09%             | 2029-10-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                     | CenterPoint Energy Inc                                                                                                                     | CUSIP: 15189TBD8<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |      1175000 | PA      | $1295437.50    | 0.01%             | 2026-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                     | CenterPoint Energy Inc                                                                                                                     | CUSIP: 15189TBQ9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |      2260000 | PA      | $2294239.00    | 0.02%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Central Puerto SA                                          | Central Puerto SA                                                                                                                          | CUSIP: 155038201<br>LEI: 2549005JLIWQ6B7VNR38 | Long             | EC               | CORP              | AR        |         7600 | NS      | $118256.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DAYFORCE INC                                               | Dayforce Inc                                                                                                                               | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |      1205000 | PA      | $1183611.25    | 0.01%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-HB15 LLC                                                                                                                         | CUSIP: 15723AAD3<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $965923.80     | 0.01%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                             | CFMT 2024-HB15 LLC                                                                                                                         | CUSIP: 15723AAF8<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |      3750000 | PA      | $3606533.63    | 0.04%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHAMPIONS FINANCING INC                                    | Champions Financing Inc                                                                                                                    | CUSIP: 15870LAA6<br>LEI: 391200ZDD75EGEUJ7625 | Long             | DBT              | CORP              | US        |       127000 | PA      | $123239.82     | 0.00%             | 2029-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Crash Champions LLC                                        | Crash Champions LLC 2024 Term Loan B                                                                                                       | CUSIP: 15870MAC0<br>LEI: 391200ZDD75EGEUJ7625 | Long             | LON              | CORP              | US        |       115963 | PA      | $107610.17     | 0.00%             | 2029-02-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                               | Champs Trust 2024-1                                                                                                                        | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38330295 | PA      | $39758608.52   | 0.42%             | 2059-07-25      | Variable      | 8.78%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                               | Champs Trust 2024-2                                                                                                                        | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33936658 | PA      | $35477884.91   | 0.37%             | 2059-11-25      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                               | CHAMPS TRUST 2024-3                                                                                                                        | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63914613 | PA      | $66669850.02   | 0.70%             | 2060-01-25      | Variable      | 8.46%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                               | Champs Trust 2025-2                                                                                                                        | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91832624 | PA      | $95179408.55   | 1.01%             | 2060-10-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                               | Champs Trust 2025-1                                                                                                                        | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71605305 | PA      | $74976955.62   | 0.79%             | 2060-04-25      | Variable      | 7.85%                 | No            |                  2 | On Loan: No      |
| FIDEIC IRR ADMIN 4323                                      | Fideicomiso Irrevocable de Administracion y Fuente de Pago Numero CIB/4323                                                                 | CUSIP: 171928AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      1693000 | PA      | $609480.00     | 0.01%             | 2030-09-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLOUDFLARE INC                                             | Cloudflare Inc                                                                                                                             | CUSIP: 18915MAC1<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |      2160000 | PA      | $3015235.11    | 0.03%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLOUDFLARE INC                                             | Cloudflare Inc                                                                                                                             | CUSIP: 18915MAE7<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |      2350000 | PA      | $2945564.03    | 0.03%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                                     | Clydesdale Acquisition Holdings Inc                                                                                                        | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5014525.00    | 0.05%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                        | Coinbase Global Inc                                                                                                                        | CUSIP: 19260QAJ6<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      3940000 | PA      | $4400980.00    | 0.05%             | 2032-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENOVIS CORP                                                | Enovis Corp                                                                                                                                | CUSIP: 194014AB2<br>LEI: 635400OP2DYYYMOIYL17 | Long             | DBT              | CORP              | US        |      2250000 | PA      | $2246062.50    | 0.02%             | 2028-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CONFLUENT INC                                              | Confluent Inc                                                                                                                              | CUSIP: 20717MAB9<br>LEI: 254900MRZ83YWUV7SN74 | Long             | DBT              | CORP              | US        |      1265000 | PA      | $1209087.00    | 0.01%             | 2027-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                                                                   | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       726266 | PA      | $743568.58     | 0.01%             | 2039-09-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                                                                   | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8500000 | PA      | $8856048.85    | 0.09%             | 2041-10-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                                                 | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -908740000 | PA      | $-817075214.45 | -8.63%            | 2055-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cresud SACIF y A                                           | Cresud SACIF y A                                                                                                                           | CUSIP: 226406106<br>LEI: 529900OJF9C0NUFNN613 | Long             | EC               | CORP              | AR        |         3000 | NS      | $37110.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Crown City CLO                                             | Crown City CLO III                                                                                                                         | CUSIP: 22824DAN9<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $986115.00     | 0.01%             | 2034-07-20      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                                        | Crown Point CLO 10 Ltd                                                                                                                     | CUSIP: 22846GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2005210.00    | 0.02%             | 2034-07-20      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| CYTOKINETICS INC                                           | Cytokinetics Inc                                                                                                                           | CUSIP: 23282WAC4<br>LEI: 549300BE5DY1HW7IHA64 | Long             | DBT              | CORP              | US        |      1205000 | PA      | $1708690.00    | 0.02%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DATADOG INC                                                | Datadog Inc                                                                                                                                | CUSIP: 23804LAC7<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |      2604000 | PA      | $2768052.00    | 0.03%             | 2029-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                                 | Dexcom Inc                                                                                                                                 | CUSIP: 252131AM9<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |      1285000 | PA      | $1166458.75    | 0.01%             | 2028-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIFL US LLC                                   | Digicel International Finance Ltd / Difl US LLC                                                                                            | CUSIP: 25381MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      6060000 | PA      | $6038399.01    | 0.06%             | 2032-08-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                    | Digital Realty Trust LP                                                                                                                    | CUSIP: 25389JAX4<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |      2300000 | PA      | $2431560.00    | 0.03%             | 2029-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| DIGITALOCEAN HOLDINGS                                      | DigitalOcean Holdings Inc                                                                                                                  | CUSIP: 25402DAC6<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |      1180000 | PA      | $1481490.00    | 0.02%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Dominion Mortgage Trust                                    | Dominion Mortgage Trust 2025-RTL1                                                                                                          | CUSIP: 25746DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $9235854.00    | 0.10%             | 2030-03-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| DOORDASH INC                                               | DoorDash Inc                                                                                                                               | CUSIP: 25809KAA3<br>LEI: 549300NUQ43FGGSK5051 | Long             | DBT              | CORP              | US        |      2330000 | PA      | $2578145.00    | 0.03%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD NGN                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $-3835255.95   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD NGN                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $-727114.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED NGN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |            1 | NC      | $1222187.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED ISK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IS        |            1 | NC      | $-36718.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED ISK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IS        |            1 | NC      | $-11629.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED ISK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IS        |            1 | NC      | $-17359.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED AUD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |            1 | NC      | $-84110.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED AUD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |            1 | NC      | $-91536.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED AUD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |            1 | NC      | $-412855.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD NZD                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |            1 | NC      | $1390258.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                           | PURCHASED USD / SOLD ZAR                                                                                                                   | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |            1 | NC      | $-520188.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD ZAR                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |            1 | NC      | $-222697.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD INR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $46745.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD NZD                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $1472968.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                              | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |            1 | NC      | $706.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                              | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |            1 | NC      | $115567.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD GBP                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $301689.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-496327.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-18114.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED MXN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |            1 | NC      | $8242.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-4528.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-7878.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-217806.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-1853.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-237834.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-951336.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-24625.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED TWD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | TW        |            1 | NC      | $-1239774.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD COP                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-3549888.71   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-2539798.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-495865.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-24188.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                             | PURCHASED TWD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |            1 | NC      | $-1412687.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD ZAR                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-328699.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-74862.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-89248.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD COP                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-1381244.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-49472.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD COP                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-1520906.68   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $501273.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-387.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-43876.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-1627.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |            1 | NC      | $65186.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |            1 | NC      | $537.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |            1 | NC      | $2481.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $-2091015.56   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $379191.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $-7871.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $21216.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $144877.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $158945.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $146090.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $2459.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $69319.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $534509.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $-25565.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $9393.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD ZAR                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |            1 | NC      | $-550435.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED ISK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IS        |            1 | NC      | $-12801.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-10947.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-1313753.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-229906.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-16268.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-1392108.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-242938.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                             | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |            1 | NC      | $-90575.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-45742.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-104989.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD SAR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-5273.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-90532.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED NGN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |            1 | NC      | $329433.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED ISK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IS        |            1 | NC      | $-844.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD BRL                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $-369988.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD BRL                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |            1 | NC      | $187377.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD ZAR                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |            1 | NC      | $147454.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                              | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |            1 | NC      | $251124.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |            1 | NC      | $25130.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                              | PURCHASED USD / SOLD AUD                                                                                                                   | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |            1 | NC      | $826203.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |            1 | NC      | $67804.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |            1 | NC      | $258660.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |            1 | NC      | $67873.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |            1 | NC      | $470611.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PE        |            1 | NC      | $29.29         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED COP / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CO        |            1 | NC      | $426787.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                             | PURCHASED COP / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |            1 | NC      | $721669.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $-356.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $14712.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $15398.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $46308.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $5243.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $16910.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $-542.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                             | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |            1 | NC      | $71343.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $57568.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $54639.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $44398.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $3507.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $2786.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $1962.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $4933.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED COP / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CO        |            1 | NC      | $2060686.88    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $6586.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $5539.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $4240.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $353.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-397.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $4139.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $4590.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-166712.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $5579.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $5084.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $4532.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $11417.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-4055.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-3740.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $17420.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $12313.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $14778.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $3913.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $829.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $5105.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $2066.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                             | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |            1 | NC      | $-5.42         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $14691.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD OMR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $1021.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD OMR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $1114.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD OMR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $928.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD OMR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $1225.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                        | PURCHASED USD / SOLD TWD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $9495.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD HKD                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |            1 | NC      | $17.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |            1 | NC      | $140625.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |            1 | NC      | $24493.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $415246.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                    | Dryden 42 Senior Loan Fund                                                                                                                 | CUSIP: 26245AAC1<br>LEI: 549300GTVIVSKVBYOB52 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2004990.00    | 0.02%             | 2037-07-15      | Floating      | 10.40%                | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                    | Dryden 55 CLO Ltd                                                                                                                          | CUSIP: 26245QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $985176.00     | 0.01%             | 2031-04-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                           | Duke Energy Corp                                                                                                                           | CUSIP: 26441CBY0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      2380000 | PA      | $2565045.00    | 0.03%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                            | Durst Commercial Mortgage Trust 2025-151                                                                                                   | CUSIP: 266895AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20700000 | PA      | $21347173.08   | 0.23%             | 2042-08-10      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | EFMT 2024-RM2                                                                                                                              | CUSIP: 268431AA1<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |     17107964 | PA      | $16804114.86   | 0.18%             | 2054-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                              | EchoStar Corp                                                                                                                              | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      3074000 | PA      | $3386332.11    | 0.04%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| ECOBANK TRANSNATIONAL                                      | Ecobank Transnational Inc                                                                                                                  | CUSIP: 27889PAC7<br>LEI: 213800USCE9Y111R4656 | Long             | DBT              | CORP              | TG        |      2475000 | PA      | $2695361.55    | 0.03%             | 2029-10-15      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                                             | Eden Re II Ltd                                                                                                                             | CUSIP: 27954JAA5<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |     37500000 | PA      | $39873750.00   | 0.42%             | 2030-03-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Elmwood CLO VI Ltd.                                        | Elmwood CLO VI Ltd                                                                                                                         | CUSIP: 29001VBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1300000 | PA      | $1304860.70    | 0.01%             | 2037-07-18      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                                        | Elmwood CLO VI Ltd                                                                                                                         | CUSIP: 29001WAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $985424.00     | 0.01%             | 2037-07-18      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 16 Ltd                                         | Elmwood CLO 16 Ltd                                                                                                                         | CUSIP: 29002UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2016232.00    | 0.02%             | 2037-04-20      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 32 Ltd                                         | Elmwood CLO 32 Ltd                                                                                                                         | CUSIP: 29003TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3019839.00    | 0.03%             | 2037-10-18      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 14 Ltd                                         | Elmwood CLO 14 Ltd                                                                                                                         | CUSIP: 29003WAU9<br>LEI: 254900OL3XXZ9LCM4Q21 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2015748.00    | 0.02%             | 2038-10-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 40 Ltd                                         | Elmwood CLO 40 Ltd                                                                                                                         | CUSIP: 29004GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2026304.00    | 0.02%             | 2038-03-22      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                                   | Embraer Netherlands Finance BV                                                                                                             | CUSIP: 29082HAF9<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |      1186000 | PA      | $1188965.00    | 0.01%             | 2038-01-09      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Empresa Distribuidora Y Comercializadora Norte             | Empresa Distribuidora Y Comercializadora Norte                                                                                             | CUSIP: 29244A102<br>LEI: 254900JU7TV6VS9GRW29 | Long             | EC               | CORP              | AR        |         1500 | NS      | $49965.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Empower CLO Ltd.                                           | Empower CLO 2024-1 Ltd                                                                                                                     | CUSIP: 29244RAG0<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3020031.00    | 0.03%             | 2037-04-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| EMP DIST ELEC MENDOZA SA                                   | Empresa Distribuidora de Electricidad de Mendoza SA                                                                                        | CUSIP: 29245HAG1<br>LEI: 254900L7KLS0HQJ56Y35 | Long             | DBT              | CORP              | AR        |      7420000 | PA      | $6928425.00    | 0.07%             | 2031-07-28      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| ENVISTA HOLDINGS CORP                                      | Envista Holdings Corp                                                                                                                      | CUSIP: 29415FAD6<br>LEI: 549300BX623VURJZ5269 | Long             | DBT              | CORP              | US        |      2010000 | PA      | $1912012.50    | 0.02%             | 2028-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ETSY INC                                                   | Etsy Inc                                                                                                                                   | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |      2740000 | PA      | $2448875.00    | 0.03%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| EURONET WORLDWIDE INC                                      | Euronet Worldwide Inc                                                                                                                      | CUSIP: 298736AM1<br>LEI: YG3575C4DSHJPA5KET68 | Long             | DBT              | CORP              | US        |      1730000 | PA      | $1574300.00    | 0.02%             | 2030-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                                 | Evergy Inc                                                                                                                                 | CUSIP: 30034WAD8<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |      1395000 | PA      | $1775660.63    | 0.02%             | 2027-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EVOLENT HEALTH INC                                         | Evolent Health Inc                                                                                                                         | CUSIP: 30050BAH4<br>LEI: 549300CZOCFHQ2BBTR11 | Long             | DBT              | CORP              | US        |      1455000 | PA      | $1152360.00    | 0.01%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                        | Exact Sciences Corp                                                                                                                        | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |      2545000 | PA      | $2434292.50    | 0.03%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                        | Exact Sciences Corp                                                                                                                        | CUSIP: 30063PAD7<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |       910000 | PA      | $1024023.00    | 0.01%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                      | FMC Issuer Trust-FMSR                                                                                                                      | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37000000 | PA      | $37261908.20   | 0.39%             | 2029-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                          | Expedia Group Inc                                                                                                                          | CUSIP: 30212PBE4<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      2010000 | PA      | $2039145.00    | 0.02%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                | Extended Stay America Trust 2025-ESH                                                                                                       | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6750000 | PA      | $6813830.70    | 0.07%             | 2042-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                | Extended Stay America Trust 2025-ESH                                                                                                       | CUSIP: 30227TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11100000 | PA      | $11226131.52   | 0.12%             | 2042-10-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                | Extended Stay America Trust 2025-ESH                                                                                                       | CUSIP: 30227TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5766000 | PA      | $5842357.98    | 0.06%             | 2042-10-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                      | FMC GMSR Issuer Trust                                                                                                                      | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6250000 | PA      | $6287893.75    | 0.07%             | 2027-07-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica          | FRESB 2021-SB91 Mortgage Trust                                                                                                             | CUSIP: 30322XAE5<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |     21672141 | PA      | $564730.49     | 0.01%             | 2041-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica          | FRESB 2021-SB92 Mortgage Trust                                                                                                             | CUSIP: 30323PAJ0<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |     21194814 | PA      | $573542.26     | 0.01%             | 2041-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust                  | FARM 2022-1 Mortgage Trust                                                                                                                 | CUSIP: 30328CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2381112 | PA      | $1821344.35    | 0.02%             | 2052-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust                  | FARM 2024-1 Mortgage Trust                                                                                                                 | CUSIP: 30335JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3316214 | PA      | $2977842.16    | 0.03%             | 2053-10-01      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust                  | FARM 2023-1 Mortgage Trust                                                                                                                 | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2470912 | PA      | $1889358.04    | 0.02%             | 2052-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust                  | FARM 2025-1 Mortgage Trust                                                                                                                 | CUSIP: 30768CAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3780615 | PA      | $3360388.95    | 0.04%             | 2055-08-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 3128SGAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        13793 | PA      | $13403.76      | 0.00%             | 2035-01-01      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                                                      | CUSIP: 31335PL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        39337 | PA      | $41259.27      | 0.00%             | 2035-06-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                                           | CUSIP: 3133CKQZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1202750 | PA      | $1271571.93    | 0.01%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KQJL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1814160 | PA      | $1863056.23    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KQSZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5517521 | PA      | $5741784.87    | 0.06%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KQVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2041509 | PA      | $2097489.19    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3133TM7G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14764 | PA      | $15082.35      | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 31346AF83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        24184 | PA      | $23768.35      | 0.00%             | 2030-06-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A1A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23435 | PA      | $81.62         | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A1B20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32098 | PA      | $101.73        | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A1FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73964 | PA      | $594.33        | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A6AC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       345708 | PA      | $4735.79       | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A9Z50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1631508 | PA      | $73184.37      | 0.00%             | 2042-11-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AAJK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2025098 | PA      | $282973.64     | 0.00%             | 2042-12-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3466632 | PA      | $402530.06     | 0.00%             | 2043-01-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3117891 | PA      | $345523.88     | 0.00%             | 2043-01-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2218453 | PA      | $233494.53     | 0.00%             | 2043-01-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       319700 | PA      | $288085.17     | 0.00%             | 2043-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       207088 | PA      | $3150.10       | 0.00%             | 2041-11-25      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5669203 | PA      | $630497.85     | 0.01%             | 2043-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ACM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1924658 | PA      | $122388.70     | 0.00%             | 2033-03-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ADAG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1017660 | PA      | $65919.84      | 0.00%             | 2033-03-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AEXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1368641 | PA      | $113275.17     | 0.00%             | 2043-04-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AFPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1175148 | PA      | $25258.28      | 0.00%             | 2042-07-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2470156 | PA      | $371187.46     | 0.00%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AK2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14062 | PA      | $41.44         | 0.00%             | 2044-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AK7C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1049782 | PA      | $222496.38     | 0.00%             | 2044-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       621934 | PA      | $115030.10     | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       966297 | PA      | $139426.36     | 0.00%             | 2044-07-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       679420 | PA      | $41399.07      | 0.00%             | 2042-03-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKZ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1456996 | PA      | $269719.01     | 0.00%             | 2044-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AL5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1405084 | PA      | $265304.65     | 0.00%             | 2045-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ALU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       837988 | PA      | $160296.53     | 0.00%             | 2044-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AMXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1960232 | PA      | $69845.23      | 0.00%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AMYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1855764 | PA      | $294918.48     | 0.00%             | 2045-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ANEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       443894 | PA      | $80965.96      | 0.00%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ANH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1256571 | PA      | $179912.94     | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ANPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2211426 | PA      | $339621.30     | 0.00%             | 2045-05-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136APHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2413613 | PA      | $456578.02     | 0.00%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AQR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1019161 | PA      | $81073.03      | 0.00%             | 2045-08-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3292093 | PA      | $545945.11     | 0.01%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BGL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1437254 | PA      | $927569.56     | 0.01%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BGUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4017813 | PA      | $2625377.50    | 0.03%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BKU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9475108 | PA      | $1578972.34    | 0.02%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BPF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63163200 | PA      | $66111373.94   | 0.70%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BPM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5188654 | PA      | $5351795.13    | 0.06%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BPM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11482457 | PA      | $11893654.12   | 0.13%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BQFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85870938 | PA      | $11202735.45   | 0.12%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BTC92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1805714 | PA      | $1845255.28    | 0.02%             | 2054-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BTYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40757910 | PA      | $44034838.24   | 0.47%             | 2054-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUBV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19874888 | PA      | $21445149.49   | 0.23%             | 2055-01-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31516466 | PA      | $26915048.93   | 0.28%             | 2055-01-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUDK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11080448 | PA      | $11720272.60   | 0.12%             | 2055-01-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUH78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1045911 | PA      | $1085471.46    | 0.01%             | 2055-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16997568 | PA      | $18066194.58   | 0.19%             | 2055-01-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3129810 | PA      | $3123650.26    | 0.03%             | 2055-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12273475 | PA      | $13605204.80   | 0.14%             | 2055-02-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11497908 | PA      | $11601825.80   | 0.12%             | 2054-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18977224 | PA      | $19147655.07   | 0.20%             | 2054-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUWH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10266462 | PA      | $10355537.82   | 0.11%             | 2055-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13601994 | PA      | $14115826.85   | 0.15%             | 2055-05-25      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9103939 | PA      | $9455011.35    | 0.10%             | 2055-03-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22002852 | PA      | $24196298.16   | 0.26%             | 2055-03-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVPH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8398554 | PA      | $8748163.63    | 0.09%             | 2055-04-25      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14354039 | PA      | $14893224.05   | 0.16%             | 2055-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BWHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32886475 | PA      | $34983428.18   | 0.37%             | 2055-02-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BXSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29574979 | PA      | $29682306.80   | 0.31%             | 2055-10-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BXXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50720176 | PA      | $52601004.21   | 0.56%             | 2055-10-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY OP LP                                       | Federal Realty OP LP                                                                                                                       | CUSIP: 313747BD8<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              |  | US        |      1755000 | PA      | $1755877.50    | 0.02%             | 2029-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137ALAQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       417985 | PA      | $61064.27      | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AQWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       344528 | PA      | $6325.32       | 0.00%             | 2027-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AQX45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2980131 | PA      | $171625.46     | 0.00%             | 2032-06-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137ASS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       465937 | PA      | $16689.54      | 0.00%             | 2032-07-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AUJD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        80599 | PA      | $9190.78       | 0.00%             | 2041-12-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AUKL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1383644 | PA      | $84121.51      | 0.00%             | 2032-09-15      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AXRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       957483 | PA      | $58982.01      | 0.00%             | 2033-01-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AYTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       873154 | PA      | $54753.71      | 0.00%             | 2032-11-15      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B02M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1095139 | PA      | $70002.51      | 0.00%             | 2033-02-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B1DK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       188419 | PA      | $2371.26       | 0.00%             | 2028-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B1SA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       413674 | PA      | $46066.57      | 0.00%             | 2042-12-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B2EJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       974816 | PA      | $73770.84      | 0.00%             | 2043-05-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B66T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       516145 | PA      | $440138.51     | 0.00%             | 2043-11-15      | Floating      | 0.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BA5T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       395795 | PA      | $69852.69      | 0.00%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BASC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1063201 | PA      | $196988.69     | 0.00%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BC7B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        34038 | PA      | $202.11        | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BCY51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1134498 | PA      | $101242.99     | 0.00%             | 2044-06-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BDF76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1122651 | PA      | $122359.18     | 0.00%             | 2044-09-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BFCT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1590413 | PA      | $188349.06     | 0.00%             | 2044-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BFVY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       520084 | PA      | $371835.02     | 0.00%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BJ6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       732421 | PA      | $549091.67     | 0.01%             | 2045-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BKJC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       634445 | PA      | $19900.75      | 0.00%             | 2044-09-15      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       285593 | PA      | $8538.52       | 0.00%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLLW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2934144 | PA      | $349092.18     | 0.00%             | 2045-09-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6444840 | PA      | $775840.76     | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLYB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1384963 | PA      | $127169.29     | 0.00%             | 2045-07-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BSTQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1487650 | PA      | $267971.22     | 0.00%             | 2046-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BTSJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        69063 | PA      | $855.90        | 0.00%             | 2044-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BUPX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1285078 | PA      | $160988.84     | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137F3E59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1321042 | PA      | $269643.44     | 0.00%             | 2048-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137F7ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15983741 | PA      | $505596.10     | 0.01%             | 2050-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137F9WE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34388920 | PA      | $4622366.05    | 0.05%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FCN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1346927 | PA      | $275211.08     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FCT20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1069470 | PA      | $218713.32     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FFB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4318534 | PA      | $1874517.29    | 0.02%             | 2051-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FFSJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3410943 | PA      | $1513764.37    | 0.02%             | 2051-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H2W59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17038591 | PA      | $2666370.03    | 0.03%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H3EF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10785115 | PA      | $6832717.44    | 0.07%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H3V58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1621163 | PA      | $1155642.12    | 0.01%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H8CD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62215203 | PA      | $10624132.53   | 0.11%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H9EG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3786325 | PA      | $3908393.90    | 0.04%             | 2052-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24490004 | PA      | $3918672.43    | 0.04%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H9W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10900000 | PA      | $11294288.97   | 0.12%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HABQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3823326 | PA      | $3972896.86    | 0.04%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HADD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20000000 | PA      | $20607693.00   | 0.22%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HAPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6831729 | PA      | $7240701.70    | 0.08%             | 2053-10-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HAU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9676646 | PA      | $10288091.37   | 0.11%             | 2053-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HAXJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4107610 | PA      | $3570064.51    | 0.04%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HB7B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14599473 | PA      | $15122614.46   | 0.16%             | 2053-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HBGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8806338 | PA      | $8865515.23    | 0.09%             | 2054-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HBLJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14843258 | PA      | $14762242.02   | 0.16%             | 2054-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HBUF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17532319 | PA      | $17783192.94   | 0.19%             | 2054-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HC2Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8795189 | PA      | $9131526.81    | 0.10%             | 2054-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCHN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5026057 | PA      | $5213063.23    | 0.06%             | 2054-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4375716 | PA      | $4546208.07    | 0.05%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCP71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12855979 | PA      | $13336272.27   | 0.14%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10000000 | PA      | $10372950.00   | 0.11%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCR87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35605680 | PA      | $36130965.51   | 0.38%             | 2054-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HDMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15897717 | PA      | $16519077.60   | 0.17%             | 2054-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HDSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13071852 | PA      | $13557410.69   | 0.14%             | 2054-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HFA96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23043012 | PA      | $23895584.15   | 0.25%             | 2054-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HFKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14272993 | PA      | $14121152.46   | 0.15%             | 2054-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HFWF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5477927 | PA      | $5457121.26    | 0.06%             | 2054-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHC82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6907690 | PA      | $6900427.95    | 0.07%             | 2054-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHQN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9034990 | PA      | $9122838.85    | 0.10%             | 2054-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHTC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37967629 | PA      | $39772070.95   | 0.42%             | 2054-12-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13907413 | PA      | $14092082.50   | 0.15%             | 2055-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10791798 | PA      | $11431911.39   | 0.12%             | 2055-01-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHXC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16164653 | PA      | $16234063.90   | 0.17%             | 2055-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJAN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12951744 | PA      | $12970836.71   | 0.14%             | 2054-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJC21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32173561 | PA      | $35449667.61   | 0.37%             | 2054-10-25      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJCR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19955481 | PA      | $20134462.78   | 0.21%             | 2054-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32317088 | PA      | $35826955.20   | 0.38%             | 2055-02-25      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJG92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10593665 | PA      | $12011059.78   | 0.13%             | 2055-02-25      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29670320 | PA      | $33419795.83   | 0.35%             | 2055-02-25      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJN60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18181730 | PA      | $18277954.78   | 0.19%             | 2055-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJSR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22924317 | PA      | $23133582.34   | 0.24%             | 2055-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJXH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7724700 | PA      | $7727757.06    | 0.08%             | 2055-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJYC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26147765 | PA      | $27014488.48   | 0.29%             | 2055-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10461099 | PA      | $10777937.85   | 0.11%             | 2055-03-25      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKEH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31117808 | PA      | $31249586.10   | 0.33%             | 2054-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29383688 | PA      | $30454934.72   | 0.32%             | 2054-06-25      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6816034 | PA      | $7103340.42    | 0.08%             | 2055-03-25      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6399746 | PA      | $6672684.76    | 0.07%             | 2055-03-25      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKLL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2623066 | PA      | $2740460.07    | 0.03%             | 2055-03-25      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKM35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18702439 | PA      | $19612023.26   | 0.21%             | 2055-03-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKN42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26017676 | PA      | $27396909.53   | 0.29%             | 2055-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HL6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15483239 | PA      | $15967185.96   | 0.17%             | 2055-05-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HLNK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51262563 | PA      | $53149394.05   | 0.56%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HLQB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50237311 | PA      | $52220640.26   | 0.55%             | 2055-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HLTA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8513504 | PA      | $8702757.33    | 0.09%             | 2055-02-25      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HLZA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10448939 | PA      | $10729197.13   | 0.11%             | 2055-06-25      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HMLP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46189675 | PA      | $48144754.32   | 0.51%             | 2055-06-25      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HMNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28506189 | PA      | $29729425.16   | 0.31%             | 2055-08-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HMQ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9712400 | PA      | $10064674.99   | 0.11%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HN3P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40514298 | PA      | $42360561.13   | 0.45%             | 2055-09-25      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HNHF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10815710 | PA      | $11232793.94   | 0.12%             | 2055-10-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HNMA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7688832 | PA      | $7672645.84    | 0.08%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 31385HJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       195564 | PA      | $192494.03     | 0.00%             | 2035-08-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 31389AZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3784 | PA      | $3720.37       | 0.00%             | 2035-03-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 31393RTM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        22878 | PA      | $60.55         | 0.00%             | 2033-06-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31393YQ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       468323 | PA      | $18297.99      | 0.00%             | 2034-05-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31394CQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       642610 | PA      | $57045.91      | 0.00%             | 2035-03-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31394UD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       530857 | PA      | $42402.59      | 0.00%             | 2035-12-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31395NBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       477530 | PA      | $41164.97      | 0.00%             | 2036-06-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 31395T6U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       267191 | PA      | $19494.37      | 0.00%             | 2032-06-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 31396HJJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       377876 | PA      | $12135.41      | 0.00%             | 2030-09-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       468943 | PA      | $53003.05      | 0.00%             | 2036-07-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396LCN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       427829 | PA      | $31407.32      | 0.00%             | 2036-10-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396LLS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       513063 | PA      | $43979.91      | 0.00%             | 2036-11-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396LLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       342042 | PA      | $28601.30      | 0.00%             | 2036-11-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396QTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       285448 | PA      | $290964.38     | 0.00%             | 2039-08-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                                         | CUSIP: 31396RKW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       756376 | PA      | $53626.24      | 0.00%             | 2036-05-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396V5N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       779187 | PA      | $76021.87      | 0.00%             | 2037-06-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396YQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       837370 | PA      | $74640.61      | 0.00%             | 2038-04-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                                          | CUSIP: 31397L3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1319414 | PA      | $77314.27      | 0.00%             | 2038-07-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140ARS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1161501 | PA      | $1180183.29    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140N8ZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1514051 | PA      | $1582688.10    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140N8ZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2484188 | PA      | $2560070.16    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140NP2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1123794 | PA      | $1176495.39    | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140NQVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1514740 | PA      | $1580686.37    | 0.02%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QRSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4570761 | PA      | $4756543.33    | 0.05%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QSBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4843792 | PA      | $5036130.99    | 0.05%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QSLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10158333 | PA      | $10436885.74   | 0.11%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QSQ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       896736 | PA      | $931012.32     | 0.01%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 3140Y6ZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52044779 | PA      | $54103256.47   | 0.57%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                                            | CUSIP: 31416BUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        47646 | PA      | $50320.49      | 0.00%             | 2032-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                                           | CUSIP: 31425XXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5510076 | PA      | $5651267.80    | 0.06%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                                         | CUSIP: 3142FR2X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26007706 | PA      | $4567793.31    | 0.05%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                                         | CUSIP: 3142FR3N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7924376 | PA      | $1563238.58    | 0.02%             | 2050-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                | FIGRE Trust 2023-HE3                                                                                                                       | CUSIP: 31684CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3839001 | PA      | $3934530.95    | 0.04%             | 2053-11-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                | FIGRE Trust 2024-HE1                                                                                                                       | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1010382 | PA      | $1035151.75    | 0.01%             | 2054-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                | FIGRE Trust 2023-HE2                                                                                                                       | CUSIP: 316925AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3474045 | PA      | $3553227.80    | 0.04%             | 2053-05-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                | FIGRE Trust 2024-HE2                                                                                                                       | CUSIP: 316927AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1398843 | PA      | $1433064.58    | 0.02%             | 2054-05-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                             | Finance of America HECM Buyout 2024-HB1                                                                                                    | CUSIP: 31737DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11200000 | PA      | $10725451.52   | 0.11%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2021-SFR2 Trust                                                                                                             | CUSIP: 33767TAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12501000 | PA      | $12093949.94   | 0.13%             | 2038-09-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2021-SFR1 Trust                                                                                                             | CUSIP: 33767WAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19405000 | PA      | $19091506.40   | 0.20%             | 2038-08-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2021-SFR1 Trust                                                                                                             | CUSIP: 33767WAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37071000 | PA      | $36376300.58   | 0.38%             | 2038-08-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                             | FirstKey Homes 2021-SFR3 Trust                                                                                                             | CUSIP: 33768JAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9268000 | PA      | $8942508.77    | 0.09%             | 2038-12-17      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| FIVE9 INC                                                  | Five9 Inc                                                                                                                                  | CUSIP: 338307AF8<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |      1335000 | PA      | $1198162.50    | 0.01%             | 2029-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                    | Flagstar Mortgage Trust 2021-6INV                                                                                                          | CUSIP: 33851GBS3<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |      4010671 | PA      | $3395668.27    | 0.04%             | 2051-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                            | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                                                                                         | CUSIP: 34461WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25000000 | PA      | $25134400.00   | 0.27%             | 2039-12-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                            | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                                                                                         | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21240000 | PA      | $21420000.50   | 0.23%             | 2039-12-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                            | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                                                                                         | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29000000 | PA      | $29431299.60   | 0.31%             | 2039-12-15      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                         | Ford Motor Co                                                                                                                              | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      1269000 | PA      | $1331181.00    | 0.01%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FORTEBANK JSC                                              | ForteBank JSC                                                                                                                              | CUSIP: 34955XAB7<br>LEI: 529900TH5WJ6KE8N8Z35 | Long             | DBT              | CORP              | KZ        |      9679000 | PA      | $9859055.63    | 0.10%             | 2030-02-04      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-HQA1                                                                                                    | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |     35825000 | PA      | $41908701.19   | 0.44%             | 2033-08-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA2                                                                                                    | CUSIP: 35564KDY2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |      6610000 | PA      | $8153787.31    | 0.09%             | 2033-08-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA3                                                                                                    | CUSIP: 35564KFH7<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |      6500000 | PA      | $8082165.65    | 0.09%             | 2033-10-25      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-HQA2                                                                                                    | CUSIP: 35564KGS2<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |      4425000 | PA      | $5251842.67    | 0.06%             | 2033-12-25      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                                                    | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |     53570000 | PA      | $64139130.65   | 0.68%             | 2034-01-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA6                                                                                                    | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |     21140000 | PA      | $22317633.30   | 0.24%             | 2041-10-25      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA4                                                                                                    | CUSIP: 35564KYC7<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |     32500000 | PA      | $36545541.50   | 0.39%             | 2042-05-25      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA5                                                                                                    | CUSIP: 35564KZY8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |     30358594 | PA      | $35588827.22   | 0.38%             | 2042-06-25      | Floating      | 17.08%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR Trust 2019-HQA3                                                                                                          | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | USGSE             | US        |      1250000 | PA      | $1413242.38    | 0.01%             | 2049-09-25      | Floating      | 11.80%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2020-DNA6                                                                                                    | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |      6900000 | PA      | $7983170.97    | 0.08%             | 2050-12-25      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| Achieve Mortgage                                           | FREED Mortgage Trust 2022-HE1                                                                                                              | CUSIP: 35634KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1409666 | PA      | $1437894.98    | 0.02%             | 2037-10-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FRIGORIFICO CONCEPCION                                     | Frigorifico Concepcion SA                                                                                                                  | CUSIP: 358648AA1<br>LEI: 529900Q6VZVL47QJCQ91 | Long             | DBT              | CORP              | PY        |       907000 | PA      | $613132.00     | 0.01%             | 2028-07-21      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179W5K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        47225 | PA      | $48900.87      | 0.00%             | 2052-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6136299 | PA      | $6203884.96    | 0.07%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       381611 | PA      | $388368.10     | 0.00%             | 2054-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FCZU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        54747 | PA      | $55777.20      | 0.00%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FCZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       162278 | PA      | $165333.50     | 0.00%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2492327 | PA      | $2580527.96    | 0.03%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2787670 | PA      | $2920817.67    | 0.03%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2817514 | PA      | $2876988.67    | 0.03%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3207337 | PA      | $3318837.01    | 0.04%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9750511 | PA      | $9898441.26    | 0.10%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15109563 | PA      | $15197764.43   | 0.16%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618A0PG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2049398 | PA      | $2100984.97    | 0.02%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618A9D51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       292926 | PA      | $298441.02     | 0.00%             | 2062-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AFV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1010925 | PA      | $1042782.21    | 0.01%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1838161 | PA      | $1896087.42    | 0.02%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1604066 | PA      | $1654614.81    | 0.02%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AKMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        66116 | PA      | $67360.78      | 0.00%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AKMP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       145317 | PA      | $149896.55     | 0.00%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AKMR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144526 | PA      | $149079.97     | 0.00%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618APKQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174508 | PA      | $177792.95     | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618ATFW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       891832 | PA      | $929190.53     | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618ATL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1003711 | PA      | $1054976.32    | 0.01%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AVC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       199541 | PA      | $203297.55     | 0.00%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AWLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3476493 | PA      | $3507509.07    | 0.04%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B1QY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3040027 | PA      | $3067149.06    | 0.03%             | 2063-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B1RS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3765670 | PA      | $3836564.91    | 0.04%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B1RV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       991699 | PA      | $1022950.54    | 0.01%             | 2063-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B5XY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1002682 | PA      | $992292.39     | 0.01%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B5Y97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101089 | PA      | $102928.83     | 0.00%             | 2063-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B5YV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       153231 | PA      | $158059.84     | 0.00%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B72W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2047333 | PA      | $2085876.99    | 0.02%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B73P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       857223 | PA      | $873361.52     | 0.01%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B7Y36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       148611 | PA      | $151409.00     | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B7YD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       148984 | PA      | $153484.79     | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B96M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       114610 | PA      | $118072.32     | 0.00%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B9LK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       314175 | PA      | $320089.62     | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B9T61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1135150 | PA      | $1156521.28    | 0.01%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BA4D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2534246 | PA      | $2556855.14    | 0.03%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BAJJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       119564 | PA      | $121814.86     | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BAW98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        70650 | PA      | $72783.86      | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BBMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22149826 | PA      | $23047207.70   | 0.24%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1658347 | PA      | $1729262.94    | 0.02%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64298 | PA      | $65508.73      | 0.00%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCVY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1636937 | PA      | $1651541.34    | 0.02%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144426 | PA      | $147144.72     | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDH32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1056498 | PA      | $1099745.51    | 0.01%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDH40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       775962 | PA      | $807082.81     | 0.01%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDH57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1474205 | PA      | $1549684.98    | 0.02%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1692994 | PA      | $1777030.99    | 0.02%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDHY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2742939 | PA      | $2861949.94    | 0.03%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1351057 | PA      | $1398870.05    | 0.01%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1462533 | PA      | $1511091.77    | 0.02%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       725158 | PA      | $757528.03     | 0.01%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3556537 | PA      | $3666839.48    | 0.04%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       690095 | PA      | $724565.47     | 0.01%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1395621 | PA      | $1456609.91    | 0.02%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDNC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       286795 | PA      | $292194.45     | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDWK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       169475 | PA      | $172665.25     | 0.00%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BJD25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3710099 | PA      | $3796531.82    | 0.04%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9879977 | PA      | $10127116.12   | 0.11%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       930930 | PA      | $965153.40     | 0.01%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKM22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15349387 | PA      | $15957807.02   | 0.17%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6639560 | PA      | $6958392.77    | 0.07%             | 2053-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13054706 | PA      | $13293561.96   | 0.14%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6253009 | PA      | $6466481.51    | 0.07%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11058646 | PA      | $11260980.91   | 0.12%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1169747 | PA      | $1197116.01    | 0.01%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7544657 | PA      | $7895581.56    | 0.08%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4539264 | PA      | $4694230.20    | 0.05%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4596022 | PA      | $4809796.96    | 0.05%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8416006 | PA      | $8698061.53    | 0.09%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9784721 | PA      | $10172568.45   | 0.11%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17085050 | PA      | $17657641.25   | 0.19%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BLY35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5394355 | PA      | $5466165.27    | 0.06%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BQPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12023914 | PA      | $12512555.90   | 0.13%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BVQF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1358914 | PA      | $1421696.89    | 0.02%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BVV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1647578 | PA      | $1695072.65    | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BWMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3942074 | PA      | $4100921.00    | 0.04%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F25W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12746810 | PA      | $13547634.89   | 0.14%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F26S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1172037 | PA      | $1208386.31    | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7728976 | PA      | $8267690.40    | 0.09%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F3QA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       115965 | PA      | $119474.70     | 0.00%             | 2063-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FCGF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3424067 | PA      | $3567712.27    | 0.04%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FCGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2720661 | PA      | $2834797.08    | 0.03%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FGD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4211301 | PA      | $4374280.19    | 0.05%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FGD43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2116794 | PA      | $2215135.26    | 0.02%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FGRJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1237146 | PA      | $1296235.52    | 0.01%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FHBS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       292447 | PA      | $300099.12     | 0.00%             | 2053-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FLJP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3752138 | PA      | $3903331.77    | 0.04%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FQ4S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1642715 | PA      | $1743198.76    | 0.02%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FUBY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1123086 | PA      | $1168586.50    | 0.01%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FWK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1219454 | PA      | $1271601.98    | 0.01%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FYZB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3611613 | PA      | $3720629.83    | 0.04%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618G6SS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1327390 | PA      | $1361292.36    | 0.01%             | 2053-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618G7AA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       350446 | PA      | $359725.43     | 0.00%             | 2054-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618G7AE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       192424 | PA      | $198116.65     | 0.00%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBVG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6460817 | PA      | $6673307.82    | 0.07%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBVQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1588978 | PA      | $1640244.70    | 0.02%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBVS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1877192 | PA      | $1962745.70    | 0.02%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4739136 | PA      | $4892040.15    | 0.05%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GKQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       179049 | PA      | $185576.64     | 0.00%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GMGA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       212929 | PA      | $220829.09     | 0.00%             | 2054-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GMJS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       483814 | PA      | $495717.25     | 0.01%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GMJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       110663 | PA      | $114283.01     | 0.00%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GWYD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       530344 | PA      | $543713.19     | 0.01%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GWYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       394971 | PA      | $404927.21     | 0.00%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GYJR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       100594 | PA      | $103669.79     | 0.00%             | 2064-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618H9SQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10544755 | PA      | $10881677.41   | 0.11%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618H9TR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5157175 | PA      | $5318731.52    | 0.06%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618H9TS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5312224 | PA      | $5546031.21    | 0.06%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HQWU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       511858 | PA      | $523491.96     | 0.01%             | 2054-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HQWX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       652609 | PA      | $668040.53     | 0.01%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1032112 | PA      | $1062056.94    | 0.01%             | 2064-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1303562 | PA      | $1342532.66    | 0.01%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3856432 | PA      | $3968318.73    | 0.04%             | 2064-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2359330 | PA      | $2429862.25    | 0.03%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTBJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1010501 | PA      | $1040709.99    | 0.01%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J7ET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4831354 | PA      | $4916273.39    | 0.05%             | 2064-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J7EV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2416561 | PA      | $2488804.91    | 0.03%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J7EW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       897306 | PA      | $923900.23     | 0.01%             | 2064-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J8D70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4466389 | PA      | $4599912.37    | 0.05%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J8X29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4456088 | PA      | $4587327.51    | 0.05%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618JKPK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       702307 | PA      | $723302.55     | 0.01%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618LW3H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11190159 | PA      | $11514819.64   | 0.12%             | 2065-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36202C3Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          158 | PA      | $163.00        | 0.00%             | 2028-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3622ACWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2633567 | PA      | $2702476.08    | 0.03%             | 2053-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                           | GWT 2024-WLF2                                                                                                                              | CUSIP: 362414AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10800000 | PA      | $10880196.48   | 0.11%             | 2041-05-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                           | GWT 2024-WLF2                                                                                                                              | CUSIP: 362414AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $7078844.50    | 0.07%             | 2041-05-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GOL FINANCE                                                | Gol Finance Inc                                                                                                                            | CUSIP: 36254VAN8<br>LEI: 549300FRXVB8W0960Y03 | Long             | DBT              | CORP              | KY        |     10239000 | PA      | $10403335.95   | 0.11%             | 2030-06-06      | Fixed         | 14.38%                | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                        | GS Mortgage-Backed Securities Trust 2022-PJ6                                                                                               | CUSIP: 36267JBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1842101 | PA      | $1143881.47    | 0.01%             | 2053-01-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                        | GS Mortgage-Backed Securities Trust 2024-PJ1                                                                                               | CUSIP: 36268VBX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5626634 | PA      | $5785243.95    | 0.06%             | 2054-06-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                        | GS Mortgage-Backed Securities Trust 2025-NQM2                                                                                              | CUSIP: 36272EAE4<br>LEI: 254900WJFO182DZH8M35 | Long             | ABS-MBS          | CORP              | US        |       850000 | PA      | $878729.24     | 0.01%             | 2065-06-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                        | GS Mortgage-Backed Securities Trust 2025-PJ8                                                                                               | CUSIP: 36272XCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3422288 | PA      | $3320466.30    | 0.04%             | 2056-02-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| GALAXY DIGITAL HOLDIN LP                                   | Galaxy Digital Holdings LP                                                                                                                 | CUSIP: 36317GAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2100000 | PA      | $2074275.00    | 0.02%             | 2031-05-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                             | Galaxy 31 Clo Ltd                                                                                                                          | CUSIP: 36320HAS8<br>LEI: 549300XTB6S9P2VMDV60 | Long             | ABS-CBDO         | CORP              | KY        |      2300000 | PA      | $2303813.40    | 0.02%             | 2038-07-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                             | Galaxy 33 CLO Ltd                                                                                                                          | CUSIP: 36321EAL9<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2006716.00    | 0.02%             | 2037-04-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                             | Galaxy 33 CLO Ltd                                                                                                                          | CUSIP: 36321FAA0<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |      2300000 | PA      | $2305897.20    | 0.02%             | 2037-04-20      | Floating      | 10.53%                | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                             | Galaxy 34 Clo Ltd                                                                                                                          | CUSIP: 36322BAA8<br>LEI: 3912002JK68FWHXUMG23 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3005490.00    | 0.03%             | 2037-10-20      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| GENER MEDIT/CENT TERMICA                                   | Generacion Mediterranea SA / Central Termica Roca SA                                                                                       | CUSIP: 36875KAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |      3774525 | PA      | $2153040.39    | 0.02%             | 2031-11-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                        | Global Payments Inc                                                                                                                        | CUSIP: 37940XAU6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      2750000 | PA      | $2487375.00    | 0.03%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Goddard Funding LLC                                        | Goddard Funding LLC                                                                                                                        | CUSIP: 380241AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6825000 | PA      | $6905573.22    | 0.07%             | 2052-10-30      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                            | Golub Capital Partners CLO 53B Ltd                                                                                                         | CUSIP: 38177YAS1<br>LEI: 254900DPK2EA9C8DGV68 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1970144.00    | 0.02%             | 2034-07-20      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners Funding                             | Golub Capital Partners ABS Funding 2024-2                                                                                                  | CUSIP: 38180AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $5012355.00    | 0.05%             | 2034-07-25      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                            | Golub Capital Partners CLO 74 B Ltd                                                                                                        | CUSIP: 38190CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2000000 | PA      | $2016584.00    | 0.02%             | 2037-07-25      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                            | Golub Capital Partners CLO 72 B Ltd                                                                                                        | CUSIP: 381941AG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      3500000 | PA      | $3520587.00    | 0.04%             | 2037-04-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38379CAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1810508 | PA      | $66518.08      | 0.00%             | 2042-10-20      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38380FYW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3493026 | PA      | $440351.25     | 0.00%             | 2047-07-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38380GWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3126014 | PA      | $136619.30     | 0.00%             | 2047-09-20      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38380TU53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2299180 | PA      | $102469.64     | 0.00%             | 2047-08-20      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24348929 | PA      | $1499502.01    | 0.02%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381DRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25678274 | PA      | $1320718.34    | 0.01%             | 2063-04-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381DZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62429551 | PA      | $3360670.12    | 0.04%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65077219 | PA      | $3153697.37    | 0.03%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NAF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32588991 | PA      | $34054510.03   | 0.36%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36551274 | PA      | $38347563.97   | 0.41%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28053238 | PA      | $28307821.59   | 0.30%             | 2055-07-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16464538 | PA      | $17146812.64   | 0.18%             | 2055-06-20      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16793828 | PA      | $17513417.76   | 0.19%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NMP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10372659 | PA      | $10881637.73   | 0.11%             | 2055-06-20      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68163186 | PA      | $71712592.88   | 0.76%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381NXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25026098 | PA      | $26240406.46   | 0.28%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381PAA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44557042 | PA      | $46746770.68   | 0.49%             | 2055-07-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381PWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101983182 | PA      | $107003666.39  | 1.13%             | 2055-07-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381QYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12354854 | PA      | $12614627.45   | 0.13%             | 2055-04-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38381UBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3972140 | PA      | $4072049.73    | 0.04%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382HYT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14587591 | PA      | $1886869.82    | 0.02%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382J3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44317305 | PA      | $5730644.16    | 0.06%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382J3W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1017327 | PA      | $161070.30     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382J4V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4541399 | PA      | $29126.26      | 0.00%             | 2050-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382JNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6032840 | PA      | $878525.03     | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382KAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11697140 | PA      | $1855545.96    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382KUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10359966 | PA      | $1628368.05    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382KWY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14912851 | PA      | $1837475.75    | 0.02%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382KXR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7962759 | PA      | $974768.34     | 0.01%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382LAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24652823 | PA      | $3044065.25    | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382LJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25305838 | PA      | $3991998.49    | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382LPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18539968 | PA      | $2402237.61    | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382LQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6339799 | PA      | $825338.44     | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382M2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27063261 | PA      | $3541912.35    | 0.04%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382MGX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23801044 | PA      | $3078358.06    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382NXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9748171 | PA      | $1513895.35    | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382NYY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3391042 | PA      | $447199.96     | 0.00%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382P3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2197289 | PA      | $334634.70     | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382QP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10287483 | PA      | $240731.22     | 0.00%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382URP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7585769 | PA      | $1262116.03    | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382VLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30017017 | PA      | $3518027.37    | 0.04%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382VMR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26798428 | PA      | $3557335.91    | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382WAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5064297 | PA      | $852053.56     | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382WGF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13676361 | PA      | $353650.18     | 0.00%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38382XJH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1792515 | PA      | $1171439.60    | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383AFE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36919194 | PA      | $5182570.64    | 0.05%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383AZU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14110598 | PA      | $1631369.28    | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30000000 | PA      | $31236709.50   | 0.33%             | 2055-10-20      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383BN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14666667 | PA      | $15172349.48   | 0.16%             | 2055-09-20      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383CB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22238222 | PA      | $63005.33      | 0.00%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383CB74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11194215 | PA      | $31627.02      | 0.00%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45618093 | PA      | $2471624.77    | 0.03%             | 2063-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383CZ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20304053 | PA      | $2328371.36    | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383DB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14883421 | PA      | $1985561.44    | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383DSE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21150397 | PA      | $154209.66     | 0.00%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383DUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33710641 | PA      | $4746822.36    | 0.05%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383GT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       299852 | PA      | $178093.87     | 0.00%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7267395 | PA      | $332059.98     | 0.00%             | 2053-01-20      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3894989 | PA      | $4429594.71    | 0.05%             | 2052-11-20      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383LCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8382606 | PA      | $9257208.84    | 0.10%             | 2052-11-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383LGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5450255 | PA      | $5700287.56    | 0.06%             | 2052-11-20      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49219007 | PA      | $687678.12     | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383TS46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36678595 | PA      | $536329.09     | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383TUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20701365 | PA      | $2993405.96    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5652851 | PA      | $6235601.27    | 0.07%             | 2052-10-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18339297 | PA      | $113538.59     | 0.00%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36678595 | PA      | $498065.98     | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165053677 | PA      | $1021847.32    | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366785949 | PA      | $4606574.77    | 0.05%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383UQX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105994470 | PA      | $865752.23     | 0.01%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383V2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11900321 | PA      | $758165.28     | 0.01%             | 2053-02-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383VQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37030175 | PA      | $2352858.46    | 0.02%             | 2053-02-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383VUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14158489 | PA      | $679256.33     | 0.01%             | 2053-02-20      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10971904 | PA      | $697143.25     | 0.01%             | 2053-02-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383VXN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8228928 | PA      | $522857.44     | 0.01%             | 2053-02-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10971904 | PA      | $697143.25     | 0.01%             | 2053-02-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383WCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21943808 | PA      | $787863.88     | 0.01%             | 2053-02-20      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383WHB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27508926 | PA      | $1682737.51    | 0.02%             | 2053-03-20      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34839753 | PA      | $2174878.55    | 0.02%             | 2053-03-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383WJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42506901 | PA      | $2409548.32    | 0.03%             | 2053-03-20      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17486083 | PA      | $1074138.58    | 0.01%             | 2053-03-20      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383WN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11613251 | PA      | $724959.50     | 0.01%             | 2053-03-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383X2T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18373300 | PA      | $19080797.45   | 0.20%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383X6V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5036489 | PA      | $5235132.16    | 0.06%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383XB86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23487221 | PA      | $1421181.22    | 0.02%             | 2053-04-20      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383XXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000000 | PA      | $20410518.00   | 0.22%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38383XYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11848464 | PA      | $12868606.69   | 0.14%             | 2053-04-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384ABM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12346900 | PA      | $12834327.21   | 0.14%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384ACL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23167652 | PA      | $25155766.56   | 0.27%             | 2053-05-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384AF65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5477818 | PA      | $5720999.16    | 0.06%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384AGA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5366125 | PA      | $5752629.66    | 0.06%             | 2053-05-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384AGE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11130015 | PA      | $12266303.59   | 0.13%             | 2053-05-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384AM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5089528 | PA      | $5495575.88    | 0.06%             | 2053-06-20      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384ARX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4282555 | PA      | $4644643.76    | 0.05%             | 2053-05-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384ARZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3822683 | PA      | $4145889.90    | 0.04%             | 2053-05-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8000000 | PA      | $8314348.00    | 0.09%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384B3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000000 | PA      | $20634640.00   | 0.22%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384B4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13235779 | PA      | $13758766.98   | 0.15%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384B4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11099115 | PA      | $11536282.50   | 0.12%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384BL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7739996 | PA      | $7965493.92    | 0.08%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384BLW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6815052 | PA      | $7263213.07    | 0.08%             | 2053-06-20      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384BRB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4881682 | PA      | $5284953.57    | 0.06%             | 2053-06-20      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384BS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3000000 | PA      | $3119115.60    | 0.03%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384BY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10000000 | PA      | $10391814.00   | 0.11%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384C6Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2502295 | PA      | $2604772.77    | 0.03%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384C7X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1864464 | PA      | $2201472.02    | 0.02%             | 2053-10-20      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384D3W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9325429 | PA      | $9674282.11    | 0.10%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384D7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25000000 | PA      | $26185915.00   | 0.28%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384D7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81056000 | PA      | $83547061.63   | 0.88%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384DFS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5141442 | PA      | $5739229.47    | 0.06%             | 2053-10-20      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384DL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5000000 | PA      | $5255528.00    | 0.06%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384DLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6349000 | PA      | $6619691.07    | 0.07%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384DUF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5318213 | PA      | $5515741.54    | 0.06%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384E8K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5719778 | PA      | $6725162.52    | 0.07%             | 2053-10-20      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384EDD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2618000 | PA      | $2719960.89    | 0.03%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384ELZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8623214 | PA      | $9664280.85    | 0.10%             | 2053-09-20      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384GA26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5444816 | PA      | $5664671.68    | 0.06%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384GB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33175125 | PA      | $34044890.20   | 0.36%             | 2053-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384GBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8554500 | PA      | $8874571.75    | 0.09%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384GQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12883430 | PA      | $13351358.75   | 0.14%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384GV49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2073436 | PA      | $2153690.83    | 0.02%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384GX96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5000000 | PA      | $5220066.50    | 0.06%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384GZ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6784361 | PA      | $7049478.90    | 0.07%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384H5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2500000 | PA      | $2597494.25    | 0.03%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384HZ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12142406 | PA      | $12372835.96   | 0.13%             | 2054-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384J2U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10957699 | PA      | $11271004.93   | 0.12%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384J7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15817928 | PA      | $16480381.28   | 0.17%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384JQ56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2804439 | PA      | $2914190.16    | 0.03%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384JW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3889011 | PA      | $4037352.51    | 0.04%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384K3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1905747 | PA      | $1980305.35    | 0.02%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384KGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4214000 | PA      | $4363666.11    | 0.05%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384KJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9576470 | PA      | $9753318.25    | 0.10%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384KQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24976230 | PA      | $25969774.44   | 0.27%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384KR45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10835183 | PA      | $11266202.25   | 0.12%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384MAU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30945346 | PA      | $32183735.42   | 0.34%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384MG68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12662662 | PA      | $13169205.20   | 0.14%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384MLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10766936 | PA      | $1360960.06    | 0.01%             | 2064-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384MR90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3988320 | PA      | $4150141.68    | 0.04%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384NC52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6171515 | PA      | $6417137.78    | 0.07%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384P5D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10497275 | PA      | $10790358.96   | 0.11%             | 2054-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384U6C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5100000 | PA      | $5196314.01    | 0.05%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384UBB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2370902 | PA      | $2465491.75    | 0.03%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384UBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3000941 | PA      | $3125965.83    | 0.03%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384UHX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41193127 | PA      | $42860138.75   | 0.45%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5235005 | PA      | $5422877.52    | 0.06%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384USC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17575042 | PA      | $17969715.80   | 0.19%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384UTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6302427 | PA      | $6318469.40    | 0.07%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384UVE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8333147 | PA      | $8626351.10    | 0.09%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384UVG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5175702 | PA      | $5261441.13    | 0.06%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384WH81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6817664 | PA      | $7086183.15    | 0.07%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16058831 | PA      | $16488205.50   | 0.17%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384XRM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9124835 | PA      | $9368715.21    | 0.10%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384XWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6665563 | PA      | $6900079.43    | 0.07%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384YC25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1356246 | PA      | $1410323.60    | 0.01%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384YYX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8873826 | PA      | $9100056.24    | 0.10%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38384YZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5415147 | PA      | $5556970.45    | 0.06%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385BNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3012839 | PA      | $3007364.12    | 0.03%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385E2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10783376 | PA      | $11101571.64   | 0.12%             | 2055-04-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385EBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5578359 | PA      | $5718485.25    | 0.06%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385EJ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27676845 | PA      | $28735966.24   | 0.30%             | 2055-03-20      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385ENX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22805487 | PA      | $23191390.07   | 0.25%             | 2065-03-20      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385EP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22078489 | PA      | $22858303.35   | 0.24%             | 2055-04-20      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385EQE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11420340 | PA      | $11857367.12   | 0.13%             | 2055-03-20      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385F3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5414658 | PA      | $5615790.53    | 0.06%             | 2055-05-20      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385FCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15995341 | PA      | $16750428.35   | 0.18%             | 2055-04-20      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41127907 | PA      | $42589732.84   | 0.45%             | 2055-04-20      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385FPN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16338448 | PA      | $16772119.93   | 0.18%             | 2055-04-20      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385GQB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26523247 | PA      | $27228277.30   | 0.29%             | 2055-04-20      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                                                   | CUSIP: 38385GYJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19646850 | PA      | $20195678.45   | 0.21%             | 2055-05-20      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                         | Gracie Point International Funding 2025-1 LLC                                                                                              | CUSIP: 38411WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       750000 | PA      | $752183.40     | 0.01%             | 2028-08-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                           | Great Wolf Trust 2024-WOLF                                                                                                                 | CUSIP: 39152MAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2529235.00    | 0.03%             | 2039-03-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS MU                                   | Greenko Wind Projects Mauritius Ltd                                                                                                        | CUSIP: 39531JAB0<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |      1128000 | PA      | $1146607.65    | 0.01%             | 2028-09-27      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Grupo Financiero Galicia SA                                | Grupo Financiero Galicia SA                                                                                                                | CUSIP: 399909100<br>LEI: 5299008H3AXIXV5G3C23 | Long             | EC               | CORP              | AR        |        19000 | NS      | $1123470.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Grupo Supervielle SA                                       | Grupo Supervielle SA                                                                                                                       | CUSIP: 40054A108<br>LEI: 549300IQJL3KLZ3IYQ14 | Long             | EC               | CORP              | AR        |         9800 | NS      | $121716.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GRUPO AEROMEXICO SAB                                       | Grupo Aeromexico SAB de CV                                                                                                                 | CUSIP: 40054JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      9129000 | PA      | $9177447.15    | 0.10%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust 2024-DPLO                   | HLTN COMMERCIAL MORTGAGE TRUST                                                                                                             | CUSIP: 40424UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $1005334.20    | 0.01%             | 2041-06-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management Ltd                                    | Highbridge Loan Management 3-2014                                                                                                          | CUSIP: 40436YAA3<br>LEI: 5493006ZY0SLETMEU160 | Long             | ABS-CBDO         | CORP              | KY        |      2754422 | PA      | $2553446.05    | 0.03%             | 2029-07-18      | Floating      | 10.65%                | No            |                  2 | On Loan: No      |
| HTS Funding DE LLC                                         | HTS Fund II LLC                                                                                                                            | CUSIP: 40456GAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1150000 | PA      | $1150895.39    | 0.01%             | 2045-06-23      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| HAEMONETICS CORP                                           | Haemonetics Corp                                                                                                                           | CUSIP: 405024AD2<br>LEI: 549300ZEL6TXZS6F5F95 | Long             | DBT              | CORP              | US        |      1810000 | PA      | $1702667.00    | 0.02%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                       | Halseypoint Clo 5 Ltd                                                                                                                      | CUSIP: 406371AG9<br>LEI: 549300VBED2CGY7JQG51 | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3512943.00    | 0.04%             | 2035-01-30      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| HALOZYME THERAPEUTICS IN                                   | Halozyme Therapeutics Inc                                                                                                                  | CUSIP: 40637HAF6<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |      2075000 | PA      | $2726550.00    | 0.03%             | 2028-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST                      | Harvest Commercial Capital Loan Trust 2019-1                                                                                               | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9500000 | PA      | $9198563.10    | 0.10%             | 2046-09-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd                                         | Harvest US CLO 2024-3 Ltd                                                                                                                  | CUSIP: 41756FAJ5<br>LEI: 213800RQBB83K4W6BX61 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1006190.00    | 0.01%             | 2038-01-18      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd                                         | Harvest US CLO 2024-2 Ltd                                                                                                                  | CUSIP: 41756XAA5<br>LEI: 213800RQBB83K4W6BX61 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1009202.00    | 0.01%             | 2037-10-15      | Floating      | 10.80%                | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd                                         | Harvest US CLO 2024-2 Ltd                                                                                                                  | CUSIP: 41756YAJ4<br>LEI: 213800RQBB83K4W6BX61 | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3514749.00    | 0.04%             | 2037-10-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                           | Hewlett Packard Enterprise Co                                                                                                              | CUSIP: 42824C208<br>LEI: 549300BX44RGX6ANDV88 | Long             | EP               | CORP              | US        |        36000 | NS      | $2432880.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                      | Hightower Holding LLC                                                                                                                      | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2153702.00    | 0.02%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                             | Home Partners of America 2021-2 Trust                                                                                                      | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28897338 | PA      | $28192887.52   | 0.30%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                             | Home Partners of America 2021-2 Trust                                                                                                      | CUSIP: 43732VAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44792686 | PA      | $43771748.45   | 0.46%             | 2026-12-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| H WORLD GROUP LTD                                          | H World Group Ltd                                                                                                                          | CUSIP: 44332NAB2<br>LEI: 549300Y5ML31FVN83730 | Long             | DBT              | CORP              | KY        |      2227000 | PA      | $2453040.50    | 0.03%             | 2026-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                               | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                      | CUSIP: 44855PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $2070126.00    | 0.02%             | 2040-01-13      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                               | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                      | CUSIP: 44855PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1750000 | PA      | $1779195.60    | 0.02%             | 2040-01-13      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP FINANCECO 3                                    | Match Group Financeco 3 Inc                                                                                                                | CUSIP: 44932KAA4<br>LEI: 5493003IEL8HSZKWUI17 | Long             | DBT              | CORP              | US        |      1350000 | PA      | $1225125.00    | 0.01%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IRSA Inversiones y Representaciones SA                     | IRSA Inversiones y Representaciones SA                                                                                                     | CUSIP: 450047303<br>LEI: 549300QJINFBX83IZ837 | Long             | EC               | CORP              | AR        |         2400 | NS      | $37200.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICNQ Mortgage Trust                                        | ICNQ 2024-MF Mortgage Trust                                                                                                                | CUSIP: 450953AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11850000 | PA      | $11850720.48   | 0.13%             | 2034-12-10      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| INTEGER HOLDINGS CORP                                      | Integer Holdings Corp                                                                                                                      | CUSIP: 45826HAC3<br>LEI: 549300SUD2ED5XG6X569 | Long             | DBT              | CORP              | US        |      1145000 | PA      | $997867.50     | 0.01%             | 2030-03-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| INTERDIGITAL INC                                           | InterDigital Inc                                                                                                                           | CUSIP: 45867GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       225000 | PA      | $1055250.00    | 0.01%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                      | INTOWN 2025-STAY Mortgage Trust                                                                                                            | CUSIP: 46117WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25000000 | PA      | $25126070.00   | 0.27%             | 2042-03-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                      | INTOWN 2025-STAY Mortgage Trust                                                                                                            | CUSIP: 46117WAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13900000 | PA      | $13972343.94   | 0.15%             | 2042-03-15      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| IONIS PHARMACEUTICALS IN                                   | Ionis Pharmaceuticals Inc                                                                                                                  | CUSIP: 462222AF7<br>LEI: 549300SI4ZGLG0BLUZ92 | Long             | DBT              | CORP              | US        |      2350000 | PA      | $3585277.50    | 0.04%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| IREN LTD                                                   | IREN Ltd                                                                                                                                   | CUSIP: 46270CAE9<br>LEI: 254900FZF02RB3NNGB71 | Long             | DBT              | CORP              | AU        |       210000 | PA      | $221655.00     | 0.00%             | 2031-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| iShares Broad USD High Yield Corporate Bond ETF            | iShares Broad USD High Yield Corporate Bond ETF                                                                                            | CUSIP: 46435U853<br>LEI: 549300X7H67ZLUE3IZ46 | Long             | EC               | RF                | US        |      1393600 | NS      | $52371488.00   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| ITRON INC                                                  | Itron Inc                                                                                                                                  | CUSIP: 465741AN6<br>LEI: 24F6LSZD18II6ICG6S41 | Long             | DBT              | CORP              | US        |      1350000 | PA      | $1330425.00    | 0.01%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JB POINDEXTER & CO INC                                     | JB Poindexter & Co Inc                                                                                                                     | CUSIP: 465965AC5<br>LEI: 549300W6P81HOZZGPQ16 | Long             | DBT              | CORP              | US        |      1515000 | PA      | $1587283.68    | 0.02%             | 2031-12-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                 | JPMBB Commercial Mortgage Securities Trust 2014-C22                                                                                        | CUSIP: 46642NAJ5<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |       895000 | PA      | $615330.40     | 0.01%             | 2047-09-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                     | Jazz Investments I Ltd                                                                                                                     | CUSIP: 472145AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1715000 | PA      | $1844911.25    | 0.02%             | 2026-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                     | Jazz Investments I Ltd                                                                                                                     | CUSIP: 472145AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1660000 | PA      | $2031010.00    | 0.02%             | 2030-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JD.COM INC                                                 | JD.com Inc                                                                                                                                 | CUSIP: 47215PAJ5<br>LEI: 549300HVTWB0GJZ16V92 | Long             | DBT              | CORP              | KY        |      2965000 | PA      | $3142900.00    | 0.03%             | 2029-06-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                             | Ziff Davis Inc                                                                                                                             | CUSIP: 48123VAE2<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |      1130000 | PA      | $1096100.00    | 0.01%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                                    | K Hovnanian Enterprises Inc                                                                                                                | CUSIP: 48251UAP3<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2044854.00    | 0.02%             | 2031-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                                    | K Hovnanian Enterprises Inc                                                                                                                | CUSIP: 48251UAQ1<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2049458.22    | 0.02%             | 2033-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                      | KKR CLO 52 Ltd                                                                                                                             | CUSIP: 48255XAW8<br>LEI: 2549002TMLB67HEXS124 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5035470.00    | 0.05%             | 2038-07-16      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                      | KKR CLO 48 Ltd                                                                                                                             | CUSIP: 48256EAW9<br>LEI: 549300GM4MA615ZG7468 | Long             | ABS-CBDO         | CORP              | JE        |      4000000 | PA      | $4021412.00    | 0.04%             | 2038-10-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| LBM Acquisition LLC                                        | LBM Acquisition LLC 2024 Incremental Term Loan B                                                                                           | CUSIP: 50179JAH1<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |      3038308 | PA      | $2942100.05    | 0.03%             | 2031-06-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LI AUTO INC                                                | Li Auto Inc                                                                                                                                | CUSIP: 50202MAB8<br>LEI: 2549003R73Q70J5H4I65 | Long             | DBT              | CORP              | KY        |      1600000 | PA      | $1689200.00    | 0.02%             | 2028-05-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                       | LHOME Mortgage Trust 2023-RTL4                                                                                                             | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13631000 | PA      | $13729926.98   | 0.15%             | 2028-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                       | LHOME Mortgage Trust 2023-RTL3                                                                                                             | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12010404 | PA      | $12059335.30   | 0.13%             | 2028-08-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| LANTHEUS HOLDINGS INC                                      | Lantheus Holdings Inc                                                                                                                      | CUSIP: 516544AB9<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |      1680000 | PA      | $1867740.00    | 0.02%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                      | Level 3 Financing Inc                                                                                                                      | CUSIP: 527298CD3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |       998317 | PA      | $927186.91     | 0.01%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                      | Level 3 Financing Inc                                                                                                                      | CUSIP: 527298CF8<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      1021000 | PA      | $919857.19     | 0.01%             | 2030-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LIBERTY BROADBAND CORP                                     | Liberty Broadband Corp                                                                                                                     | CUSIP: 530307AE7<br>LEI: 549300MIX43II8JLN536 | Long             | DBT              | CORP              | US        |      1925000 | PA      | $1908637.50    | 0.02%             | 2053-03-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                         | Liberty Media Corp-Liberty Formula One                                                                                                     | CUSIP: 531229AQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1605000 | PA      | $2057610.00    | 0.02%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LIMAK YENILENEBILIR                                        | Limak Yenilenebilir Enerji AS                                                                                                              | CUSIP: 53263MAA0<br>LEI: 789000WFO2FHRONHFN18 | Long             | DBT              | CORP              | TR        |      6420000 | PA      | $6351923.67    | 0.07%             | 2030-08-12      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                                   | Live Nation Entertainment Inc                                                                                                              | CUSIP: 538034BB4<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      2310000 | PA      | $2458995.00    | 0.03%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                                   | Live Nation Entertainment Inc                                                                                                              | CUSIP: 538034BD0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |       850000 | PA      | $846005.00     | 0.01%             | 2031-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                                | LOANDEPOT GMSR Trust                                                                                                                       | CUSIP: 53946TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78929250 | PA      | $79126265.30   | 0.84%             | 2030-05-16      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                                | LOANDEPOT GMSR Trust                                                                                                                       | CUSIP: 53946TAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13070750 | PA      | $13105885.48   | 0.14%             | 2030-05-16      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                                | LOANDEPOT GMSR Master Trust                                                                                                                | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000000 | PA      | $20099798.00   | 0.21%             | 2030-07-16      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                                | LOANDEPOT GMSR Master Trust                                                                                                                | CUSIP: 53946TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12000000 | PA      | $12059854.80   | 0.13%             | 2030-07-16      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Loma Negra Cia Industrial Argentina SA                     | Loma Negra Cia Industrial Argentina SA                                                                                                     | CUSIP: 54150E104<br>LEI: 529900VKOQQJ8U9DDK92 | Long             | EC               | CORP              | AR        |         4000 | NS      | $43880.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LUMENTUM HOLDINGS INC                                      | Lumentum Holdings Inc                                                                                                                      | CUSIP: 55024UAF6<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |      2485000 | PA      | $4069187.50    | 0.04%             | 2028-06-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LUMENTUM HOLDINGS INC                                      | Lumentum Holdings Inc                                                                                                                      | CUSIP: 55024UAJ8<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |      1130000 | PA      | $1500075.00    | 0.02%             | 2032-03-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2025-NQM1 Trust                                                                                                                        | CUSIP: 55287JAE6<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |      2736000 | PA      | $2763045.91    | 0.03%             | 2070-03-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| MKS INC                                                    | MKS Inc                                                                                                                                    | CUSIP: 55306NAB0<br>LEI: 549300KEQATBHAGVF505 | Long             | DBT              | CORP              | US        |      2520000 | PA      | $3030300.00    | 0.03%             | 2030-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                   | Madison Park Funding XXXVI Ltd                                                                                                             | CUSIP: 55819NAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1938372.00    | 0.02%             | 2035-04-15      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                   | Madison Park Funding XXII Ltd                                                                                                              | CUSIP: 55819XBQ4<br>LEI: 254900YXXBTCF4NGD347 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3012423.00    | 0.03%             | 2038-01-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                                                        | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |    279205233 | NS      | $279205232.55  | 2.95%             |  |  |  | No            |                  1 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                                                                   | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       500000 | PA      | $381250.00     | 0.00%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                                                                   | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      2523000 | PA      | $2028012.63    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                          | Magnetite XXII Ltd                                                                                                                         | CUSIP: 55954HBC5<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3507136.50    | 0.04%             | 2036-07-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                          | Magnetite XXII Ltd                                                                                                                         | CUSIP: 55954HBE1<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2004850.00    | 0.02%             | 2036-07-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| MARA HOLDINGS INC                                          | MARA Holdings Inc                                                                                                                          | CUSIP: 565788AG1<br>LEI: 549300M8ISKPTX2W7F94 | Long             | DBT              | CORP              | US        |      1580000 | PA      | $1519170.00    | 0.02%             | 2031-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIV Ltd                                  | Marble Point Clo XXIV Ltd                                                                                                                  | CUSIP: 56607WAJ7<br>LEI: 549300110Z5KVNWF6X83 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2005244.00    | 0.02%             | 2035-04-20      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| MARRIOTT VACATION WORLDW                                   | Marriott Vacations Worldwide Corp                                                                                                          | CUSIP: 57164YAF4<br>LEI: 549300WA6BT5H4F7IO94 | Long             | DBT              | CORP              | US        |      2100000 | PA      | $1998150.00    | 0.02%             | 2027-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2024-NPL1 Trust                                                                                                                        | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5567771 | PA      | $5578389.74    | 0.06%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust                       | Mello Warehouse Securitization Trust 2025-1                                                                                                | CUSIP: 58550CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $9224235.90    | 0.10%             | 2059-05-25      | Floating      | 10.49%                | No            |                  2 | On Loan: No      |
| MERIT MEDICAL SYSTEMS IN                                   | Merit Medical Systems Inc                                                                                                                  | CUSIP: 589889AA2<br>LEI: 549300OYTY138SP2CE83 | Long             | DBT              | CORP              | US        |      1535000 | PA      | $1852745.00    | 0.02%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERITAGE HOMES CORP                                        | Meritage Homes Corp                                                                                                                        | CUSIP: 59001ABF8<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |      1430000 | PA      | $1431554.37    | 0.02%             | 2028-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| STRATEGY INC                                               | Strategy Inc                                                                                                                               | CUSIP: 594972AR2<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |      6805000 | PA      | $5945868.75    | 0.06%             | 2029-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                   | Microchip Technology Inc                                                                                                                   | CUSIP: 595017BG8<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |      2595000 | PA      | $2531422.50    | 0.03%             | 2030-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MOHEGAN TRIBAL / MS DIG                                    | Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC                                                                    | CUSIP: 60832QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3000000 | PA      | $3116275.23    | 0.03%             | 2030-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                        | NCL Corp Ltd                                                                                                                               | CUSIP: 62886HBD2<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      2450000 | PA      | $2464700.00    | 0.03%             | 2027-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                      | NGL Energy Operating LLC / NGL Energy Finance Corp                                                                                         | CUSIP: 62922LAC2<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2048708.00    | 0.02%             | 2029-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                      | NGL Energy Operating LLC / NGL Energy Finance Corp                                                                                         | CUSIP: 62922LAD0<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1023387.00    | 0.01%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                    | NYMT Loan Trust Series 2024-BPL1                                                                                                           | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11820000 | PA      | $11880076.33   | 0.13%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                     | NRM FNT1 Excess LLC                                                                                                                        | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26046069 | PA      | $26536594.91   | 0.28%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Navigator Aviation Ltd                                     | Navigator 2024-1 Aviation Ltd                                                                                                              | CUSIP: 63943DAB5<br>LEI: 984500UF8C3O89B30652 | Long             | ABS-O            | CORP              | KY        |      5041667 | PA      | $5052860.36    | 0.05%             | 2049-08-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| NCB FINANCIAL GROUP                                        | NCB Financial Group Ltd                                                                                                                    | CUSIP: 639935AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | JM        |      7070000 | PA      | $7025812.50    | 0.07%             | 2030-07-31      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                   | Neuberger Berman Loan Advisers CLO 59 Ltd                                                                                                  | CUSIP: 640973AA1<br>LEI: 254900ERHU6RJHYSL744 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2012790.00    | 0.02%             | 2039-01-23      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                   | Neuberger Berman CLO XVII Ltd                                                                                                              | CUSIP: 64129VAQ6<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2025718.00    | 0.02%             | 2038-07-22      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                   | Neuberger Berman Loan Advisers CLO 28 Ltd                                                                                                  | CUSIP: 64130QAL5<br>LEI: 5493008C5LSWKG3UQ392 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3063090.00    | 0.03%             | 2038-10-20      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                       | New Mountain CLO 3 Ltd                                                                                                                     | CUSIP: 647549AE4<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |      4500000 | PA      | $4512825.00    | 0.05%             | 2038-10-20      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                       | New Mountain CLO 7 Ltd                                                                                                                     | CUSIP: 64754YAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2007114.00    | 0.02%             | 2038-03-31      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                       | New Mountain CLO 3 Ltd                                                                                                                     | CUSIP: 647550AY8<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5034100.00    | 0.05%             | 2038-10-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                       | New Mountain CLO 6 Ltd                                                                                                                     | CUSIP: 647908AJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2013192.00    | 0.02%             | 2037-10-15      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                     | NRM FHT1 Excess Owner LLC                                                                                                                  | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52142441 | PA      | $53116748.83   | 0.56%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION OIL SA                                       | Constellation Oil Services Holding SA                                                                                                      | CUSIP: 650921AA7<br>LEI: 5493005YJTU769NW5I10 | Long             | DBT              | CORP              | LU        |      5843000 | PA      | $6018290.00    | 0.06%             | 2029-11-07      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                     | NRZ Excess Spread-Collateralized Notes                                                                                                     | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1739391 | PA      | $1704032.86    | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                     | NextEra Energy Capital Holdings Inc                                                                                                        | CUSIP: 65339KCY4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      1520000 | PA      | $1906840.00    | 0.02%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| XPLR INFRASTRUCTURE LP                                     | XPLR Infrastructure LP                                                                                                                     | CUSIP: 65341BAG1<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | DBT              | CORP              | US        |      3120000 | PA      | $3065400.00    | 0.03%             | 2026-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NICKEL INDUSTRIES LTD                                      | Nickel Industries Ltd                                                                                                                      | CUSIP: 653890AB9<br>LEI: 54930007K0WX53TSIK16 | Long             | DBT              | CORP              | AU        |      1010000 | PA      | $1046829.72    | 0.01%             | 2030-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                           | NJ 2025-WBRK                                                                                                                               | CUSIP: 65486BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2451324.75    | 0.03%             | 2035-03-05      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                           | NJ 2025-WBRK                                                                                                                               | CUSIP: 65486BAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5875000 | PA      | $5517447.50    | 0.06%             | 2035-03-05      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FDG AMERS LLC                             | NOMURA CORPORATE FDG AMERS LLC                                                                                                             | CUSIP: 65538RAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    169466569 | PA      | $170351353.50  | 1.80%             | 2059-01-01      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| NOVA LTD                                                   | Nova Ltd                                                                                                                                   | CUSIP: 66982MAA2<br>LEI: 529900B2DSWE5V3SC292 | Long             | DBT              | CORP              | IL        |       880000 | PA      | $1128674.52    | 0.01%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NUTANIX INC                                                | Nutanix Inc                                                                                                                                | CUSIP: 67059NAJ7<br>LEI: 549300X7J6E8TKVIXW09 | Long             | DBT              | CORP              | US        |      2285000 | PA      | $2523097.00    | 0.03%             | 2029-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Nuveen Global High Income Fund                             | Nuveen Global High Income Fund                                                                                                             | CUSIP: 67075G103<br>LEI: 549300I4IAH7O6ZZEH53 | Long             | EC               | RF                | US        |        83400 | NS      | $1080864.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Nuveen Global High Income Fund                             | Nuveen Global High Income Fund                                                                                                             | CUSIP: 67075G111<br>LEI: 549300I4IAH7O6ZZEH53 | Long             | EC               | CORP              | US        |        83400 | NS      | $1000.80       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OI S.A.                                                    | OI S.A.                                                                                                                                    | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |      3656574 | PA      | $1828287.00    | 0.02%             | 2027-06-30      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ORL TRUST                                                  | ORL Trust 2024-GLKS                                                                                                                        | CUSIP: 67120DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8250000 | PA      | $8296396.35    | 0.09%             | 2039-12-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                                  | ORL Trust 2024-GLKS                                                                                                                        | CUSIP: 67120DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23550000 | PA      | $23512355.33   | 0.25%             | 2039-12-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                              | NYC Commercial Mortgage Trust 2025-3BP                                                                                                     | CUSIP: 67120UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21100000 | PA      | $21124885.34   | 0.22%             | 2042-02-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                            | Oaktree CLO 2025-32 Ltd                                                                                                                    | CUSIP: 67389FAL0<br>LEI: 254900U83NJDV6PRP726 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2949201.00    | 0.03%             | 2038-07-15      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                            | Oaktree CLO 2019-4 Ltd                                                                                                                     | CUSIP: 67400JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2506335.00    | 0.03%             | 2037-07-20      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                            | Oaktree CLO 2019-4 Ltd                                                                                                                     | CUSIP: 67402CBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3015444.00    | 0.03%             | 2037-07-20      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| OCEANICA LUX                                               | Oceanica Lux                                                                                                                               | CUSIP: 67525AAA0<br>LEI: 635400VU48WVABC1TO64 | Long             | DBT              | CORP              | LU        |      9870000 | PA      | $9792805.05    | 0.10%             | 2029-10-02      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                | OCP CLO 2024-32 Ltd                                                                                                                        | CUSIP: 67570CAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5000000 | PA      | $5038745.00    | 0.05%             | 2037-04-23      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 49, Ltd.                       | Octagon Investment Partners 49 Ltd                                                                                                         | CUSIP: 67578FAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2006164.00    | 0.02%             | 2037-04-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Octagon 60 Ltd                                             | Octagon 60 Ltd                                                                                                                             | CUSIP: 675936AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2542232.50    | 0.03%             | 2037-10-20      | Floating      | 10.88%                | No            |                  2 | On Loan: No      |
| OHI GROUP SA                                               | OHI Group SA                                                                                                                               | CUSIP: 67712MAB5<br>LEI: 529900GW2J8DSYJHEH26 | Long             | DBT              | CORP              | LU        |     10440500 | PA      | $10790256.75   | 0.11%             | 2029-07-22      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                      | ON Semiconductor Corp                                                                                                                      | CUSIP: 682189AU9<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      4555000 | PA      | $4238427.50    | 0.04%             | 2029-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                | Onity Loan Investment Trust 2024-HB2                                                                                                       | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1467513.00    | 0.02%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                | Onity Loan Investment Trust 2024-HB2                                                                                                       | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7750000 | PA      | $7440533.20    | 0.08%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                                             | Orion CLO 2024-4 LTD                                                                                                                       | CUSIP: 68626KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2004926.00    | 0.02%             | 2037-10-20      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                                             | Orion CLO 2025-6 Ltd                                                                                                                       | CUSIP: 68627FAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $5972988.00    | 0.06%             | 2038-10-20      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                  | PG&E Corp                                                                                                                                  | CUSIP: 69331C306<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EP               | CORP              | US        |        28000 | NS      | $1150800.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PG&E CORP                                                  | PG&E Corp                                                                                                                                  | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      3385000 | PA      | $3482826.50    | 0.04%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PGIM Global High Yield Fund Inc                            | PGIM Global High Yield Fund Inc                                                                                                            | CUSIP: 69346J106<br>LEI: F0ATD1Y4J8CHDKHSLD09 | Long             | EC               | RF                | US        |       430326 | NS      | $5439320.64    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| PPL CAPITAL FUNDING INC                                    | PPL Capital Funding Inc                                                                                                                    | CUSIP: 69352PAS2<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |      2285000 | PA      | $2594046.25    | 0.03%             | 2028-03-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                    | PNMAC GMSR ISSUER TRUST 2024-GT1                                                                                                           | CUSIP: 69354WAJ5<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |     41000000 | PA      | $41415141.40   | 0.44%             | 2029-03-25      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF1 LLC                                                                                                                         | CUSIP: 693581AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2700000 | PA      | $2607419.16    | 0.03%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF5 LLC                                                                                                                         | CUSIP: 69381JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4003000 | PA      | $3815202.46    | 0.04%             | 2054-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-RCF3 LLC                                                                                                                         | CUSIP: 69392PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1086618.50    | 0.01%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-RCF3 LLC                                                                                                                         | CUSIP: 69392PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $959667.40     | 0.01%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-NQM1 Trust                                                                                                                       | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $9123844.50    | 0.10%             | 2068-12-25      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                      | Pagaya AI Technology in Housing Trust 2023-1                                                                                               | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4500000 | PA      | $3815286.75    | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2015-1 Ltd                                                                                                               | CUSIP: 69689BAJ7<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1986800.00    | 0.02%             | 2034-05-21      | Floating      | 10.98%                | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2021-2 Ltd                                                                                                               | CUSIP: 69702AAG8<br>LEI: 254900HTQ89UZTKY6247 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2006760.00    | 0.02%             | 2038-02-15      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2023-2 Ltd                                                                                                               | CUSIP: 69703CAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4033316.00    | 0.04%             | 2038-07-20      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2018-1 Ltd                                                                                                               | CUSIP: 69703PAS8<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |      4500000 | PA      | $4528732.50    | 0.05%             | 2037-04-18      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Pampa Energia SA                                           | Pampa Energia SA                                                                                                                           | CUSIP: 697660207<br>LEI: 254900QNIK0CVURGML24 | Long             | EC               | CORP              | AR        |         3000 | NS      | $257400.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Park River Holdings Inc                                    | Park River Holdings Inc 2025 Term Loan                                                                                                     | CUSIP: 70082HAE6<br>LEI: 254900PGY077KWCROT75 | Long             | LON              | CORP              | US        |      4000000 | PA      | $4020000.00    | 0.04%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PARSONS CORP                                               | Parsons Corp                                                                                                                               | CUSIP: 70202LAD4<br>LEI: 549300ZXH0VRBSEPX752 | Long             | DBT              | CORP              | US        |      2200000 | PA      | $2515700.00    | 0.03%             | 2029-03-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                        | Petroleos Mexicanos                                                                                                                        | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      5480000 | PA      | $4542827.94    | 0.05%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PETSMART LLC/PETSMART FI                                   | PetSmart LLC / PetSmart Finance Corp                                                                                                       | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1499925.00    | 0.02%             | 2032-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PETSMART LLC/PETSMART FI                                   | PetSmart LLC / PetSmart Finance Corp                                                                                                       | CUSIP: 71677KAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1510096.50    | 0.02%             | 2033-09-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PHOENIX AVIATION CAPITAL                                   | Phoenix Aviation Capital Ltd                                                                                                               | CUSIP: 71910DAA9<br>LEI: 8945008YQAKXZQ3VYJ15 | Long             | DBT              | CORP              | IE        |      2000000 | PA      | $2108674.00    | 0.02%             | 2030-07-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| PDD HOLDINGS INC                                           | PDD Holdings Inc                                                                                                                           | CUSIP: 722304AC6<br>LEI: 5493000573DS7005T657 | Long             | DBT              | CORP              | KY        |      2151000 | PA      | $2141965.80    | 0.02%             | 2025-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                          | Post Holdings Inc                                                                                                                          | CUSIP: 737446AT1<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      2050000 | PA      | $2257050.00    | 0.02%             | 2027-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS SOFTWARE CORP                                     | PROGRESS SOFTWARE CORP                                                                                                                     | CUSIP: 743312AD2<br>LEI: 549300R65B3JG6972S24 | Long             | DBT              | CORP              | US        |      1630000 | PA      | $1661377.50    | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR3 Trust                                                                                                       | CUSIP: 74331UAN8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      2500000 | PA      | $2507533.50    | 0.03%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2021-SFR9 Trust                                                                                                       | CUSIP: 74333QAN5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      1000000 | PA      | $968674.10     | 0.01%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR1 Trust                                                                                                       | CUSIP: 74333YAS7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |     16150000 | PA      | $15198907.12   | 0.16%             | 2041-02-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ProShares Short VIX Short-Term Futures ETF                 | ProShares Short VIX Short-Term Futures ETF                                                                                                 | CUSIP: 74347W130<br>LEI: 549300Q4G1Z8K7HCIM83 | Long             | EC               | RF                | US        |       122200 | NS      | $6070896.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF3 LLC                                                                                                                         | CUSIP: 74390BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1440517.50    | 0.02%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF3 LLC                                                                                                                         | CUSIP: 74390BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $957350.90     | 0.01%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF3 LLC                                                                                                                         | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3695585.60    | 0.04%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-RCF1 LLC                                                                                                                         | CUSIP: 74390RAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $1579806.60    | 0.02%             | 2055-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-NQM1 Trust                                                                                                                       | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10221000 | PA      | $10496403.82   | 0.11%             | 2069-11-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2024-RCF4 LLC                                                                                                                         | CUSIP: 74448JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3100000 | PA      | $2923780.81    | 0.03%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                           | RCO 2025-Pr1 Trust                                                                                                                         | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17550493 | PA      | $17513756.73   | 0.19%             | 2055-03-02      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                  | RMF Buyout Issuance Trust 2021-HB1                                                                                                         | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4500000 | PA      | $4310342.10    | 0.05%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                 | ROCK Trust 2024-CNTR                                                                                                                       | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1750000 | PA      | $1832868.45    | 0.02%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                 | ROCK Trust 2024-CNTR                                                                                                                       | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000000 | PA      | $21167272.00   | 0.22%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                     | RR 35 LTD                                                                                                                                  | CUSIP: 74988EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7500000 | PA      | $7563495.00    | 0.08%             | 2040-01-15      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                     | RR 38 Ltd                                                                                                                                  | CUSIP: 74988FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4061676.00    | 0.04%             | 2040-04-15      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                   | Rain City Mortgage Trust 2024-RTL1                                                                                                         | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7350000 | PA      | $7445593.37    | 0.08%             | 2029-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                       | Raizen Fuels Finance SA                                                                                                                    | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      7597000 | PA      | $6466946.25    | 0.07%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RAPID7 INC                                                 | Rapid7 Inc                                                                                                                                 | CUSIP: 753422AF1<br>LEI: 549300GNVG5D60KEYN14 | Long             | DBT              | CORP              | US        |       585000 | PA      | $554316.75     | 0.01%             | 2027-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| RAPID7 INC                                                 | Rapid7 Inc                                                                                                                                 | CUSIP: 753422AH7<br>LEI: 549300GNVG5D60KEYN14 | Long             | DBT              | CORP              | US        |       710000 | PA      | $642479.00     | 0.01%             | 2029-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                    | Regatta 31 Funding Ltd                                                                                                                     | CUSIP: 758981AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3009378.00    | 0.03%             | 2038-03-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| RIVIAN AUTO INC                                            | Rivian Automotive Inc                                                                                                                      | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |      2495000 | PA      | $2465371.88    | 0.03%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| RUBRIK INC                                                 | Rubrik Inc                                                                                                                                 | CUSIP: 781154AC3<br>LEI: 254900TRGK2WTBYMYU27 | Long             | DBT              | CORP              | US        |      1765000 | PA      | $1714697.50    | 0.02%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SBA IO Trust                                               | SBAIO 2018-1 Trust                                                                                                                         | CUSIP: 78411DAA8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    111587851 | PA      | $6027719.07    | 0.06%             | 2044-03-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                  | SHR Trust 2024-LXRY                                                                                                                        | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7959000 | PA      | $7987566.44    | 0.08%             | 2041-10-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                  | SHR Trust 2024-LXRY                                                                                                                        | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $3032687.40    | 0.03%             | 2041-10-15      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                        | STAR 2021-SFR2 Trust                                                                                                                       | CUSIP: 78474LAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4000000 | PA      | $4009341.60    | 0.04%             | 2039-01-17      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust                                       | STAR 2022-SFR3 Trust                                                                                                                       | CUSIP: 78474PAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000000 | PA      | $10031955.00   | 0.11%             | 2039-05-17      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust                                       | STAR 2022-SFR3 Trust                                                                                                                       | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4035039 | PA      | $4057776.99    | 0.04%             | 2039-05-17      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| SUA 2025-1 LLC                                             | SUA 2025-1 LLC                                                                                                                             | CUSIP: 78485NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $4034637.20    | 0.04%             | 2040-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                    | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                                                                          | CUSIP: 79584CAA9<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-MBS          | CORP              | US        |     15500000 | PA      | $15613619.65   | 0.16%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                    | Saluda Grade Alternative Mortgage Trust 2025-NPL2                                                                                          | CUSIP: 79589BAA6<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |     29189558 | PA      | $29153312.86   | 0.31%             | 2030-05-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                    | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                                                                          | CUSIP: 795935AA3<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-MBS          | CORP              | US        |     12000000 | PA      | $12152937.60   | 0.13%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                        | Sandstone Peak Ltd                                                                                                                         | CUSIP: 800130AW6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4014724.00    | 0.04%             | 2034-10-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                  | Santander Mortgage Asset Receivable Trust 2025-NQM1                                                                                        | CUSIP: 80262BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $3060470.10    | 0.03%             | 2065-01-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                    | Santander Bank Auto Credit-Linked Notes Series 2024-B                                                                                      | CUSIP: 80280BAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2020289 | PA      | $2029169.13    | 0.02%             | 2033-01-18      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                    | Santander Bank Auto Credit-Linked Notes Series 2024-A                                                                                      | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1423446 | PA      | $1437177.93    | 0.02%             | 2032-06-15      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| SECURE INTERNATIONAL FIN                                   | Secure International Finance Co Inc                                                                                                        | CUSIP: 81373LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | GY        |      1323529 | PA      | $1330147.06    | 0.01%             | 2029-06-03      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                     | Sequoia Mortgage Trust 2024-3                                                                                                              | CUSIP: 81749JCG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1512613 | PA      | $1435956.52    | 0.02%             | 2054-04-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                     | Service Experts Issuer 2025-1 LLC                                                                                                          | CUSIP: 81758JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1250000 | PA      | $1257203.13    | 0.01%             | 2037-01-20      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS INC                                        | Shift4 Payments Inc                                                                                                                        | CUSIP: 82452JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2745000 | PA      | $2703825.00    | 0.03%             | 2027-08-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                      | Silver Point CLO 12 Ltd                                                                                                                    | CUSIP: 82809MAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4016876.00    | 0.04%             | 2038-10-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                   | Sinclair Television Group Inc                                                                                                              | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1020275.00    | 0.01%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                      | Sixth Street CLO XXII Ltd                                                                                                                  | CUSIP: 83011LAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1400000 | PA      | $1403753.40    | 0.01%             | 2038-04-21      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                      | Sixth Street CLO XV Ltd                                                                                                                    | CUSIP: 83012BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5051210.00    | 0.05%             | 2037-10-24      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                      | Sixth Street CLO XX Ltd                                                                                                                    | CUSIP: 83012QAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4026540.00    | 0.04%             | 2038-07-17      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| SNOWFLAKE INC                                              | Snowflake Inc                                                                                                                              | CUSIP: 833445AD1<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |      1175000 | PA      | $2170812.50    | 0.02%             | 2029-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds    | Republic of South Africa Government International Bonds                                                                                    | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      2000000 | PA      | $2063385.94    | 0.02%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                | Southern Co/The                                                                                                                            | CUSIP: 842587EC7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      3140000 | PA      | $3202800.00    | 0.03%             | 2028-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Specialty Building Products Holdings LLC                   | Specialty Building Products Holdings LLC 2021 Term Loan B                                                                                  | CUSIP: 84748EAF7<br>LEI: 549300ICFD46O3KMJC06 | Long             | LON              | CORP              | US        |       143000 | PA      | $137507.37     | 0.00%             | 2028-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                                            | Spotify USA Inc                                                                                                                            | CUSIP: 84921RAB6<br>LEI: 2138008WM218QBKRII94 | Long             | DBT              | CORP              | US        |      2375000 | PA      | $3068500.00    | 0.03%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sprite Limited                                             | Sprite 2021-1 Ltd                                                                                                                          | CUSIP: 85208UAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3393402 | PA      | $3406261.41    | 0.04%             | 2046-11-15      | Fixed         | 8.84%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                  | Block Inc                                                                                                                                  | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      1320000 | PA      | $1214286.99    | 0.01%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust                                       | STAR 2024-SFR4 Trust                                                                                                                       | CUSIP: 85520AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8576000 | PA      | $8613851.03    | 0.09%             | 2041-10-17      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust                                       | STAR 2024-SFR4 Trust                                                                                                                       | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14650000 | PA      | $14772591.20   | 0.16%             | 2041-10-17      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust                                       | STAR 2025-SFR5 Trust                                                                                                                       | CUSIP: 85520CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9670000 | PA      | $9683176.34    | 0.10%             | 2042-02-17      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust                                       | STAR 2025-SFR5 Trust                                                                                                                       | CUSIP: 85520CAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2500000 | PA      | $2505287.50    | 0.03%             | 2042-02-17      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR6 Trust                                       | STAR 2025-SFR6 Trust                                                                                                                       | CUSIP: 85520EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2450000 | PA      | $2456584.13    | 0.03%             | 2042-08-17      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR6 Trust                                       | STAR 2025-SFR6 Trust                                                                                                                       | CUSIP: 85520EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5050000 | PA      | $5076628.15    | 0.05%             | 2042-08-17      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Star Trust                                                 | STAR 2021-SFR1 Trust                                                                                                                       | CUSIP: 85521DAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       930713 | PA      | $929981.21     | 0.01%             | 2038-04-17      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Star Trust                                                 | STAR 2021-SFR1 Trust                                                                                                                       | CUSIP: 85521DAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16589000 | PA      | $16577301.44   | 0.18%             | 2038-04-17      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Star Trust                                                 | STAR 2021-SFR1 Trust                                                                                                                       | CUSIP: 85521DAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1600000 | PA      | $1601930.56    | 0.02%             | 2038-04-17      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                  | Sunoco LP                                                                                                                                  | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5081325.00    | 0.05%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SUPER MICRO COMPUTER INC                                   | Super Micro Computer Inc                                                                                                                   | CUSIP: 86800UAE4<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |      2520000 | PA      | $2977219.20    | 0.03%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                   | Suriname Government International Bond                                                                                                     | CUSIP: 86886PAC6<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      9547426 | PA      | $9547426.00    | 0.10%             | 2033-07-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                   | Suriname Government International Bond                                                                                                     | CUSIP: 86886PAD4<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      3652000 | PA      | $4345880.00    | 0.05%             | 2050-12-31      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Suzano SA                                                  | Suzano SA                                                                                                                                  | CUSIP: 86959K105<br>LEI: 391200AW174YQSDMGG41 | Long             | EC               | CORP              | BR        |       330200 | NS      | $2981706.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TCW Ltd                                                    | TCW CLO 2024-3 Ltd                                                                                                                         | CUSIP: 87252WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2006694.00    | 0.02%             | 2037-10-20      | Floating      | 10.48%                | No            |                  2 | On Loan: No      |
| Telecom Argentina SA                                       | Telecom Argentina SA                                                                                                                       | CUSIP: 879273209<br>LEI: 549300MKPIRSJD8SB782 | Long             | EC               | CORP              | AR        |         6800 | NS      | $76500.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                                | Texas Debt Capital CLO 2025-I Ltd                                                                                                          | CUSIP: 881947AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2996808.00    | 0.03%             | 2038-04-24      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| TOTAL PLAY TELECOM                                         | Total Play Telecomunicaciones SA de CV                                                                                                     | CUSIP: 89157PAD0<br>LEI: 4469000001BSAPAMOQ06 | Long             | DBT              | CORP              | MX        |      5060000 | PA      | $4877840.00    | 0.05%             | 2032-12-31      | Fixed         | 11.12%                | No            |                  2 | On Loan: No      |
| TOUCAN FINCO LTD/CAN/US                                    | Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC                                                                                  | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      1665000 | PA      | $1562717.90    | 0.02%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                                   | Transocean International Ltd                                                                                                               | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      3000000 | PA      | $3020097.00    | 0.03%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Transportadora de Gas del Sur SA                           | Transportadora de Gas del Sur SA                                                                                                           | CUSIP: 893870204<br>LEI: 5299002TRC7IFQYSW596 | Long             | EC               | CORP              | AR        |         5400 | NS      | $168102.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Trestles CLO LTD                                           | TRESTLES CLO 2017-1 Ltd                                                                                                                    | CUSIP: 89531GAJ4<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |      2750000 | PA      | $2788258.00    | 0.03%             | 2037-07-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2025-SFR1 Trust                                                                                                         | CUSIP: 895974AD5<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |      4000000 | PA      | $4015165.60    | 0.04%             | 2042-03-17      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2021-SFR1 Trust                                                                                                         | CUSIP: 89614YAH9<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |      3551000 | PA      | $3503573.20    | 0.04%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TRIP.COM GROUP LTD                                         | Trip.com Group Ltd                                                                                                                         | CUSIP: 89677QAB3<br>LEI: 2549004RMYDSRQL4KW41 | Long             | DBT              | CORP              | KY        |      3050000 | PA      | $3737775.00    | 0.04%             | 2029-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked Notes                       | Truist Bank Auto Credit-Linked Notes Series 2025-1                                                                                         | CUSIP: 897926CC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4717797 | PA      | $4705131.28    | 0.05%             | 2033-09-26      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                                            | TX Trust 2024-HOU                                                                                                                          | CUSIP: 90216DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2450000 | PA      | $2457371.07    | 0.03%             | 2039-06-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                                            | TX Trust 2024-HOU                                                                                                                          | CUSIP: 90216DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $6029896.80    | 0.06%             | 2039-06-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| TYLER TECHNOLOGIES INC                                     | Tyler Technologies Inc                                                                                                                     | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |      1560000 | PA      | $1627080.00    | 0.02%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| EDEN REII LTD 0.000 17MAR2028                              | EDEN REII LTD 0.000 17MAR2028                                                                                                              | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        81053 | NS      | $451876.57     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PARTNERRE ILS FUND SAC LTD.                                | PARTNERRE ILS FUND SAC LTD.                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     34000000 | NS      | $44461800.00   | 0.47%             |  |  |  | No            |                  3 | On Loan: No      |
| MT LOGAN RE B 1 EQUITY/EQUITY                              | MT LOGAN RE B 1 EQUITY/EQUITY                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |         7464 | NS      | $14622822.81   | 0.15%             |  |  |  | No            |                  3 | On Loan: No      |
| UBER TECHNOLOGIES INC                                      | Uber Technologies Inc                                                                                                                      | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      1410000 | PA      | $1680916.75    | 0.02%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                      | Uber Technologies Inc                                                                                                                      | CUSIP: 90353TAM2<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $3646250.00    | 0.04%             | 2028-12-01      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                      | Uber Technologies Inc                                                                                                                      | CUSIP: 90353TAR1<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      1760000 | PA      | $1860320.00    | 0.02%             | 2028-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Unison Trust                                               | Unison Trust 2021-1                                                                                                                        | CUSIP: 90919VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47203318 | PA      | $45463672.81   | 0.48%             | 2050-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797QQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     22000000 | PA      | $21976423.26   | 0.23%             | 2025-11-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797QR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      4000000 | PA      | $3992666.40    | 0.04%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     30000000 | PA      | $29900037.90   | 0.32%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     13500000 | PA      | $13434807.69   | 0.14%             | 2025-12-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     21500000 | PA      | $21351103.47   | 0.23%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     10400000 | PA      | $10390035.44   | 0.11%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |       200000 | PA      | $196908.19     | 0.00%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust                                | UPX HIL 2025-1 Issuer Trust                                                                                                                | CUSIP: 916925AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4857000 | PA      | $4875546.94    | 0.05%             | 2047-01-25      | Fixed         | 7.67%                 | No            |                  2 | On Loan: No      |
| VEON Ltd                                                   | VEON Ltd                                                                                                                                   | CUSIP: 91822M502<br>LEI: 5493008CA3NMHYEVT131 | Long             | EC               | CORP              | BM        |        58200 | NS      | $2802330.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VB-S1 Issuer LLC                                           | VB-S1 Issuer LLC - VBTEL                                                                                                                   | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4750000 | PA      | $4931573.98    | 0.05%             | 2054-05-15      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                     | VCC 2025-MC1 Trust                                                                                                                         | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21596143 | PA      | $21481258.23   | 0.23%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| VineBrook Homes                                            | VINE 2023-SFR1 Trust                                                                                                                       | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15000000 | PA      | $14286804.00   | 0.15%             | 2040-12-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Vale SA                                                    | Vale SA                                                                                                                                    | CUSIP: 91912E105<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |       553000 | NS      | $6685770.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| VEDANTA RESOURCES                                          | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 92243XAJ0<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      3715000 | PA      | $3843375.06    | 0.04%             | 2028-06-03      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                          | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 92243XAK7<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      2482000 | PA      | $2632369.71    | 0.03%             | 2031-12-03      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                          | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 92243XAM3<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      1834000 | PA      | $1862778.03    | 0.02%             | 2030-07-24      | Fixed         | 9.47%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                     | Velocity Commercial Capital Loan Trust 2025-4                                                                                              | CUSIP: 92262JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1220553 | PA      | $1219623.56    | 0.01%             | 2055-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                     | Velocity Commercial Capital Loan Trust 2025-4                                                                                              | CUSIP: 92262JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1494555 | PA      | $1495901.89    | 0.02%             | 2055-09-25      | Variable      | 9.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     22668000 | PA      | $7001011.80    | 0.07%             | 2027-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                           | Ventas Realty LP                                                                                                                           | CUSIP: 92277GAZ0<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |       880000 | PA      | $1191960.00    | 0.01%             | 2026-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                   | Venture Global Calcasieu Pass LLC                                                                                                          | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4417186.00    | 0.05%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VineBrook Homes                                            | VINE 2024-SFR1 Trust                                                                                                                       | CUSIP: 92737DAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $4623041.00    | 0.05%             | 2041-03-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vista Energy SAB de CV                                     | Vista Energy SAB de CV                                                                                                                     | CUSIP: 92837L109<br>LEI: 549300UDOHP7958KNS89 | Long             | EC               | CORP              | MX        |         5900 | NS      | $285855.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VISTAJET MALTA/VM HOLDS                                    | VistaJet Malta Finance PLC / Vista Management Holding Inc                                                                                  | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      2000000 | PA      | $1933363.20    | 0.02%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/VM HOLDS                                    | VistaJet Malta Finance PLC / Vista Management Holding Inc                                                                                  | CUSIP: 92841HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      3000000 | PA      | $3121992.39    | 0.03%             | 2028-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2015-3 Ltd                                                                                                                        | CUSIP: 92913DAJ3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1917198.00    | 0.02%             | 2031-10-20      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2013-1 Ltd                                                                                                                        | CUSIP: 92917DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4637145.00    | 0.05%             | 2030-10-15      | Floating      | 10.65%                | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2018-2 Ltd                                                                                                                        | CUSIP: 92917TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $967974.00     | 0.01%             | 2031-07-15      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2024-2 Ltd                                                                                                                        | CUSIP: 92920HAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3005295.00    | 0.03%             | 2037-07-20      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                         | Voyager Parent LLC                                                                                                                         | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5245540.00    | 0.06%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| WIX LTD                                                    | Wix.com Ltd                                                                                                                                | CUSIP: 92940WAE9<br>LEI: 5493008P6N29Q1AG9464 | Long             | DBT              | CORP              | IL        |      1730000 | PA      | $1725675.00    | 0.02%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WBI OPERATING LLC                                          | WBI Operating LLC                                                                                                                          | CUSIP: 92944BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1999490.00    | 0.02%             | 2030-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WBI OPERATING LLC                                          | WBI Operating LLC                                                                                                                          | CUSIP: 92944BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2001270.00    | 0.02%             | 2033-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                            | WHARF Commercial Mortgage Trust 2025-DC                                                                                                    | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16250000 | PA      | $16703576.50   | 0.18%             | 2040-07-15      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE                                                | MT LOGAN RE                                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        10000 | NS      | $32576767.00   | 0.34%             |  |  |  | Yes           |                  3 | On Loan: No      |
| EUROPE ASIA INVST FIN BV                                   | Europe Asia Investment Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 724500NLUHSB0SRCRO66 | Long             | DBT              | CORP              | NL        |   1841900000 | PA      | $153735.28     | 0.00%             | 2026-07-21      | Fixed         | 18.70%                | Yes           |                  3 | On Loan: No      |
| MT LOGAN RE SIDECAR 2021                                   | MT LOGAN RE SIDECAR 2021                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |          860 | NS      | $2764798.93    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| EDEN RE II LTD SERIES 2022 1 C                             | EDEN RE II LTD SERIES 2022 1 C                                                                                                             | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        27451 | NS      | $76173.72      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| EDEN RE II LTD UNSECURED 144A                              | EDEN RE II LTD UNSECURED 144A                                                                                                              | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        79810 | NS      | $108437.81     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Wellfleet CLO Ltd                                          | Wellfleet CLO 2021-2 Ltd                                                                                                                   | CUSIP: 94949XAA2<br>LEI: 2549005MTORTL04RYQ32 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $984159.00     | 0.01%             | 2034-07-15      | Floating      | 11.13%                | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                          | Wellfleet Clo 2019-1 Ltd                                                                                                                   | CUSIP: 94950NAZ5<br>LEI: 254900IGQ7EODCWHCM84 | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2501540.00    | 0.03%             | 2032-07-20      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                                           | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |         3100 | NS      | $3835475.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2025-1918                                                                                            | CUSIP: 95004QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5455000 | PA      | $5494465.29    | 0.06%             | 2040-09-15      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2025-1918                                                                                            | CUSIP: 95004QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9500000 | PA      | $9635604.90    | 0.10%             | 2040-09-15      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD UNSECURED                                   | EDEN RE II LTD UNSECURED                                                                                                                   | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |       257143 | NS      | $620228.58     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| EDEN RE II LTD                                             | EDEN RE II LTD                                                                                                                             | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        31162 | NS      | $413809.15     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| REAP HIDDEN HOLLOW                                         | REAP HIDDEN HOLLOW                                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7117779 | PA      | $7119131.01    | 0.08%             | 2043-02-16      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| HIDDEN HOLLOW ENERGY                                       | HIDDEN HOLLOW ENERGY                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       264075 | PA      | $264124.77     | 0.00%             | 2043-02-16      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD SERIES 2024                                 | EDEN RE II LTD SERIES 2024                                                                                                                 | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        64938 | NS      | $1868079.50    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SWISS RE CORE NAT CAT FUND                                 | SWISS RE CORE NAT CAT FUND                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     50540977 | NS      | $63585603.04   | 0.67%             |  |  |  | No            |                  3 | On Loan: No      |
| JPM Lending Facility                                       | JPM Lending Facility                                                                                                                       | CUSIP: 000000000<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | US        |     60225000 | PA      | $60766904.55   | 0.64%             | 2029-07-15      | Variable      | 10.98%                | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                   | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |    -10342098 | PA      | $-10342097.92  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                   | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |    -11892064 | PA      | $-11892064.33  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                   | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |     -9409884 | PA      | $-9409884.26   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                   | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |     -9665267 | PA      | $-9665266.95   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                                      | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |     -9890113 | PA      | $-9890112.86   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANT PRIVATE PLACEMENT                                  | ALLIANT PRIVATE PLACEMENT                                                                                                                  | CUSIP: 000000000<br>LEI: 5493009ML300G373MZ12 | Long             | EC               | CORP              | US        |      8000000 | NS      | $8176456.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Montreal                                           | US38385ENX84 REPO                                                                                                                          | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Short            | RA               | CORP              | US        |    -21907311 | PA      | $-21907310.59  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                       | INDONESIA GOVERNMENT                                                                                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 291456000000 | PA      | $18410450.05   | 0.19%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                            | NIGERIA OMO BILL                                                                                                                           | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  29800442000 | PA      | $19509180.59   | 0.21%             | 2026-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Western Asset High Income Opportunity Fund Inc             | Western Asset High Income Opportunity Fund Inc                                                                                             | CUSIP: 95766K109<br>LEI: 549300S7N70O2ERKYG47 | Long             | EC               | RF                | US        |       383997 | NS      | $1482228.42    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN DIGITAL CORP                                       | Western Digital Corp                                                                                                                       | CUSIP: 958102AT2<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |      1370000 | PA      | $5490275.00    | 0.06%             | 2028-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                    | Windstream Services LLC                                                                                                                    | CUSIP: 97382BAB5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |      4998000 | PA      | $4997125.35    | 0.05%             | 2033-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                            | Wingspire Equipment Finance 2025-1 LLC                                                                                                     | CUSIP: 97415CAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6000000 | PA      | $5981367.00    | 0.06%             | 2033-09-20      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| GMAC FINANCIERA SA                                         | GMAC Financiera SA de CV Sociedad Financiera de Objeto Ltdo                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | MX        |    619664591 | PA      | $6462309.36    | 0.07%             | 2036-03-25      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| WORKIVA INC                                                | Workiva Inc                                                                                                                                | CUSIP: 98139AAD7<br>LEI: 529900RTOQ8GRWHY1O58 | Long             | DBT              | CORP              | US        |      2520000 | PA      | $2502990.00    | 0.03%             | 2028-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| YPF SA                                                     | YPF SA                                                                                                                                     | CUSIP: 984245100<br>LEI: 5493003N7447U18U5U53 | Long             | EC               | CORP              | AR        |        14700 | NS      | $535521.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                       | YPF SA                                                                                                                                     | CUSIP: 984245BB5<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      6204837 | PA      | $6261648.49    | 0.07%             | 2034-01-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTIO                                   | Yinson Boronia Production BV                                                                                                               | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |      2717619 | PA      | $2970890.11    | 0.03%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| ZSCALER INC.                                               | Zscaler Inc                                                                                                                                | CUSIP: 98980GAC6<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | DBT              | CORP              | US        |      1760000 | PA      | $1819840.00    | 0.02%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Mortgage Trust                             | Bank of America Mortgage Trust                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2572493 | PA      | $2582266.01    | 0.03%             | 2028-06-16      | Variable      | 12.35%                | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | Long: BEV3FTUB2 IRS USD R V 00MCPURN CPURNSA INFL SWAP / Short: BEV3FTUB2 IRS USD P F  2.08500 INFL SWAP                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     19500000 | OU      | $2897846.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SEV501CF5 IRS USD R F  2.08500 2 CCPINFLATIONZERO / Short: SEV501CF5 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     19500000 | OU      | $-2892405.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVE0E1 IRS TWD R V 03MCPTW BMICVE0G6 CCPNDF / Short: BMICVE0E1 IRS TWD P F  1.27000 BMICVE0F8 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    623800000 | OU      | $255023.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVE2L3 IRS TWD R V 03MCPTW BMICVE2N9 CCPNDF / Short: BMICVE2L3 IRS TWD P F  1.32000 BMICVE2M1 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    633800000 | OU      | $223799.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVJ406 IRS TWD R V 03MCPTW BMICVJ422 CCPNDF / Short: BMICVJ406 IRS TWD P F  1.37000 BMICVJ414 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    623900000 | OU      | $185546.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVJ240 IRS TWD R V 03MCPTW BMICVJ265 CCPNDF / Short: BMICVJ240 IRS TWD P F  1.37500 BMICVJ257 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    623800000 | OU      | $182040.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVDXH0 IRS TWD R V 03MCPTW BMICVDXK3 CCPNDF / Short: BMICVDXH0 IRS TWD P F  1.25500 BMICVDXJ6 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    469200000 | OU      | $199661.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVQYE7 IRS TWD R V 03MCPTW BMICVQYG2 CCPNDF / Short: BMICVQYE7 IRS TWD P F  1.36000 BMICVQYF4 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2056500000 | OU      | $634510.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVR4C2 IRS TWD R V 03MCPTW BMICVR4E8 CCPNDF / Short: BMICVR4C2 IRS TWD P F  1.33250 BMICVR4D0 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1493400000 | OU      | $506534.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMICVQZS5 IRS TWD R V 03MCPTW BMICVQZU0 CCPNDF / Short: BMICVQZS5 IRS TWD P F  1.35000 BMICVQZT3 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    514000000 | OU      | $164315.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | Long: BMIDL6NN2 CYS PLN R V 03MWIBOR WIBO3+63.25BPS / Short: BMIDL6NN2 CYS EUR P V 03MEURIB EUR003+0BPS                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | PL        |    527967209 | NC      | $670697.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | Long: BMIDXP549 CDS USD R F  4.00000 BMIDXP556 CORPORATE / Short: BMIDXP549 CDS USD P V 01MEVENT BMIDXP564 CORPORATE                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |      4172667 | OU      | $37612.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | Long: BMIDYNLX1 CDS USD R F  7.85000 / Short: BMIDYNLX1 CDS USD P V 01MEVENT                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     14144128 | OU      | $139517.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | Long: BMIE963K2 CDS USD R F  4.20000 BMIE963L0 CORPORATE / Short: BMIE963K2 CDS USD P V 01MEVENT BMIE963M8 CORPORATE                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |      2936940 | OU      | $28873.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                                    | Long: BMIEANNZ8 CDS USD R F  1.00000 BMIEANP03 CORPORATE / Short: BMIEANNZ8 CDS USD P V 03MEVENT BMIEANP11 CORPORATE                       | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DCR              |  | GB        |     25000000 | OU      | $-5150.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | Long: BMIEDP3Y5 CDS USD R F  1.00000 BMIEDP3Z2 CORPORATE / Short: BMIEDP3Y5 CDS USD P V 03MEVENT BMIEDP408 CORPORATE                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     17676000 | OU      | $-3641.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                                    | Long: BMIEDP4G3 CDS USD R F  1.00000 BMIEDP4H1 CORPORATE / Short: BMIEDP4G3 CDS USD P V 03MEVENT BMIEDP4J7 CORPORATE                       | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DCR              |  | GB        |     10000000 | OU      | $-5655.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | Long: BMIEEYXF3 CDS USD R F  4.20000 / Short: BMIEEYXF3 CDS USD P V 01MEVENT                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     11000000 | OU      | $108130.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: B96ZAV092 CDS USD R V 03MEVENT Z96ZAV1D2 CCPCDX / Short: B96ZAV092 CDS USD P F  1.00000 Z96ZAV0X9 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |        50000 | OU      | $490.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Securities Ltd.                           | Long: BMIEQ8LH6 CDS USD R F  1.00000 BMIEQ8LJ2 CORPORATE / Short: BMIEQ8LH6 CDS USD P V 03MEVENT BMIEQ8LK9 CORPORATE                       | CUSIP: 000000000<br>LEI: K9WDOH4D2PYBSLSOB484 | N/A              | DCR              |  | GB        |      3190000 | OU      | $185.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | Long: BMIERGFN1 TRS USD R E BMIERGFN1 COMMODITYTRS / Short: BMIERGFN1 TRS USD P F   .13000 BMIERGFN1 COMMODITYTRS                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DCO              |  | US        |    100224629 | OU      | $-151527.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIF35AK9 IRS ZAR R F  8.47000 BMIF35AL7 CCPVANILLA / Short: SMIF35AK9 IRS ZAR P V 03MJIBAR BMIF35AM5 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1643200000 | OU      | $4370878.82    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | Long: BMIF1AZG2 TRS USD R E RE BKP350LDN8104601 / Short: BMIF1AZG2 TRS USD P F   .00000 PF NOINDEX +0BPS                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | US        |     50152873 | OU      | $-75824.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFA5Q65 IRS TWD R V 03MCPTW BMIFA5Q81 CCPNDF / Short: BMIFA5Q65 IRS TWD P F  1.63250 BMIFA5Q73 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2274000000 | OU      | $195539.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BMIFASWD3 IRS COP R V 03MCPIBR BMIFASWF8 CCPNDFOIS / Short: BMIFASWD3 IRS COP P F  8.35250 BMIFASWE1 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  69875000000 | OU      | $306662.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIFARFN2 IRS PLN R F  4.58500 BMIFARFP7 CCPVANILLA / Short: SMIFARFN2 IRS PLN P V 06MWIBOR BMIFARFQ5 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    399914000 | OU      | $172050.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFASWV3 IRS PLN R V 03MWIBOR BMIFASWX9 CCPVANILLA / Short: BMIFASWV3 IRS PLN P F  4.48500 BMIFASWW1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    399914000 | OU      | $-143917.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BMIFAT4V2 IRS COP R V 03MCPIBR BMIFAT4X8 CCPNDFOIS / Short: BMIFAT4V2 IRS COP P F  8.36700 BMIFAT4W0 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        | 152374000000 | OU      | $654651.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BMIFAT2J1 IRS COP R V 03MCPIBR BMIFAT2L6 CCPNDFOIS / Short: BMIFAT2J1 IRS COP P F  8.33500 BMIFAT2K8 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        | 126735291000 | OU      | $570337.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | Long: BMIFEVRG1 TRS COP R F   .00000 ACI05MPY0 BOND TRS / Short: BMIFEVRG1 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |  24868000000 | OU      | $-4270.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIFF6VG0 IRS PLN R F  4.70500 BMIFF6VH8 CCPVANILLA / Short: SMIFF6VG0 IRS PLN P V 06MWIBOR BMIFF6VJ4 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1716360000 | OU      | $1508798.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFF6V13 IRS PLN R V 03MWIBOR BMIFF6V39 CCPVANILLA / Short: BMIFF6V13 IRS PLN P F  4.61000 BMIFF6V21 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1716360000 | OU      | $-1426256.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIFFPFM3 IRS ZAR R F  7.09000 BMIFFPFN1 CCPVANILLA / Short: SMIFFPFM3 IRS ZAR P V 03MJIBAR BMIFFPFP6 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    466003000 | OU      | $194797.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIFFX299 IRS ZAR R F  7.05110 BMIFFX2A6 CCPVANILLA / Short: SMIFFX299 IRS ZAR P V 03MJIBAR BMIFFX2B4 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1279357000 | OU      | $414249.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: B92XUUYS2 CDS USD R V 03MEVENT Z92XUUYT0 CCPCORPORATE / Short: B92XUUYS2 CDS USD P F  1.00000 Z92XUUYU7 CCPCORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     36570000 | OU      | $-51887.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: B92XUV2D8 CDS USD R V 03MEVENT Z92XUV2E6 CCPCORPORATE / Short: B92XUV2D8 CDS USD P F  1.00000 Z92XUV2F3 CCPCORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     15372000 | OU      | $369800.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                                    | Long: BMIFHX511 TRS USD R F  1.00000 BMIFHX529 IBOXXTRS / Short: BMIFHX511 TRS USD P V 12MSOFR BMIFHX537 IBOXXTRS                          | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DCR              |  | GB        |    100000000 | OU      | $188338.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: B92XUW501 CDS USD R V 03MEVENT Z92XUW519 CCPSOVEREIGN / Short: B92XUW501 CDS USD P F  1.00000 Z92XUW527 CCPSOVEREIGN                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     10725000 | OU      | $681439.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | Long: BMIFLC7S1 TRS COP R F   .00000 ACI05MPY0 BOND TRS / Short: BMIFLC7S1 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | CO        |  68318000000 | OU      | $-129948.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BMIFLJHV8 IRS COP R V 03MCPIBR BMIFLJHX4 CCPNDFOIS / Short: BMIFLJHV8 IRS COP P F  8.79570 BMIFLJHW6 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        | 162713000000 | OU      | $707370.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | Long: BMIFLL173 TRS COP R V 00MDTF DTF RATE 90D NON COMPOUNDING / Short: BMIFLL173 TRS COP P F   .00000 ACI05MPY0 BOND TRS                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | CO        |  68318000000 | OU      | $84115.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | Long: BMIFLJXF5 TRS COP R F   .00000 ACI05MPY0 BOND TRS / Short: BMIFLJXF5 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | CO        |  48473000000 | OU      | $-76217.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIFMHMM5 IRS PLN R F  4.10800 BMIFMHMN3 CCPVANILLA / Short: SMIFMHMM5 IRS PLN P V 06MWIBOR BMIFMHMP8 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    107057000 | OU      | $142435.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIFMHLS3 IRS PLN R F  4.10250 BMIFMHLT1 CCPVANILLA / Short: SMIFMHLS3 IRS PLN P V 06MWIBOR BMIFMHLU8 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    162003000 | OU      | $204765.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SMIFMH346 IRS ILS R F  3.71000 BMIFMH353 CCPOIS / Short: SMIFMH346 IRS ILS P V 12MSHIR BMIFMH361 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    207360000 | OU      | $369970.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | Long: BMIFNBTB4 CDS USD R F  5.50000 / Short: BMIFNBTB4 CDS USD P V 01MEVENT                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     60000000 | OU      | $77400.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | Long: BMIFPDH39 TRS COP R F   .00000 ACI05MPY0 BONF TRS / Short: BMIFPDH39 TRS COP P V 00MDTF DTF RATE 90DAY NON COMPOUNDING               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |  13248000000 | OU      | $-20157.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Switzerland AG                                         | Long: BMIFMTPE4 TRS USD R E RE / Short: BMIFMTPE4 TRS USD P F   .00000 PF NOINDEX+0BPS                                                     | CUSIP: 000000000<br>LEI: 549300WOIFUSNYH0FL22 | N/A              | DE               |  | US        |     50045070 | OU      | $-320800.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | Long: BMIFPLV50 TRS COP R F   .00000 ACI05MPY0 BOND TRS / Short: BMIFPLV50 TRS COP P V 00MDTF DTF RATE 90DAY NON COMPOUNDING               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |  39691000000 | OU      | $-40147.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFQJAP3 IRS SGD R V 06MSORA BMIFQJAR9 CCPOIS / Short: BMIFQJAP3 IRS SGD P F  1.52500 BMIFQJAQ1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     50000000 | OU      | $53415.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFQJAL2 IRS SGD R V 06MSORA BMIFQJAN8 CCPOIS / Short: BMIFQJAL2 IRS SGD P F  1.52850 BMIFQJAM0 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     52100000 | OU      | $48929.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFQJAH1 IRS KRW R V 03MKSDA BMIFQJAK4 CCPNDF / Short: BMIFQJAH1 IRS KRW P F  2.70300 BMIFQJAJ7 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 151832000000 | OU      | $455757.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | Long: BMIFQRER7 TRS COP R V 00MDTF DTF RATE 90DAY NON COMPOUNDING / Short: BMIFQRER7 TRS COP P F   .00000 ACI05MPY0 BOND TRS               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | CO        |  13263000000 | OU      | $14010.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFR9K16 IRS CLP R V 06MCLICP BMIFR9K32 CCPNDFCAMARAPROMEDIO / Short: BMIFR9K16 IRS CLP P F  4.84250 BMIFR9K24 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  70718000000 | OU      | $-14285.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFR6TZ8 IRS THB R V 12MTHOR BMIFR6U11 CCPNDFOIS / Short: BMIFR6TZ8 IRS THB P F  1.30250 BMIFR6U03 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    800514000 | OU      | $804.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFR6SW6 IRS THB R V 12MTHOR BMIFR6SY2 CCPNDFOIS / Short: BMIFR6SW6 IRS THB P F  1.30400 BMIFR6SX4 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1682000000 | OU      | $-2093.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BMIFR6SZ9 IRS THB R V 12MTHOR BMIFR6T13 CCPNDFOIS / Short: BMIFR6SZ9 IRS THB P F  1.30000 BMIFR6T05 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    882886000 | OU      | $4199.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIKISBREF                                                  | Iceland Rikisbref                                                                                                                          | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |     45513940 | PA      | $357657.41     | 0.00%             | 2031-01-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                       | Colombian TES                                                                                                                              | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 232479300000 | PA      | $54824346.32   | 0.58%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nam Long Investment Corp                                   | Nam Long Investment Corp                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |      1923600 | NS      | $2902517.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                   | Republic of South Africa Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    413920389 | PA      | $22526165.67   | 0.24%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                    | Mexican Bonos                                                                                                                              | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3925110300 | PA      | $199301515.52  | 2.11%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Mobile World Investment Corp                               | Mobile World Investment Corp                                                                                                               | CUSIP: 000000000<br>LEI: 254900ZRFNB8CRAHHO95 | Long             | EC               | CORP              | VN        |      2479200 | NS      | $7773152.82    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                         | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      5641000 | PA      | $1719905.64    | 0.02%             | 2055-02-12      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      2115326 | PA      | $417776.89     | 0.00%             | 2022-10-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WOW AIR EHF                                                | Wow Air hf                                                                                                                                 | CUSIP: 000000000<br>LEI: 549300LW49V05P8Z2H93 | Long             | DBT              | CORP              | IS        |        19800 | PA      | $0.00          | 0.00%             | 2099-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| BONOS DE TESORERIA                                         | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    274698000 | PA      | $79342908.66   | 0.84%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TIMES CHINA HLDG LTD                                       | Times China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 2549000KTINB9ZPZP710 | Long             | DBT              | CORP              | KY        |      1041000 | PA      | $37090.83      | 0.00%             | 2023-07-16      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Orbia Advance Corp SAB de CV                               | Orbia Advance Corp SAB de CV                                                                                                               | CUSIP: 000000000<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | EC               | CORP              | MX        |      1917600 | NS      | $1736094.52    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LONGFOR HOLDINGS LTD                                       | Longfor Group Holdings Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 254900UJX27B2F1JYR13 | Long             | DBT              | CORP              | KY        |      4343000 | PA      | $3648995.33    | 0.04%             | 2029-09-16      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| MHP LUX SA                                                 | MHP Lux SA                                                                                                                                 | CUSIP: 000000000<br>LEI: 222100RHC7R1WZ1J3M44 | Long             | DBT              | CORP              | LU        |      1206000 | PA      | $973634.61     | 0.01%             | 2029-09-19      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| LONGFOR HOLDINGS LTD                                       | Longfor Group Holdings Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 254900UJX27B2F1JYR13 | Long             | DBT              | CORP              | KY        |      1943000 | PA      | $1815662.83    | 0.02%             | 2027-04-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| SERBIA TREASURY BONDS                                      | Serbia Treasury Bonds                                                                                                                      | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |   3319480000 | PA      | $32131665.49   | 0.34%             | 2032-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KERNEL HOLDING SA                                          | Kernel Holding SA                                                                                                                          | CUSIP: 000000000<br>LEI: 5493003GR6L4DZOS2U12 | Long             | DBT              | CORP              | LU        |      9640000 | PA      | $8996766.18    | 0.10%             | 2027-10-27      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| CAS CAPITAL NO1 LTD                                        | CAS Capital No 1 Ltd                                                                                                                       | CUSIP: 000000000<br>LEI: 254900REJZW5L9QRTD85 | Long             | DBT              | CORP              | VG        |      8420000 | PA      | $8324971.04    | 0.09%             | 2026-07-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PT PAKUWON JATI                                            | Pakuwon Jati Tbk PT                                                                                                                        | CUSIP: 000000000<br>LEI: 254900GUXQAQB065PM73 | Long             | DBT              | CORP              | ID        |      1520000 | PA      | $1490730.58    | 0.02%             | 2028-04-29      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| YANLORD LAND HK CO LTD                                     | Yanlord Land HK Co Ltd                                                                                                                     | CUSIP: 000000000<br>LEI: 549300O56H3950RDWG19 | Long             | DBT              | CORP              | HK        |       200000 | PA      | $197418.09     | 0.00%             | 2026-05-20      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| LIMAK ISKENDERUN                                           | Limak Iskenderun Uluslararasi Liman Isletmeciligi AS                                                                                       | CUSIP: 000000000<br>LEI: 5299001DUZ9PI7TCRC47 | Long             | DBT              | CORP              | TR        |      3637876 | PA      | $3699308.88    | 0.04%             | 2036-07-10      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| TIMES CHINA HLDG LTD                                       | Times China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 2549000KTINB9ZPZP710 | Long             | DBT              | CORP              | KY        |      2221000 | PA      | $83287.50      | 0.00%             | 2024-06-04      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHINA OIL & GAS GROUP                                      | China Oil & Gas Group Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 52990063CVI7GDV4JZ06 | Long             | DBT              | CORP              | BM        |      9952000 | PA      | $9860655.37    | 0.10%             | 2026-06-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| TINKOFF BK (TCS FINANCE)                                   | Tinkoff Bank JSC Via TCS Finance Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 213800VIPIONINOCLD68 | Long             | DBT              | CORP              | IE        |      1226000 | PA      | $0.00          | 0.00%             | 2026-12-20      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| ACCESS BANK PLC                                            | Access Bank PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 029200328C3N9YI2D660 | Long             | DBT              | CORP              | NG        |      6696000 | PA      | $6670279.79    | 0.07%             | 2026-09-21      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| WOW AIR EHF                                                | Wow Air hf                                                                                                                                 | CUSIP: 000000000<br>LEI: 549300LW49V05P8Z2H93 | Long             | DBT              | CORP              | IS        |       900000 | PA      | $0.00          | 0.00%             | 2099-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| TBC BANK JSC                                               | TBC Bank JSC                                                                                                                               | CUSIP: 000000000<br>LEI: 2138001MSA39Q44QTA18 | Long             | DBT              | CORP              | GE        |      3481000 | PA      | $3469585.63    | 0.04%             | 2026-11-06      | Fixed         | 8.89%                 | Yes           |                  2 | On Loan: No      |
| RIKISBREF                                                  | Iceland Rikisbref                                                                                                                          | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |   1145293777 | PA      | $7379728.85    | 0.08%             | 2042-02-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KWG GROUP HOLDINGS                                         | KWG Group Holdings Ltd                                                                                                                     | CUSIP: 000000000<br>LEI: 549300LK82ZOM9ZE7H90 | Long             | DBT              | CORP              | KY        |       519000 | PA      | $32502.38      | 0.00%             | 2024-08-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC                  | Retained Vantage Data Centers Issuer LLC                                                                                                   | CUSIP: 000000000<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |     10000000 | PA      | $7249021.43    | 0.08%             | 2048-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UZBEKISTAN INTL BOND                                       | Republic of Uzbekistan International Bond                                                                                                  | CUSIP: 000000000<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |   6450000000 | PA      | $555328.97     | 0.01%             | 2026-10-12      | Fixed         | 16.25%                | Yes           |                  2 | On Loan: No      |
| ITTIHAD INTERNATIONAL                                      | Ittihad International Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 2549003ERUOB9GHDTJ15 | Long             | DBT              | CORP              | KY        |      5647000 | PA      | $5926128.39    | 0.06%             | 2028-11-09      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                   | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       219662 | PA      | $33788.41      | 0.00%             | 2026-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                   | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       219130 | PA      | $34107.58      | 0.00%             | 2026-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                   | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       663790 | PA      | $102887.45     | 0.00%             | 2029-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                   | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       440391 | PA      | $68260.61      | 0.00%             | 2027-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                   | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       662187 | PA      | $102638.99     | 0.00%             | 2028-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                   | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       312569 | PA      | $48398.18      | 0.00%             | 2030-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                   | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       257885 | PA      | $34814.48      | 0.00%             | 2032-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RIKISBREF                                                  | Iceland Rikisbref                                                                                                                          | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |    384686042 | PA      | $3148788.33    | 0.03%             | 2035-09-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                     | Brazil Letras do Tesouro Nacional                                                                                                          | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1527300000 | PA      | $268416053.12  | 2.84%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF GEORGIA JSC                                        | Bank of Georgia JSC                                                                                                                        | CUSIP: 000000000<br>LEI: 549300RPLD8RXL49Z691 | Long             | DBT              | CORP              | GE        |      9577000 | PA      | $9912435.86    | 0.10%             | 2029-07-16      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| PUMA INTERNATIONAL FINAN                                   | Puma International Financing SA                                                                                                            | CUSIP: 000000000<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |      2898000 | PA      | $3001564.43    | 0.03%             | 2029-04-25      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| IPOTEKA-BANK ATIB                                          | Ipoteka-Bank ATIB                                                                                                                          | CUSIP: 000000000<br>LEI: 213800UWVX5JSNXJS434 | Long             | DBT              | CORP              | UZ        |  51340000000 | PA      | $4435413.45    | 0.05%             | 2027-04-25      | Fixed         | 20.50%                | Yes           |                  2 | On Loan: No      |
| TBC BANK JSC                                               | TBC Bank JSC                                                                                                                               | CUSIP: 000000000<br>LEI: 2138001MSA39Q44QTA18 | Long             | DBT              | CORP              | GE        |      6004000 | PA      | $6286345.91    | 0.07%             | 2029-07-30      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| BANCO DE OCCIDENTE SA                                      | Banco de Occidente SA                                                                                                                      | CUSIP: 000000000<br>LEI: 54930072MY36044H8N63 | Long             | DBT              | CORP              | CO        |      6504000 | PA      | $7365780.00    | 0.08%             | 2034-08-13      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| UK Logisitics                                              | UK Logistics 2024-1 DAC                                                                                                                    | CUSIP: 000000000<br>LEI: 635400H22JMICKOJRJ36 | Long             | ABS-MBS          | CORP              | IE        |      2250000 | PA      | $2962924.11    | 0.03%             | 2034-05-17      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| VEON MIDCO BV                                              | Veon Midco BV                                                                                                                              | CUSIP: 000000000<br>LEI: 213800GOFSH7EPKBRE50 | Long             | DBT              | CORP              | NL        |      9789000 | PA      | $9197572.60    | 0.10%             | 2027-11-25      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| NATIONAL BANK OF UZBEKIS                                   | National Bank of Uzbekistan                                                                                                                | CUSIP: 000000000<br>LEI: 253400TZJ7T1YULTGN68 | Long             | DBT              | NUSS              | UZ        |      3141000 | PA      | $3365508.13    | 0.04%             | 2029-07-05      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| UZBEK INDUSTRIAL AND CON                                   | Uzbek Industrial and Construction Bank ATB                                                                                                 | CUSIP: 000000000<br>LEI: 213800C2NIFPFTXYIU69 | Long             | DBT              | CORP              | UZ        |      7951000 | PA      | $8602368.10    | 0.09%             | 2029-07-24      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| TUI AG                                                     | TUI AG                                                                                                                                     | CUSIP: 000000000<br>LEI: 529900SL2WSPV293B552 | Long             | DBT              | CORP              | DE        |      1500000 | PA      | $1958928.77    | 0.02%             | 2031-07-26      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| PIRAMAL FINANCE LTD                                        | Piramal Finance Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 335800M751HM7MSTFQ19 | Long             | DBT              | CORP              | IN        |      6393000 | PA      | $6558866.83    | 0.07%             | 2028-01-29      | Fixed         | 7.80%                 | Yes           |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                       | Indonesia Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 963586000000 | PA      | $60866998.52   | 0.64%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALPHA BANK SA                                              | Alpha Bank SA                                                                                                                              | CUSIP: 000000000<br>LEI: 213800DBQIB6VBNU5C64 | Long             | DBT              | CORP              | GR        |      5934000 | PA      | $7500704.63    | 0.08%             | 2030-06-10      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Romania Government International Bonds                     | Romania Government International Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      5186000 | PA      | $5084908.01    | 0.05%             | 2035-03-24      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                   | Republic of South Africa Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    230000000 | PA      | $14599110.14   | 0.15%             | 2038-03-31      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| ECOBANK TRANSNATIONAL                                      | Ecobank Transnational Inc                                                                                                                  | CUSIP: 000000000<br>LEI: 213800USCE9Y111R4656 | Long             | DBT              | CORP              | TG        |      4216000 | PA      | $4591371.43    | 0.05%             | 2029-10-15      | Fixed         | 10.12%                | Yes           |                  2 | On Loan: No      |
| ZORLU ENERJI ELEKTRIK                                      | Zorlu Enerji Elektrik Uretim AS                                                                                                            | CUSIP: 000000000<br>LEI: 7890005B5CSNL39OYO75 | Long             | DBT              | CORP              | TR        |      5062000 | PA      | $4552072.60    | 0.05%             | 2030-04-23      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| POLARIS RENEWABLE ENERGY                                   | Polaris Renewable Energy Inc                                                                                                               | CUSIP: 000000000<br>LEI: 254900IRAKXV4MM4QF30 | Long             | DBT              | CORP              | CA        |      3125000 | PA      | $3250000.00    | 0.03%             | 2029-12-03      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AZULE ENERGY FINANCE PLC                                   | Azule Energy Finance Plc                                                                                                                   | CUSIP: 000000000<br>LEI: 2138006X6O82RJSQDB63 | Long             | DBT              | CORP              | GB        |      8638000 | PA      | $8689476.35    | 0.09%             | 2030-01-23      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| MBH BANK NYRT                                              | MBH Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 3H0Q3U74FVFED2SHZT16 | Long             | DBT              | CORP              | HU        |      5269000 | PA      | $6218655.25    | 0.07%             | 2030-01-29      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| OTP BANK NYRT                                              | OTP Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 529900W3MOO00A18X956 | Long             | DBT              | CORP              | HU        |      5614000 | PA      | $5979453.55    | 0.06%             | 2035-07-30      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| FORTEBANK JSC                                              | ForteBank JSC                                                                                                                              | CUSIP: 000000000<br>LEI: 529900TH5WJ6KE8N8Z35 | Long             | DBT              | CORP              | KZ        |      2123000 | PA      | $2162493.55    | 0.02%             | 2030-02-04      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| LIMAK YENILENEBILIR                                        | Limak Yenilenebilir Enerji AS                                                                                                              | CUSIP: 000000000<br>LEI: 789000WFO2FHRONHFN18 | Long             | DBT              | CORP              | TR        |      2024000 | PA      | $2002537.93    | 0.02%             | 2030-08-12      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| MONGOLIAN MINING CORP                                      | Mongolian Mining Corp                                                                                                                      | CUSIP: 000000000<br>LEI: 254900XQ2EY5O3SAYL47 | Long             | DBT              | CORP              | KY        |      3327000 | PA      | $3401980.60    | 0.04%             | 2030-04-03      | Fixed         | 8.44%                 | Yes           |                  2 | On Loan: No      |
| MBH BANK NYRT                                              | MBH Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 3H0Q3U74FVFED2SHZT16 | Long             | DBT              | CORP              | HU        |      2366000 | PA      | $2917838.17    | 0.03%             | 2035-11-08      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| LHMC FINCO 2 SARL                                          | LHMC Finco 2 Sarl                                                                                                                          | CUSIP: 000000000<br>LEI: 254900VNJ7A4DAOPXL60 | Long             | DBT              | CORP              | LU        |      1510000 | PA      | $1818423.84    | 0.02%             | 2030-05-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| LHMC FINCO 2 SARL                                          | LHMC Finco 2 Sarl                                                                                                                          | CUSIP: 000000000<br>LEI: 254900VNJ7A4DAOPXL60 | Long             | DBT              | CORP              | LU        |      1720000 | PA      | $2071317.23    | 0.02%             | 2030-05-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| PING AN INSURANCE GROUP                                    | Ping An Insurance Group Co of China Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 529900M9MC28JLN35U89 | Long             | DBT              | CORP              | CN        |     19000000 | PA      | $2785002.35    | 0.03%             | 2030-06-11      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PORTEAST INVESTMENT PVT                                    | Porteast Investment Pvt Ltd                                                                                                                | CUSIP: 000000000<br>LEI: 335800QCR33GHNFNA954 | Long             | DBT              | CORP              | IN        |    730000000 | PA      | $8901236.61    | 0.09%             | 2028-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TBC BANK GROUP PLC                                         | TBC Bank Group PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 213800T6NS9N2WQ3B328 | Long             | DBT              | CORP              | GB        |  16650000000 | PA      | $1390379.00    | 0.01%             | 2028-06-05      | Fixed         | 22.00%                | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                         | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    215693000 | PA      | $67669480.53   | 0.72%             | 2035-08-12      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| SNB FUNDING LTD                                            | SNB Funding Ltd                                                                                                                            | CUSIP: 000000000<br>LEI: 549300PT73WJRNMAKE44 | Long             | DBT              | CORP              | KY        |      6040000 | PA      | $6217451.27    | 0.07%             | 2035-06-24      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Taurus CMBS                                                | Taurus 2025-3 UK Designated Activity Co                                                                                                    | CUSIP: 000000000<br>LEI: 635400XWNSMBWUUQIW58 | Long             | ABS-MBS          | CORP              | IE        |      3750000 | PA      | $4916299.27    | 0.05%             | 2035-07-20      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                | Taurus 2025-3 UK Designated Activity Co                                                                                                    | CUSIP: 000000000<br>LEI: 635400XWNSMBWUUQIW58 | Long             | ABS-MBS          | CORP              | IE        |      3150000 | PA      | $4135898.62    | 0.04%             | 2035-07-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| RIYAD SUKUK                                                | Riyad Sukuk Ltd                                                                                                                            | CUSIP: 000000000<br>LEI: 549300P8GI2KKEMZUH97 | Long             | DBT              | CORP              | KY        |      6060000 | PA      | $6191612.96    | 0.07%             | 2035-07-14      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| SHIMAO GROUP HOLDINGS LT                                   | Shimao Group Holdings Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 254900WTJ6B5CU69ZD26 | Long             | DBT              | CORP              | KY        |       707122 | PA      | $20595.86      | 0.00%             | 2033-07-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SHIMAO GROUP HOLDINGS LT                                   | Shimao Group Holdings Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 254900WTJ6B5CU69ZD26 | Long             | DBT              | CORP              | KY        |       408313 | PA      | $19905.26      | 0.00%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SHIMAO GROUP HOLDINGS LT                                   | Shimao Group Holdings Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 254900WTJ6B5CU69ZD26 | Long             | DBT              | CORP              | KY        |       707122 | PA      | $17060.03      | 0.00%             | 2034-01-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SHIMAO GROUP HOLDINGS LT                                   | Shimao Group Holdings Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 254900WTJ6B5CU69ZD26 | Long             | DBT              | CORP              | KY        |      2575494 | PA      | $96581.03      | 0.00%             | 2031-07-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SHIMAO GROUP HOLDINGS LT                                   | Shimao Group Holdings Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 254900WTJ6B5CU69ZD26 | Long             | DBT              | CORP              | KY        |       471415 | PA      | $15320.99      | 0.00%             | 2032-07-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRITE LAKE LUX HOL                                   | Alexandrite Lake Lux Holdings Sarl                                                                                                         | CUSIP: 000000000<br>LEI: 213800RY78YHYF5J8L55 | Long             | DBT              | CORP              | LU        |      1000000 | PA      | $1182304.86    | 0.01%             | 2030-07-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALEXANDRITE LAKE LUX HOL                                   | Alexandrite Lake Lux Holdings Sarl                                                                                                         | CUSIP: 000000000<br>LEI: 213800RY78YHYF5J8L55 | Long             | DBT              | CORP              | LU        |      4000000 | PA      | $4729219.45    | 0.05%             | 2030-07-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| LI & FUNG LTD                                              | Li & Fung Ltd                                                                                                                              | CUSIP: 000000000<br>LEI: 254900B5ACVOJC6VNM71 | Long             | DBT              | CORP              | BM        |      1600000 | PA      | $1663555.94    | 0.02%             | 2029-02-05      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| SAUDI AWWAL BANK                                           | Saudi Awwal Bank                                                                                                                           | CUSIP: 000000000<br>LEI: 558600TQS0WENZUC5190 | Long             | DBT              | CORP              | SA        |      6170000 | PA      | $6247496.68    | 0.07%             | 2035-09-04      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                                        | New Zealand Government Inflation Linked Bond                                                                                               | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    125181136 | PA      | $75812365.39   | 0.80%             | 2050-09-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JSCB AGROBANK                                              | Jscb Agrobank                                                                                                                              | CUSIP: 000000000<br>LEI: 254900JPMU0LFCP18673 | Long             | DBT              | CORP              | UZ        |  13770000000 | PA      | $1146398.68    | 0.01%             | 2028-09-15      | Fixed         | 20.75%                | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        42604 | PA      | $915.99        | 0.00%             | 2028-12-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        28403 | PA      | $781.08        | 0.00%             | 2027-12-28      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        21304 | PA      | $479.34        | 0.00%             | 2025-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        71008 | PA      | $1527.90       | 0.00%             | 2029-12-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        85209 | PA      | $1590.63       | 0.00%             | 2030-12-28      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       127814 | PA      | $2340.52       | 0.00%             | 2031-12-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       119758 | PA      | $1611.55       | 0.00%             | 2032-12-28      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        56806 | PA      | $355.04        | 0.00%             | 2028-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        35505 | PA      | $266.29        | 0.00%             | 2027-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        28403 | PA      | $355.04        | 0.00%             | 2026-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        56806 | PA      | $355.04        | 0.00%             | 2029-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       133960 | PA      | $837.25        | 0.00%             | 2032-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        71008 | PA      | $443.80        | 0.00%             | 2031-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                                   | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |        71008 | PA      | $443.80        | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE BANK JSC                                             | State Bank LLC                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MN        |      6640000 | PA      | $6639547.95    | 0.07%             | 2028-09-25      | Fixed         | 8.90%                 | Yes           |                  2 | On Loan: No      |
| INTRALOT CAPITAL LUX                                       | Intralot Capital Luxembourg SA                                                                                                             | CUSIP: 000000000<br>LEI: 549300QF747C7UWZYB38 | Long             | DBT              | CORP              | LU        |      3000000 | PA      | $3495948.65    | 0.04%             | 2031-10-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                                   | Olympus Water US Holding Corp                                                                                                              | CUSIP: 000000000<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $4577907.66    | 0.05%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| IPOTEKA-BANK ATIB                                          | Ipoteka-Bank ATIB                                                                                                                          | CUSIP: 000000000<br>LEI: 213800UWVX5JSNXJS434 | Long             | DBT              | CORP              | UZ        |  19980000000 | PA      | $1652042.08    | 0.02%             | 2028-10-09      | Fixed         | 17.50%                | Yes           |                  2 | On Loan: No      |
| UZBEK INDUSTRIAL AND CON                                   | Uzbek Industrial and Construction Bank ATB                                                                                                 | CUSIP: 000000000<br>LEI: 213800C2NIFPFTXYIU69 | Long             | DBT              | CORP              | UZ        |      6970000 | PA      | $7083602.22    | 0.07%             | 2030-10-23      | Fixed         | 9.45%                 | Yes           |                  2 | On Loan: No      |
| WISTRON CORP                                               | Wistron Corp                                                                                                                               | CUSIP: 000000000<br>LEI: 254900DIEONKUALBFM06 | Long             | DBT              | CORP              | TW        |      2000000 | PA      | $2063500.00    | 0.02%             | 2030-10-23      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FORTEBANK JSC                                              | ForteBank JSC                                                                                                                              | CUSIP: 000000000<br>LEI: 529900TH5WJ6KE8N8Z35 | Long             | DBT              | CORP              | KZ        |      5260000 | PA      | $5233700.00    | 0.06%             | 2030-11-03      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BOBL FUTURE DEC25                                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -85 | NC      | $-47082.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         5306 | NC      | $4024802.43    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1543 | NC      | $-255531.61    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          158 | NC      | $688301.56     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US LONG BOND(CBT) DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          100 | NC      | $78901.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           53 | NC      | $-8254.09      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        18856 | NC      | $4225362.86    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) DEC25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -63 | NC      | $26928.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                    | BMIF9XF19 EATON VANCE                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    500000000 | NC      | $1383000.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VALE SA                                                    | Vale SA                                                                                                                                    | CUSIP: 000000000<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |     50226400 | PA      | $3916388.59    | 0.04%             | 2049-12-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gemadept Corp                                              | Gemadept Corp                                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |       666000 | NS      | $1723859.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Vietnam Dairy Products JSC                                 | Vietnam Dairy Products JSC                                                                                                                 | CUSIP: 000000000<br>LEI: 549300148GRJ07D21X63 | Long             | EC               | CORP              | VN        |       304500 | NS      | $666604.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Saigon Thuong Tin Commercial JSB                           | Saigon Thuong Tin Commercial JSB                                                                                                           | CUSIP: 000000000<br>LEI: 549300Y3VZJ8PV4GR334 | Long             | EC               | CORP              | VN        |      1318100 | NS      | $2777710.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Asia Commercial Bank JSC                                   | Asia Commercial Bank JSC                                                                                                                   | CUSIP: 000000000<br>LEI: 5493001VSLUXY7LJS086 | Long             | EC               | CORP              | VN        |      1444200 | NS      | $1401625.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FPT Corp                                                   | FPT Corp                                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |      2099900 | NS      | $8285502.31    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SSI Securities Corp                                        | SSI Securities Corp                                                                                                                        | CUSIP: 000000000<br>LEI: 213800IF2RICE613K743 | Long             | EC               | CORP              | VN        |      3581300 | NS      | $4661382.56    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurohold Bulgaria AD                                       | Eurohold Bulgaria AD                                                                                                                       | CUSIP: 000000000<br>LEI: 74780000J0W85Y204X80 | Long             | EC               | CORP              | BG        |      5122844 | NS      | $5356807.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                         | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    192624000 | PA      | $59647216.02   | 0.63%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Vingroup JSC                                               | Vingroup JSC                                                                                                                               | CUSIP: 000000000<br>LEI: 254900MJ9C15O3O1V757 | Long             | EC               | CORP              | VN        |       647700 | NS      | $4709586.19    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Hoa Phat Group JSC                                         | Hoa Phat Group JSC                                                                                                                         | CUSIP: 000000000<br>LEI: 549300ODJEFGL5CWKD32 | Long             | EC               | CORP              | VN        |      2273500 | NS      | $2309232.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Kinh Bac City Development Holding Corp                     | Kinh Bac City Development Holding Corp                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |      2227400 | NS      | $2962160.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Vinh Hoan Corp                                             | Vinh Hoan Corp                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |       977300 | NS      | $2188832.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Khang Dien House Trading and Investment JSC                | Khang Dien House Trading and Investment JSC                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |      1986700 | NS      | $2705363.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Vietnam Joint Stock Commercial Bank for Industry and Trade | Vietnam Joint Stock Commercial Bank for Industry and Trade                                                                                 | CUSIP: 000000000<br>LEI: 213800LHW17DHRGTI512 | Long             | EC               | CORP              | VN        |       865300 | NS      | $1611017.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Phat Dat Real Estate Development Corp                      | Phat Dat Real Estate Development Corp                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |      1363200 | NS      | $1166103.99    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Masan Group Corp                                           | Masan Group Corp                                                                                                                           | CUSIP: 000000000<br>LEI: 254900M1892CMJ87XD24 | Long             | EC               | CORP              | VN        |       373800 | NS      | $1130788.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Coteccons Construction JSC                                 | Coteccons Construction JSC                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |       711000 | NS      | $2794992.74    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank for Foreign Trade of Vietnam JSC                      | Bank for Foreign Trade of Vietnam JSC                                                                                                      | CUSIP: 000000000<br>LEI: 2549004TS5QUBFGAWE51 | Long             | EC               | CORP              | VN        |       444800 | NS      | $1007072.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Military Commercial Joint Stock Bank                       | Military Commercial Joint Stock Bank                                                                                                       | CUSIP: 000000000<br>LEI: 5493007XE88E8JRNTJ93 | Long             | EC               | CORP              | VN        |      3369600 | NS      | $3022893.81    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Frigorifico Concepcion SA                                  | Frigorifico Concepcion SA Term Loan B                                                                                                      | CUSIP: 000000000<br>LEI: 529900Q6VZVL47QJCQ91 | Long             | LON              | CORP              | PY        |      3871506 | PA      | $3934417.97    | 0.04%             | 2026-12-08      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                              | HTA Group Ltd 2024 Term Loan Tranche A                                                                                                     | CUSIP: 000000000<br>LEI: 213800WEFU8O8X6EPU13 | Long             | LON              | CORP              | US        |       690000 | PA      | $686550.00     | 0.01%             | 2028-09-13      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                              | HTA Group Ltd 2024 Tranche C Term Loan                                                                                                     | CUSIP: 000000000<br>LEI: 213800WEFU8O8X6EPU13 | Long             | LON              | CORP              | US        |      4250000 | PA      | $4228750.00    | 0.04%             | 2028-09-13      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Navoi Mining and Metallurgical Company                     | Navoi Mining and Metallurgical Company 2024 Term Loan                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | XX        |       123759 | PA      | $123140.15     | 0.00%             | 2027-04-23      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| CLEALCO ACUCAR E ALCOOL SA                                 | Clealco Acucar E Alcool SA 2025 Term Loan                                                                                                  | CUSIP: 000000000<br>LEI: 549300PTHN698FP7LU33 | Long             | LON              | CORP              | BR        |      1066101 | PA      | $1066101.14    | 0.01%             | 2025-12-31      | Floating      | 15.84%                | No            |                  2 | On Loan: No      |
| PIH COMMUNICATION LLC                                      | PIH Communication LLC Term Loan                                                                                                            | CUSIP: 000000000<br>LEI: 254900AHBU7ZVXHYQB65 | Long             | LON              | CORP              | US        |      6118045 | PA      | $6118044.88    | 0.06%             | 2029-12-12      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Staatsolie Maatschappij Suriname NV                        | Staatsolie Maatschappij Suriname NV 2025 Revolver                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | XX        |     52400000 | PA      | $52400000.00   | 0.55%             | 2032-04-25      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| TELECOM ARGENTINA SA                                       | Telecom Argentina SA 1st Lien Term Loan                                                                                                    | CUSIP: 000000000<br>LEI: 549300MKPIRSJD8SB782 | Long             | LON              | CORP              | AR        |      2924709 | PA      | $2979547.71    | 0.03%             | 2029-02-23      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| VMOS SA                                                    | VMOS SA TERM LOAN                                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | AR        |      7553250 | PA      | $7501449.81    | 0.08%             | 2030-07-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VMOS SA                                                    | VMOS SA 1st Lien Term Loan                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | AR        |      3636750 | PA      | $3611809.17    | 0.04%             | 2030-07-08      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| Vietnam Prosperity JSC Bank                                | Vietnam Prosperity JSC Bank                                                                                                                | CUSIP: 000000000<br>LEI: 254900A0PM1YPJVDW880 | Long             | EC               | CORP              | VN        |      1798000 | NS      | $1957208.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| IDICO Corp JSC                                             | IDICO Corp JSC                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |       419900 | NS      | $606779.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Vietnam Technological & Commercial Joint Stock Bank        | Vietnam Technological & Commercial Joint Stock Bank                                                                                        | CUSIP: 000000000<br>LEI: 5493001XNKHV3FNIUD50 | Long             | EC               | CORP              | VN        |      3498200 | NS      | $4662534.95    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SA                                         | Cellnex Telecom SA                                                                                                                         | CUSIP: 000000000<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |      1400000 | PA      | $1683861.53    | 0.02%             | 2028-07-05      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Duc Giang Chemicals JSC                                    | Duc Giang Chemicals JSC                                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |       221400 | NS      | $807295.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLAR LNG LTD                                              | Golar LNG Ltd                                                                                                                              | CUSIP: 000000000<br>LEI: 213800C2VSFZG3EZLO34 | Long             | DBT              | CORP              | BM        |      8200000 | PA      | $8280742.37    | 0.09%             | 2029-09-19      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| ATOS SE                                                    | Atos SE                                                                                                                                    | CUSIP: 000000000<br>LEI: 5493001EZOOA66PTBR68 | Long             | SN               | CORP              | FR        |      3000000 | PA      | $3388666.96    | 0.04%             | 2030-12-18      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ATOS SE                                                    | Atos SE                                                                                                                                    | CUSIP: 000000000<br>LEI: 5493001EZOOA66PTBR68 | Long             | SN               | CORP              | FR        |       396000 | PA      | $522317.02     | 0.01%             | 2029-12-18      | Variable      | 9.00%                 | Yes           |                  2 | On Loan: No      |
| NAM LONG INVESTMENT CORP                                   | NAM LONG INVESTMENT CORP                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | VN        |       905200 | NS      | $131531.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Siminn HF                                                  | Siminn HF                                                                                                                                  | CUSIP: 000000000<br>LEI: 254900X9GQZM6UGXYF10 | Long             | EC               | CORP              | IS        |      2023336 | NS      | $223687.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                   | Republic of South Africa Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   2989039611 | PA      | $172798153.08  | 1.83%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SA                                    | EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA                                                                            | CUSIP: 000000000<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |      7564000 | PA      | $7046770.65    | 0.07%             | 2030-12-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Arcos Dorados Holdings Inc                                 | Arcos Dorados Holdings Inc                                                                                                                 | CUSIP: 000000000<br>LEI: 54930023P2MIZN13DQ85 | Long             | EC               | CORP              | VG        |        11500 | NS      | $82455.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Borr Drilling Ltd                                          | Borr Drilling Ltd                                                                                                                          | CUSIP: 000000000<br>LEI: 213800J2JPCTXLHQ5R78 | Long             | EC               | CORP              | BM        |       807106 | NS      | $2502028.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Digicel International Finance Limited                      | Digicel International Finance Limited 2025 Term Loan B                                                                                     | CUSIP: 000000000<br>LEI: 5493007V023VOEW4FK27 | Long             | LON              | CORP              | BM        |      3400000 | PA      | $3355800.00    | 0.04%             | 2032-08-06      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIFL US LLC                                   | Digicel International Finance Ltd / Difl US LLC                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |       737000 | PA      | $734372.95     | 0.01%             | 2032-08-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                        | Avianca Midco 2 PLC                                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      2160000 | PA      | $2160000.00    | 0.02%             | 2028-12-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| GRAB HOLDINGS LTD                                          | Grab Holdings Ltd                                                                                                                          | CUSIP: 000000000<br>LEI: 549300N4VQX83VPJF439 | Long             | DBT              | CORP              | KY        |      1760000 | PA      | $2046880.00    | 0.02%             | 2030-06-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Coral-US Co-Borrower, LLC                                  | Coral-US Co-Borrower LLC 2025 Term Loan B7                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5502106 | PA      | $5341637.08    | 0.06%             | 2032-01-31      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Liberty Latin America Ltd                                  | Liberty Latin America Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 213800YWQHEAX7CAVO83 | Long             | EC               | CORP              | BM        |       318000 | NS      | $2515380.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TULLOW OIL PLC                                             | Tullow Oil PLC                                                                                                                             | CUSIP: 000000000<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |      4788000 | PA      | $4057830.00    | 0.04%             | 2026-05-15      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| WE SODA INV HOLDING PLC                                    | WE Soda Investments Holding PLC                                                                                                            | CUSIP: 000000000<br>LEI: 984500SE38C07DB47A90 | Long             | DBT              | CORP              | GB        |      3183000 | PA      | $3196981.36    | 0.03%             | 2028-10-06      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Lithium Argentina AG                                       | Lithium Argentina AG                                                                                                                       | CUSIP: 000000000<br>LEI: 25490091H0GF6CS01G98 | Long             | EC               | CORP              | CH        |        10800 | NS      | $45468.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Adecoagro SA                                               | Adecoagro SA                                                                                                                               | CUSIP: 000000000<br>LEI: 529900Q00UR5LFELO811 | Long             | EC               | CORP              | LU        |         2700 | NS      | $21762.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Auna SA                                                    | Auna SA                                                                                                                                    | CUSIP: 000000000<br>LEI: 254900SOGP7YC0N9I368 | Long             | EC               | CORP              | LU        |       250000 | NS      | $1477500.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AUNA SA                                                    | Auna SA                                                                                                                                    | CUSIP: 000000000<br>LEI: 254900SOGP7YC0N9I368 | Long             | DBT              | CORP              | LU        |      3515897 | PA      | $3737838.00    | 0.04%             | 2029-12-18      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Corp America Airports SA                                   | Corp America Airports SA                                                                                                                   | CUSIP: 000000000<br>LEI: 959800AWF26KMY2SXF71 | Long             | EC               | CORP              | LU        |         2700 | NS      | $59832.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FORESEA HOLDING SA                                         | FORESEA Holding SA                                                                                                                         | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |     10983000 | PA      | $10768192.29   | 0.11%             | 2030-06-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GOL FINANCE                                                | Gol Finance Inc                                                                                                                            | CUSIP: 000000000<br>LEI: 549300FRXVB8W0960Y03 | Long             | DBT              | CORP              | KY        |      1244000 | PA      | $1263966.20    | 0.01%             | 2030-06-06      | Fixed         | 14.38%                | Yes           |                  2 | On Loan: No      |
| GUARA NORTE SARL                                           | Guara Norte Sarl                                                                                                                           | CUSIP: 000000000<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |      7030622 | PA      | $6932737.96    | 0.07%             | 2034-06-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| CONSTELLATION OIL SA                                       | Constellation Oil Services Holding SA                                                                                                      | CUSIP: 000000000<br>LEI: 5493005YJTU769NW5I10 | Long             | DBT              | CORP              | LU        |      1162000 | PA      | $1196860.00    | 0.01%             | 2029-11-07      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| OCEANICA LUX                                               | Oceanica Lux                                                                                                                               | CUSIP: 000000000<br>LEI: 635400VU48WVABC1TO64 | Long             | DBT              | CORP              | LU        |      4394000 | PA      | $4359633.78    | 0.05%             | 2029-10-02      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                       | Raizen Fuels Finance SA                                                                                                                    | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |       448000 | PA      | $381640.00     | 0.00%             | 2034-03-05      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                       | Raizen Fuels Finance SA                                                                                                                    | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |       957000 | PA      | $800056.75     | 0.01%             | 2037-02-25      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                       | Raizen Fuels Finance SA                                                                                                                    | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      6674000 | PA      | $5681242.50    | 0.06%             | 2032-07-08      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| OHI GROUP SA                                               | OHI Group SA                                                                                                                               | CUSIP: 000000000<br>LEI: 529900GW2J8DSYJHEH26 | Long             | DBT              | CORP              | LU        |      5668650 | PA      | $5858549.78    | 0.06%             | 2029-07-22      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| UNIGEL LUXEMBOURG SA                                       | Unigel Luxembourg SA                                                                                                                       | CUSIP: 000000000<br>LEI: 213800Y16R77O7LH7X62 | Long             | DBT              | CORP              | LU        |       309913 | PA      | $227786.06     | 0.00%             | 2027-12-31      | Fixed         | 13.50%                | Yes           |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                        | Braskem Netherlands Finance BV                                                                                                             | CUSIP: 000000000<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |      2164000 | PA      | $975098.40     | 0.01%             | 2028-01-10      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                        | Braskem Netherlands Finance BV                                                                                                             | CUSIP: 000000000<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     13287000 | PA      | $5355856.83    | 0.06%             | 2030-01-31      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                        | Braskem Netherlands Finance BV                                                                                                             | CUSIP: 000000000<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |      9310000 | PA      | $2609034.40    | 0.03%             | 2081-01-23      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| MV24 CAPITAL BV                                            | MV24 Capital BV                                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     10353540 | PA      | $10264729.56   | 0.11%             | 2034-06-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTIO                                   | Yinson Boronia Production BV                                                                                                               | CUSIP: 000000000<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |      1923917 | PA      | $2103218.60    | 0.02%             | 2042-07-31      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| BANCO DAVIVIENDA SA                                        | Banco Davivienda SA                                                                                                                        | CUSIP: 000000000<br>LEI: 549300P161V4IPKAQS70 | Long             | DBT              | CORP              | CO        |      2701000 | PA      | $2471956.28    | 0.03%             | 2031-04-22      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| BANCO DAVIVIENDA SA                                        | Banco Davivienda SA                                                                                                                        | CUSIP: 000000000<br>LEI: 549300P161V4IPKAQS70 | Long             | DBT              | CORP              | CO        |       920000 | PA      | $951245.16     | 0.01%             | 2035-07-02      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| ALPHA HOLDING SA                                           | Alpha Holding SA de CV                                                                                                                     | CUSIP: 000000000<br>LEI: 549300R872G37EN6NT94 | Long             | DBT              | CORP              | MX        |      1439790 | PA      | $10798.43      | 0.00%             | 2022-12-19      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ALPHA HOLDING SA                                           | Alpha Holding SA de CV                                                                                                                     | CUSIP: 000000000<br>LEI: 549300R872G37EN6NT94 | Long             | DBT              | CORP              | MX        |      2653787 | PA      | $19903.41      | 0.00%             | 2025-02-10      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BANCO MACRO SA                                             | Banco Macro SA                                                                                                                             | CUSIP: 000000000<br>LEI: 579100KKDKKIFEBKK040 | Long             | DBT              | CORP              | AR        |       963000 | PA      | $972918.90     | 0.01%             | 2029-06-23      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                   | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |       922000 | PA      | $952864.87     | 0.01%             | 2028-01-10      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                   | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      2291000 | PA      | $2457377.00    | 0.03%             | 2030-10-14      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                   | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      1071000 | PA      | $1121458.03    | 0.01%             | 2031-05-20      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                   | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |       736000 | PA      | $730479.48     | 0.01%             | 2027-01-24      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                     | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX                                                               | CUSIP: 000000000<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |      5354000 | PA      | $5301209.56    | 0.06%             | 2033-01-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     11119600 | PA      | $3186877.36    | 0.03%             | 2028-05-07      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       610400 | PA      | $179518.64     | 0.00%             | 2049-08-23      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      3726900 | PA      | $1096081.29    | 0.01%             | 2031-08-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       586400 | PA      | $175920.00     | 0.00%             | 2026-10-21      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                         | Braskem Idesa SAPI                                                                                                                         | CUSIP: 000000000<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |      4800000 | PA      | $3080072.26    | 0.03%             | 2032-02-20      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| CAMPOSOL SA                                                | Camposol SA                                                                                                                                | CUSIP: 000000000<br>LEI: 5493008B0STMH3JFSW17 | Long             | DBT              | CORP              | PE        |      4904000 | PA      | $4816626.66    | 0.05%             | 2027-02-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                     | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX                                                               | CUSIP: 000000000<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |      7486000 | PA      | $8287713.17    | 0.09%             | 2038-06-29      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| FIDEIC IRR ADMIN 4323                                      | Fideicomiso Irrevocable de Administracion y Fuente de Pago Numero CIB/4323                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      6228700 | PA      | $2242332.00    | 0.02%             | 2030-09-12      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CONTROLADORA MABE SA CV                                    | Controladora Mabe SA de CV                                                                                                                 | CUSIP: 000000000<br>LEI: 549300TVP7EHIDGWNR87 | Long             | DBT              | CORP              | MX        |      2287000 | PA      | $2045298.41    | 0.02%             | 2028-10-23      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FINANCIERA INDEPENDENCIA                                   | Financiera Independencia SAB de CV SOFOM ENR                                                                                               | CUSIP: 000000000<br>LEI: 4469000001BNUHDNSG66 | Long             | SN               | CORP              | MX        |      1121000 | PA      | $1123802.50    | 0.01%             | 2028-03-01      | Variable      | 10.00%                | Yes           |                  2 | On Loan: No      |
| GENER MEDIT/CENT TERMICA                                   | Generacion Mediterranea SA / Central Termica Roca SA                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |       230000 | PA      | $131195.13     | 0.00%             | 2031-11-01      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| GRUPO AEROMEXICO SAB                                       | Grupo Aeromexico SAB de CV                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      2656000 | PA      | $2670095.26    | 0.03%             | 2031-11-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| FRIGORIFICO CONCEPCION                                     | Frigorifico Concepcion SA                                                                                                                  | CUSIP: 000000000<br>LEI: 529900Q6VZVL47QJCQ91 | Long             | DBT              | CORP              | PY        |       914000 | PA      | $617864.00     | 0.01%             | 2028-07-21      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| PERU LNG SRL                                               | Peru LNG Srl                                                                                                                               | CUSIP: 000000000<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |      4139802 | PA      | $4000713.66    | 0.04%             | 2030-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       817400 | PA      | $182688.90     | 0.00%             | 2037-04-12      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      5669700 | PA      | $1267177.95    | 0.01%             | 2027-04-12      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       927500 | PA      | $246715.00     | 0.00%             | 2022-02-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       344000 | PA      | $78088.00      | 0.00%             | 2021-11-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      1954200 | PA      | $475847.70     | 0.01%             | 2035-05-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     60086639 | PA      | $13429363.82   | 0.14%             | 2026-11-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                   | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     13367669 | PA      | $2987674.02    | 0.03%             | 2024-05-16      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA                                      | Petroleos del Peru SA                                                                                                                      | CUSIP: 000000000<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     12095000 | PA      | $8721160.23    | 0.09%             | 2047-06-19      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                       | Samarco Mineracao SA                                                                                                                       | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |     18889204 | PA      | $18900777.42   | 0.20%             | 2031-06-30      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       798500 | PA      | $182936.35     | 0.00%             | 2020-12-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Venezuela Government International Bonds                   | Venezuela Government International Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       183000 | PA      | $50617.80      | 0.00%             | 2038-03-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      1812900 | PA      | $433464.39     | 0.00%             | 2049-10-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      3999900 | PA      | $1036374.09    | 0.01%             | 2024-10-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                      | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |        32000 | PA      | $8291.20       | 0.00%             | 2049-04-21      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TELEFONICA DEL PERU S.A.                                   | Integratel Peru SAA                                                                                                                        | CUSIP: 000000000<br>LEI: 549300L59XR0I8CDIL13 | Long             | DBT              | CORP              | PE        |      4500000 | PA      | $494578.94     | 0.01%             | 2027-04-10      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CANACOL ENERGY LTD                                         | Canacol Energy Ltd                                                                                                                         | CUSIP: 000000000<br>LEI: 549300X5MNRWPMSM9N14 | Long             | DBT              | CORP              | CA        |      4938000 | PA      | $1043152.50    | 0.01%             | 2028-11-24      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                          | Kosmos Energy Ltd                                                                                                                          | CUSIP: 000000000<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |       397000 | PA      | $395154.82     | 0.00%             | 2026-04-04      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                          | Kosmos Energy Ltd                                                                                                                          | CUSIP: 000000000<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |     11460000 | PA      | $7712411.54    | 0.08%             | 2031-10-01      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| GOLOMT BANK OF MONGOLIA                                    | Golomt Bank                                                                                                                                | CUSIP: 000000000<br>LEI: 549300QLH7BRA4EIZO16 | Long             | DBT              | CORP              | MN        |      2272000 | PA      | $2353994.89    | 0.02%             | 2027-05-20      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-24

**Name of Applicant:** Global Opportunities Portfolio

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer