# EDGAR Filing Document

**Accession Number:** 0001738072
**File Stem:** 0002071691-26-004263
**Filing Date:** 2026-2
**Character Count:** 1422068
**Document Hash:** 719659acbd4ccb9f69727a156340d234
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-004263.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0002071691-26-004263

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Variable Series Funds II, Inc.
- **CENTRAL INDEX KEY:** 0001738072

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23346
- **FILM NUMBER:** 26675647

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock Total Return V.I. Fund (Series ID: S000062377)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000202344 | Class I      |  |
| C000202345 | Class III    |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Variable Series Funds II, Inc.

- **b. Investment Company Act file number:** 811-23346

- **c. CIK number of Registrant:** 0001738072

- **d. LEI of Registrant:** 549300CYYTFFNBNORE26

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Total Return V.I. Fund

- **b. EDGAR series identifier (if any):** S000062377

- **c. LEI of Series:** QEYJMZOKY3CA1LFEXI16

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1504389837.78

**Total Liabilities:** $535206984.24

**Net Assets:** $969182853.54

**Cash Not Reported:** $272175.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 40960.02000000 | **1-Year:** 7825.07000000 | **5-Year:** 245155.20000000 | **10-Year:** 33871.09000000 | **30-Year:** 67063.12000000

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

- **3-Month:** 16806.84000000 | **1-Year:** 7926.90000000 | **5-Year:** 26452.27000000 | **10-Year:** 2234.18000000 | **30-Year:** 5068.24000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202344 | 0.59%                | 0.61%                | -0.11%               |
| Class ID C000202345 | 0.56%                | 0.59%                | -0.15%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $136537.48               | $1502937.45                                |
| Month 2  | $854725.53               | $1474378.34                                |
| Month 3  | $-448605.51              | $-3126492.04                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| A10 Issuer LLC                                                                   | A10 Issuer LLC, Series 2025-FL6, Class A                                                                          | CUSIP: 00028AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      205000 | PA      | $204616.42    | 0.02%             | 2042-05-15      | Floating      | 5.51%                 | No            | 2                  | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust, Series 2024-NQM5, Class A1                                                                    | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |      103967 | PA      | $104658.34    | 0.01%             | 2069-11-25      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust, Series 2024-NQM5, Class M1                                                                    | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101278.81    | 0.01%             | 2069-11-25      | Variable      | 6.52%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                                  | AEP Texas, Inc.                                                                                                   | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |       59000 | PA      | $39859.49     | 0.00%             | 2051-05-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                                  | AEP Texas, Inc.                                                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      393000 | PA      | $405729.34    | 0.04%             | 2033-06-01      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                                  | AEP Texas, Inc.                                                                                                   | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      340000 | PA      | $354398.70    | 0.04%             | 2034-05-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| ACRA Trust                                                                       | ACRA Trust, Series 2024-NQM1, Class A1                                                                            | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      282224 | PA      | $283446.44    | 0.03%             | 2064-10-25      | Variable      | 5.61%                 | No            | 2                  | On Loan: No      |
| AEP Transmission Co. LLC                                                         | AEP Transmission Co. LLC                                                                                          | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      506000 | PA      | $342058.40    | 0.04%             | 2049-09-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| AEP Transmission Co. LLC                                                         | AEP Transmission Co. LLC, Series N                                                                                | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       50000 | PA      | $30782.47     | 0.00%             | 2051-08-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| AGL CLO 44 Ltd.                                                                  | AGL CLO 44 Ltd., Series 2025-44A, Class C                                                                         | CUSIP: 00121RAE4<br>LEI: 254900WK97J0UDI0DQ10 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250686.75    | 0.03%             | 2037-10-22      | Floating      | 5.75%                 | No            | 2                  | On Loan: No      |
| AES Corp. (The)                                                                  | AES Corp. (The)                                                                                                   | CUSIP: 00130HCL7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98731.90     | 0.01%             | 2055-07-15      | Variable      | 6.95%                 | No            | 2                  | On Loan: No      |
| Aimco CLO 14 Ltd.                                                                | Aimco CLO 14 Ltd., Series 2021-14A, Class A1R                                                                     | CUSIP: 00144GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250188.85    | 0.03%             | 2038-10-20      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc., Class A                                                                                       | CUSIP: 00164V103<br>LEI: 549300VGG9K75226LR46 | Long             | EC               | CORP              | US        |        7408 | NS      | $70524.16     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc.                                                                                                | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      109000 | PA      | $96865.96     | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc.                                                                                                | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      101000 | PA      | $105909.81    | 0.01%             | 2029-01-15      | Fixed         | 10.25%                | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc.                                                                                                | CUSIP: 00164VAJ2<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |       84000 | PA      | $85638.00     | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc.                                                                                                | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $110474.06    | 0.01%             | 2032-07-15      | Fixed         | 10.50%                | No            | 2                  | On Loan: No      |
| AMMC CLO 27 Ltd.                                                                 | AMMC CLO 27 Ltd., Series 2022-27A, Class A1R                                                                      | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $409422.02    | 0.04%             | 2037-01-20      | Floating      | 4.96%                 | No            | 2                  | On Loan: No      |
| APS Resecuritization Trust                                                       | APS Resecuritization Trust, Series 2016-1, Class 1MZ                                                              | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      274349 | PA      | $102235.57    | 0.01%             | 2057-07-31      | Variable      | 2.97%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      389000 | PA      | $266880.35    | 0.03%             | 2060-06-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      674000 | PA      | $451057.12    | 0.05%             | 2053-09-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1005675.57   | 0.10%             | 2059-09-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      907000 | PA      | $623872.52    | 0.06%             | 2057-12-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      897000 | PA      | $902271.13    | 0.09%             | 2056-08-15      | Fixed         | 6.05%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |         223 | PA      | $102.47       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |        2902 | PA      | $-974.23      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |          87 | PA      | $-31.51       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust, Series 2025-NQM2, Class A1                                                                    | CUSIP: 00250EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153893 | PA      | $155349.48    | 0.02%             | 2070-06-25      | Variable      | 5.79%                 | No            | 2                  | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                                                           | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $101833.90    | 0.01%             | 2029-04-20      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| AbbVie, Inc.                                                                     | AbbVie, Inc.                                                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45523.63     | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                      | ACE Securities Corp. Home Equity Loan Trust, Series 2003-OP1, Class A2                                            | CUSIP: 004427BK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       98746 | PA      | $96501.26     | 0.01%             | 2033-12-25      | Floating      | 4.57%                 | No            | 2                  | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                      | ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Class A2A                                           | CUSIP: 00442LAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       80698 | PA      | $11939.43     | 0.00%             | 2037-05-25      | Floating      | 4.11%                 | No            | 2                  | On Loan: No      |
| Acrisure LLC                                                                     | Acrisure LLC                                                                                                      | CUSIP: 00489LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $97519.46     | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| ACRES LLC                                                                        | ACRES LLC, Series 2025-FL3, Class A                                                                               | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1036000 | PA      | $1037370.94   | 0.11%             | 2040-08-18      | Floating      | 5.35%                 | No            | 2                  | On Loan: No      |
| AGL CLO 42 Ltd.                                                                  | AGL CLO 42 Ltd., Series 2025-42A, Class A1                                                                        | CUSIP: 00791YAA6<br>LEI: 254900AMSJHVKQ5QFA09 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250783.63    | 0.03%             | 2038-07-22      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust, Series 2025-1A, Class A                                                                      | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      654000 | PA      | $660507.10    | 0.07%             | 2033-02-15      | Fixed         | 4.99%                 | No            | 2                  | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust, Series 2025-1A, Class B                                                                      | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100760.10    | 0.01%             | 2033-02-15      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| Affirm Asset Securitization Trust                                                | Affirm Asset Securitization Trust, Series 2025-X2, Class A                                                        | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      390183 | PA      | $390554.71    | 0.04%             | 2030-10-15      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| Affirm Asset Securitization Trust                                                | Affirm Asset Securitization Trust, Series 2025-X2, Class B                                                        | CUSIP: 00835DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100165.70    | 0.01%             | 2030-10-15      | Fixed         | 4.56%                 | No            | 2                  | On Loan: No      |
| AGL CLO 43 Ltd.                                                                  | AGL CLO 43 Ltd., Series 2025-43A, Class A1                                                                        | CUSIP: 00852TAA3<br>LEI: 254900MOOKTGLK7JFO07 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250638.15    | 0.03%             | 2038-09-10      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| AIMCO CLO 18 Ltd.                                                                | AIMCO CLO 18 Ltd., Series 2022-18A, Class A1LR                                                                    | CUSIP: 00889EBA2<br>LEI: 2549005IX0D6XDJNNS95 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250880.38    | 0.03%             | 2037-07-20      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| Air Canada Pass-Through Trust                                                    | Air Canada Pass-Through Trust, Series 2017-1, Class B                                                             | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |         315 | PA      | $314.58       | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Alabama Power Co.                                                                | Alabama Power Co.                                                                                                 | CUSIP: 010392FD5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       43000 | PA      | $42914.74     | 0.00%             | 2041-03-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Alabama Power Co.                                                                | Alabama Power Co.                                                                                                 | CUSIP: 010392FJ2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       53000 | PA      | $43339.01     | 0.00%             | 2042-12-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |        6339 | PA      | $-786.30      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Algoma Steel Group, Inc.                                                         | Algoma Steel Group, Inc.                                                                                          | CUSIP: 015658107<br>LEI: 549300Q5EU337A1XCX27 | Long             | EC               | CORP              | CA        |       15104 | NS      | $61926.40     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Alliant Holdings Intermediate LLC                                                | Alliant Holdings Intermediate LLC                                                                                 | CUSIP: 01883LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $207373.80    | 0.02%             | 2032-10-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Allied Universal Holdco LLC                                                      | Allied Universal Holdco LLC                                                                                       | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105387.87    | 0.01%             | 2031-02-15      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      179000 | PA      | $161925.08    | 0.02%             | 2041-01-25      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -88000 | PA      | $-81455.00    | -0.01%            | 2041-01-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1120000 | PA      | $1036700.00   | 0.11%             | 2041-01-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4099000 | PA      | $3312488.06   | 0.34%             | 2056-01-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      983000 | PA      | $929741.36    | 0.10%             | 2041-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61000 | PA      | $51559.30     | 0.01%             | 2056-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -2303600 | PA      | $-1947081.92  | -0.20%            | 2056-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      193000 | PA      | $185649.41    | 0.02%             | 2041-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -12000 | PA      | $-11542.97    | -0.00%            | 2041-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1250000 | PA      | $-1105419.93  | -0.11%            | 2056-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49000 | PA      | $47629.72     | 0.00%             | 2041-01-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032419<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -14000 | PA      | $-13608.49    | -0.00%            | 2041-01-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -60827000 | PA      | $-56229334.03 | -5.80%            | 2056-01-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    63327000 | PA      | $58540369.18  | 6.04%             | 2056-01-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -4900000 | PA      | $-4514316.39  | -0.47%            | 2056-02-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    78421000 | PA      | $72248409.37  | 7.45%             | 2056-02-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      359000 | PA      | $354273.40    | 0.04%             | 2041-01-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F040412<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |       -9000 | PA      | $-8881.51     | -0.00%            | 2041-01-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103000 | PA      | $97687.73     | 0.01%             | 2056-01-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -4998000 | PA      | $-4740225.95  | -0.49%            | 2056-01-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1822000 | PA      | $1822640.54   | 0.19%             | 2041-01-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74000 | PA      | $72234.52     | 0.01%             | 2056-01-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -18499000 | PA      | $-18057654.00 | -1.86%            | 2056-01-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16848000 | PA      | $16432880.78  | 1.70%             | 2056-02-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -51357000 | PA      | $-51212558.44 | -5.28%            | 2056-01-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      444000 | PA      | $442751.25    | 0.05%             | 2056-01-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -182000 | PA      | $-184544.83   | -0.02%            | 2056-01-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   131828011 | PA      | $133671308.03 | 13.79%            | 2056-01-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      476000 | PA      | $488722.28    | 0.05%             | 2056-01-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -21013432 | PA      | $-21575067.87 | -2.23%            | 2056-01-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3878000 | PA      | $4030174.97   | 0.42%             | 2056-01-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Alphabet, Inc.                                                                   | Alphabet, Inc.                                                                                                    | CUSIP: 02079KAW7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     1065000 | PA      | $1068268.46   | 0.11%             | 2030-11-15      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| Alphabet, Inc.                                                                   | Alphabet, Inc.                                                                                                    | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     1169000 | PA      | $1150589.00   | 0.12%             | 2075-11-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-15CB, Class A1                                                                | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7534 | PA      | $3354.72      | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OA14, Class 1A1                                                               | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42274 | PA      | $35665.06     | 0.00%             | 2046-11-25      | Floating      | 5.76%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OA8, Class 1A1                                                                | CUSIP: 02147CAA1<br>LEI: 549300EBNJLBIQBKE071 | Long             | ABS-MBS          | CORP              | US        |        5809 | PA      | $5340.95      | 0.00%             | 2046-07-25      | Floating      | 4.23%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2007-3T1, Class 1A1                                                                | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8939 | PA      | $3855.54      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2007-OA3, Class 1A1                                                                | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10862 | PA      | $9929.18      | 0.00%             | 2047-04-25      | Floating      | 4.13%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       98000 | PA      | $83600.92     | 0.01%             | 2043-05-02      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      447000 | PA      | $335945.08    | 0.03%             | 2046-09-16      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      204000 | PA      | $203654.38    | 0.02%             | 2059-02-14      | Fixed         | 6.20%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      795000 | PA      | $614725.06    | 0.06%             | 2041-02-04      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      125000 | PA      | $129960.94    | 0.01%             | 2035-02-06      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SBV4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      265000 | PA      | $268293.82    | 0.03%             | 2035-08-06      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                                 | Amazon.com, Inc.                                                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      824000 | PA      | $643081.33    | 0.07%             | 2052-04-13      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                                 | Amazon.com, Inc.                                                                                                  | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     1175000 | PA      | $1170248.29   | 0.12%             | 2035-11-20      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                                 | Amazon.com, Inc.                                                                                                  | CUSIP: 023135CY0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      634000 | PA      | $614977.53    | 0.06%             | 2065-11-20      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| Ambac Assurance Corp.                                                            | Ambac Assurance Corp.                                                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |       14845 | PA      | $19298.88     | 0.00%             | 2174-06-07      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Hess Corp.                                                                       | Hess Corp.                                                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      191000 | PA      | $219397.42    | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                             | American Airlines Pass-Through Trust, Series 2025-1, Class B                                                      | CUSIP: 02377PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       39000 | PA      | $39196.87     | 0.00%             | 2034-11-11      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| American Axle & Manufacturing, Inc.                                              | American Axle & Manufacturing, Inc.                                                                               | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96327.70     | 0.01%             | 2029-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                              | American Home Mortgage Assets Trust, Series 2007-1, Class A1                                                      | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48722 | PA      | $16590.82     | 0.00%             | 2047-02-25      | Floating      | 4.73%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                              | American Home Mortgage Assets Trust, Series 2006-4, Class 1A12                                                    | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43904 | PA      | $21869.63     | 0.00%             | 2046-10-25      | Floating      | 4.06%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                              | American Home Mortgage Assets Trust, Series 2006-3, Class 2A11                                                    | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38984 | PA      | $25885.70     | 0.00%             | 2046-10-25      | Floating      | 4.97%                 | No            | 2                  | On Loan: No      |
| American Municipal Power, Inc.                                                   | American Municipal Power, Inc., Series 2010A                                                                      | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |      135000 | PA      | $169731.30    | 0.02%             | 2050-02-15      | Fixed         | 8.08%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      249000 | PA      | $236368.94    | 0.02%             | 2030-01-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      151000 | PA      | $134880.70    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      354000 | PA      | $325044.62    | 0.03%             | 2031-04-15      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      126000 | PA      | $129674.06    | 0.01%             | 2029-02-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       44000 | PA      | $45702.77     | 0.00%             | 2034-02-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XCP3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      709000 | PA      | $726877.31    | 0.07%             | 2035-03-15      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      385000 | PA      | $385083.49    | 0.04%             | 2032-12-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                                      | Amgen, Inc.                                                                                                       | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      141000 | PA      | $90987.46     | 0.01%             | 2052-01-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                                      | Amgen, Inc.                                                                                                       | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      127000 | PA      | $99198.49     | 0.01%             | 2062-02-22      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                                      | Amgen, Inc.                                                                                                       | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      148000 | PA      | $144400.94    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |        6339 | PA      | $1196.04      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO 15 Ltd.                                                    | Anchorage Capital CLO 15 Ltd., Series 2020-15A, Class A1R2                                                        | CUSIP: 03329FAW4<br>LEI: 549300H5Q0HJ2EHSSX26 | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $301186.26    | 0.03%             | 2038-07-20      | Floating      | 5.62%                 | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO 34 Ltd.                                                    | Anchorage Capital CLO 34 Ltd., Series 2025-34A, Class A1                                                          | CUSIP: 03332UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249808.20    | 0.03%             | 2039-01-15      | Floating      | 4.94%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2024-11, Class A1                                                                | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |      137418 | PA      | $138662.56    | 0.01%             | 2069-08-25      | Variable      | 5.70%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2023-7, Class A1                                                                 | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |      220651 | PA      | $220050.09    | 0.02%             | 2067-11-25      | Variable      | 4.80%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2025-2, Class A1                                                                 | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |      286078 | PA      | $288700.30    | 0.03%             | 2070-02-25      | Variable      | 5.64%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2025-8, Class A1                                                                 | CUSIP: 03466UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      383075 | PA      | $386001.89    | 0.04%             | 2070-07-25      | Variable      | 5.41%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2024-10, Class A1                                                                | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |       85173 | PA      | $85577.62     | 0.01%             | 2069-10-25      | Variable      | 5.35%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2025-1, Class A1                                                                 | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |      359778 | PA      | $363788.37    | 0.04%             | 2070-01-25      | Variable      | 5.69%                 | No            | 2                  | On Loan: No      |
| Antero Resources Corp.                                                           | Antero Resources Corp.                                                                                            | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      235000 | PA      | $238502.91    | 0.02%             | 2029-02-01      | Fixed         | 7.62%                 | No            | 2                  | On Loan: No      |
| Antero Resources Corp.                                                           | Antero Resources Corp.                                                                                            | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     2195000 | PA      | $2225387.58   | 0.23%             | 2030-03-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Elevance Health, Inc.                                                            | Elevance Health, Inc.                                                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       36000 | PA      | $29790.46     | 0.00%             | 2052-05-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Elevance Health, Inc.                                                            | Elevance Health, Inc.                                                                                             | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       56000 | PA      | $54609.47     | 0.01%             | 2055-02-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Apidos CLO XXXIX Ltd.                                                            | Apidos CLO XXXIX Ltd., Series 2022-39A, Class A1R                                                                 | CUSIP: 03766HAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250480.83    | 0.03%             | 2038-10-21      | Floating      | 5.40%                 | No            | 2                  | On Loan: No      |
| Apidos CLO XLVI Ltd.                                                             | Apidos CLO XLVI Ltd., Series 2023-46A, Class A1R                                                                  | CUSIP: 03770RAN2<br>LEI: 254900XSALC4GJ58ZP29 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250133.03    | 0.03%             | 2038-10-24      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| Apidos CLO LV                                                                    | Apidos CLO LV, Series 2025-55A, Class A1                                                                          | CUSIP: 03771VAA0<br>LEI: 254900Z4DQDC7AU0J989 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.03%             | 2039-01-20      | Floating      | 4.93%                 | No            | 3                  | On Loan: No      |
| Apple, Inc.                                                                      | Apple, Inc.                                                                                                       | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      414000 | PA      | $255923.30    | 0.03%             | 2051-02-08      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| AppLovin Corp.                                                                   | AppLovin Corp.                                                                                                    | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     1120000 | PA      | $1148812.15   | 0.12%             | 2029-12-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| AppLovin Corp.                                                                   | AppLovin Corp.                                                                                                    | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     2746000 | PA      | $2847519.37   | 0.29%             | 2031-12-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| AppLovin Corp.                                                                   | AppLovin Corp.                                                                                                    | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      881000 | PA      | $872542.67    | 0.09%             | 2054-12-01      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes LLC                                    | Arbor Realty Commercial Real Estate Notes LLC, Series 2025-FL1, Class A                                           | CUSIP: 03881KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      640000 | PA      | $638706.69    | 0.07%             | 2043-01-20      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| Ares Direct Lending CLO LLC                                                      | Ares Direct Lending CLO LLC, Series 2025-2A, Class A1                                                             | CUSIP: 039960AA7<br>LEI: 254900F5EQV7KVCD4M68 | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250203.90    | 0.03%             | 2037-10-16      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| ARES LII CLO Ltd.                                                                | ARES LII CLO Ltd., Series 2019-52A, Class BRR                                                                     | CUSIP: 04009ABA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250183.73    | 0.03%             | 2031-04-22      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| Argent Mortgage Loan Trust                                                       | Argent Mortgage Loan Trust, Series 2005-W1, Class A2                                                              | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       27205 | PA      | $22761.57     | 0.00%             | 2035-05-25      | Floating      | 4.33%                 | No            | 2                  | On Loan: No      |
| Argentine Republic (The)                                                         | Argentine Republic (The)                                                                                          | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       61000 | PA      | $45384.00     | 0.00%             | 2035-07-09      | Variable      | 4.12%                 | No            | 2                  | On Loan: No      |
| Argentine Republic (The)                                                         | Argentine Republic (The)                                                                                          | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       58000 | PA      | $40136.00     | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| Argentine Republic (The)                                                         | Argentine Republic (The)                                                                                          | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        7200 | PA      | $6418.80      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| ARES XLIV CLO Ltd.                                                               | ARES XLIV CLO Ltd., Series 2017-44A, Class CRR                                                                    | CUSIP: 04016NBR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250751.45    | 0.03%             | 2034-04-15      | Floating      | 6.65%                 | No            | 2                  | On Loan: No      |
| ARES LX CLO Ltd.                                                                 | ARES LX CLO Ltd., Series 2021-60A, Class AR                                                                       | CUSIP: 04018FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      660000 | PA      | $660516.05    | 0.07%             | 2034-07-18      | Floating      | 5.06%                 | No            | 2                  | On Loan: No      |
| Asbury Automotive Group, Inc.                                                    | Asbury Automotive Group, Inc.                                                                                     | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97179.79     | 0.01%             | 2032-02-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Ashford Hospitality Trust                                                        | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                              | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19000 | PA      | $18857.00     | 0.00%             | 2035-04-15      | Floating      | 6.02%                 | No            | 2                  | On Loan: No      |
| Ashton Woods USA LLC                                                             | Ashton Woods USA LLC                                                                                              | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       95000 | PA      | $90723.93     | 0.01%             | 2030-04-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Ashton Woods USA LLC                                                             | Ashton Woods USA LLC                                                                                              | CUSIP: 045086AR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       36000 | PA      | $36028.63     | 0.00%             | 2033-08-01      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                     | AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                                                      | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      910000 | PA      | $919079.71    | 0.09%             | 2044-12-15      | Fixed         | 6.09%                 | No            | 2                  | On Loan: No      |
| Atlas Senior Loan Fund XXII Ltd.                                                 | Atlas Senior Loan Fund XXII Ltd., Series 2023-22A, Class A1                                                       | CUSIP: 04940BAA8<br>LEI: 529900J6GF0KI17SQP67 | Long             | ABS-CBDO         | CORP              | JE        |      550000 | PA      | $550653.84    | 0.06%             | 2036-01-20      | Floating      | 5.86%                 | No            | 2                  | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $357013.41    | 0.04%             | 2029-11-10      | Variable      | 5.41%                 | No            | 2                  | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class E                                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72000 | PA      | $73298.96     | 0.01%             | 2029-11-10      | Variable      | 9.21%                 | No            | 2                  | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class A                                                           | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133000 | PA      | $133138.27    | 0.01%             | 2042-08-15      | Floating      | 5.40%                 | No            | 2                  | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class F                                                           | CUSIP: 049917AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141000 | PA      | $140780.93    | 0.01%             | 2042-08-15      | Floating      | 9.25%                 | No            | 2                  | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class G                                                           | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20000 | PA      | $19969.67     | 0.00%             | 2042-08-15      | Floating      | 10.50%                | No            | 2                  | On Loan: No      |
| Avantor Funding, Inc.                                                            | Avantor Funding, Inc.                                                                                             | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99456.65     | 0.01%             | 2028-07-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Avient Corp.                                                                     | Avient Corp.                                                                                                      | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102961.40    | 0.01%             | 2030-08-01      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Avianca Midco 2 plc                                                              | Avianca Midco 2 plc                                                                                               | CUSIP: 05369YAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |       74316 | PA      | $74903.84     | 0.01%             | 2028-12-01      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| Avis Budget Car Rental LLC                                                       | Avis Budget Car Rental LLC                                                                                        | CUSIP: 053773BF3<br>LEI: XN8R4HH1TVC1XOCL5P21 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97565.05     | 0.01%             | 2029-03-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| BAHA Trust                                                                       | BAHA Trust, Series 2024-MAR, Class A                                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1440000 | PA      | $1490441.18   | 0.15%             | 2041-12-10      | Variable      | 5.97%                 | No            | 2                  | On Loan: No      |
| BAHA Trust                                                                       | BAHA Trust, Series 2024-MAR, Class B                                                                              | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      223000 | PA      | $233381.97    | 0.02%             | 2041-12-10      | Variable      | 6.84%                 | No            | 2                  | On Loan: No      |
| BAHA Trust                                                                       | BAHA Trust, Series 2024-MAR, Class C                                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      546000 | PA      | $571938.06    | 0.06%             | 2041-12-10      | Variable      | 7.52%                 | No            | 2                  | On Loan: No      |
| BBAM US CLO I Ltd.                                                               | BBAM US CLO I Ltd., Series 2022-1A, Class AR                                                                      | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249972.93    | 0.03%             | 2038-03-30      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      252000 | PA      | $283050.85    | 0.03%             | 2043-08-02      | Fixed         | 7.08%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1128000 | PA      | $1278887.43   | 0.13%             | 2053-08-02      | Fixed         | 7.08%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      425000 | PA      | $422575.39    | 0.04%             | 2033-03-22      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      159000 | PA      | $131894.75    | 0.01%             | 2047-08-15      | Fixed         | 4.54%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      240000 | PA      | $202778.33    | 0.02%             | 2049-09-06      | Fixed         | 4.76%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      729000 | PA      | $657381.46    | 0.07%             | 2050-04-02      | Fixed         | 5.28%                 | No            | 2                  | On Loan: No      |
| BBCMS Trust                                                                      | BBCMS Trust, Series 2015-SRCH, Class A1                                                                           | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27274 | PA      | $26923.87     | 0.00%             | 2035-08-10      | Fixed         | 3.31%                 | No            | 2                  | On Loan: No      |
| BBCMS Trust                                                                      | BBCMS Trust, Series 2015-SRCH, Class XA                                                                           | CUSIP: 05547HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      862897 | PA      | $7999.06      | 0.00%             | 2035-08-10      | Variable      | 0.83%                 | No            | 2                  | On Loan: No      |
| BBCMS Mortgage Trust                                                             | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35000 | PA      | $33130.84     | 0.00%             | 2037-03-15      | Floating      | 4.67%                 | No            | 2                  | On Loan: No      |
| BBAM US CLO V Ltd.                                                               | BBAM US CLO V Ltd., Series 2025-5A, Class A1                                                                      | CUSIP: 05556BAA0<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250891.50    | 0.03%             | 2038-07-25      | Floating      | 5.36%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2025-660F, Class A                                                         | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      957000 | PA      | $959690.70    | 0.10%             | 2042-11-15      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2025-660F, Class D                                                         | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8000 | PA      | $8039.99      | 0.00%             | 2042-11-15      | Floating      | 6.50%                 | No            | 2                  | On Loan: No      |
| BBAM US CLO VI Ltd.                                                              | BBAM US CLO VI Ltd., Series 2025-6A, Class A1                                                                     | CUSIP: 05556TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250461.43    | 0.03%             | 2039-01-27      | Floating      | 5.06%                 | No            | 2                  | On Loan: No      |
| BPR Trust                                                                        | BPR Trust, Series 2024-PMDW, Class A                                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30000 | PA      | $30696.92     | 0.00%             | 2041-11-05      | Variable      | 5.36%                 | No            | 2                  | On Loan: No      |
| BPR Mortgage Trust                                                               | BPR Mortgage Trust, Series 2023-STON, Class A                                                                     | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      299000 | PA      | $310070.77    | 0.03%             | 2039-12-05      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| BPR Commercial Mortgage Trust                                                    | BPR Commercial Mortgage Trust, Series 2024-PARK, Class A                                                          | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101921.45    | 0.01%             | 2039-11-05      | Variable      | 5.22%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2025-JDI, Class A                                                            | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      388000 | PA      | $388360.61    | 0.04%             | 2042-11-15      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2025-JDI, Class E                                                            | CUSIP: 05594LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100248.14    | 0.01%             | 2042-11-15      | Floating      | 7.15%                 | No            | 2                  | On Loan: No      |
| BWAY Mortgage Trust                                                              | BWAY Mortgage Trust, Series 2013-1515, Class C                                                                    | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105000 | PA      | $96445.95     | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                        | BXP Trust, Series 2017-CC, Class D                                                                                | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $48792.47     | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                        | BXP Trust, Series 2017-CC, Class E                                                                                | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $86739.13     | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                        | BXP Trust, Series 2017-GM, Class D                                                                                | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $193790.94    | 0.02%             | 2039-06-13      | Variable      | 3.42%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                        | BXP Trust, Series 2017-GM, Class E                                                                                | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50000 | PA      | $47916.55     | 0.00%             | 2039-06-13      | Variable      | 3.42%                 | No            | 2                  | On Loan: No      |
| BXMT Ltd.                                                                        | BXMT Ltd., Series 2025-FL5, Class A                                                                               | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      314000 | PA      | $312358.16    | 0.03%             | 2042-10-18      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-LIFE, Class A                                                                               | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      149000 | PA      | $152370.90    | 0.02%             | 2047-06-13      | Variable      | 5.88%                 | No            | 2                  | On Loan: No      |
| BPR Commercial Mortgage Trust                                                    | BPR Commercial Mortgage Trust, Series 2025-STAR, Class A                                                          | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $251455.63    | 0.03%             | 2042-11-05      | Variable      | 4.95%                 | No            | 2                  | On Loan: No      |
| BRES Commercial Mortgage Trust                                                   | BRES Commercial Mortgage Trust, Series 2025-ATCAP, Class A                                                        | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      506000 | PA      | $508311.05    | 0.05%             | 2042-11-15      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-OMG, Class A                                                                                | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      318000 | PA      | $318198.27    | 0.03%             | 2042-10-15      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-VOLT, Class A                                                                               | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166000 | PA      | $166103.25    | 0.02%             | 2044-12-15      | Floating      | 5.45%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-ARIA, Class A                                                                               | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      470000 | PA      | $474260.55    | 0.05%             | 2042-12-13      | Variable      | 5.03%                 | No            | 2                  | On Loan: No      |
| BLP Commercial Mortgage Trust                                                    | BLP Commercial Mortgage Trust, Series 2024-IND2, Class A                                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85666 | PA      | $85718.33     | 0.01%             | 2041-03-15      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| Ballyrock CLO 32 Ltd.                                                            | Ballyrock CLO 32 Ltd., Series 2025-32A, Class B                                                                   | CUSIP: 058944AG4<br>LEI: 254900RL3S1UBVHQYH63 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250695.13    | 0.03%             | 2039-01-25      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| Baltimore Gas & Electric Co.                                                     | Baltimore Gas & Electric Co.                                                                                      | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       77000 | PA      | $58767.22     | 0.01%             | 2047-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Banc of America Funding Trust                                                    | Banc of America Funding Trust, Series 2014-R2, Class 1C                                                           | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114071 | PA      | $39588.32     | 0.00%             | 2036-11-26      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Banc of America Funding Corp.                                                    | Banc of America Funding Corp., Series 2015-R3, Class 1A2                                                          | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |       86731 | PA      | $74368.18     | 0.01%             | 2036-03-27      | Variable      | 2.63%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GFG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      271000 | PA      | $257036.21    | 0.03%             | 2044-04-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1234000 | PA      | $1218478.80   | 0.13%             | 2028-12-20      | Variable      | 3.42%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      245000 | PA      | $236640.26    | 0.02%             | 2030-07-23      | Variable      | 3.19%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      567000 | PA      | $507039.80    | 0.05%             | 2031-10-24      | Variable      | 1.92%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GJM2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      383000 | PA      | $243778.29    | 0.03%             | 2051-10-24      | Variable      | 2.83%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      476000 | PA      | $469927.72    | 0.05%             | 2027-07-22      | Variable      | 1.73%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      230000 | PA      | $211060.45    | 0.02%             | 2032-04-22      | Variable      | 2.69%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       53000 | PA      | $47390.37     | 0.00%             | 2032-07-21      | Variable      | 2.30%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1506000 | PA      | $1377243.61   | 0.14%             | 2033-02-04      | Variable      | 2.97%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      329000 | PA      | $328193.87    | 0.03%             | 2033-04-27      | Variable      | 4.57%                 | No            | 2                  | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust                          | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XB                               | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $4993.80      | 0.00%             | 2050-02-15      | Variable      | 0.59%                 | No            | 2                  | On Loan: No      |
| BANK                                                                             | BANK, Series 2021-BN35, Class C                                                                                   | CUSIP: 06540CBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153000 | PA      | $130234.37    | 0.01%             | 2064-06-15      | Variable      | 2.90%                 | No            | 2                  | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust                                  | BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1                                          | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | PA      | $22139.79     | 0.00%             | 2025-12-10      | Variable      | 7.18%                 | No            | 2                  | On Loan: No      |
| Barbados                                                                         | Barbados Government Bond                                                                                          | CUSIP: 067070AK8<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |       41000 | PA      | $43216.46     | 0.00%             | 2035-06-26      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Barclays Mortgage Loan Trust                                                     | Barclays Mortgage Loan Trust, Series 2025-NQM3, Class B1                                                          | CUSIP: 06745VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101855.09    | 0.01%             | 2065-05-25      | Variable      | 7.60%                 | No            | 2                  | On Loan: No      |
| Barrow Hanley CLO II Ltd.                                                        | Barrow Hanley CLO II Ltd., Series 2023-2A, Class A1R                                                              | CUSIP: 06875RAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250625.10    | 0.03%             | 2038-03-31      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| Bausch + Lomb Corp.                                                              | Bausch + Lomb Corp.                                                                                               | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $104375.00    | 0.01%             | 2028-10-01      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Bay Area Toll Authority                                                          | Bay Area Toll Authority, Series 2010S-1                                                                           | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      400000 | PA      | $456740.12    | 0.05%             | 2050-04-01      | Fixed         | 7.04%                 | No            | 2                  | On Loan: No      |
| BAY Mortgage Trust                                                               | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                     | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      293000 | PA      | $293203.69    | 0.03%             | 2035-05-15      | Floating      | 5.55%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2006-3A, Class A1                                                          | CUSIP: 07324NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4901 | PA      | $4736.66      | 0.00%             | 2036-10-25      | Floating      | 4.22%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                          | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4084 | PA      | $3945.28      | 0.00%             | 2036-10-25      | Floating      | 4.30%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2005-4A, Class A1                                                          | CUSIP: 07324SCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16885 | PA      | $16114.14     | 0.00%             | 2036-01-25      | Floating      | 4.52%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2005-4A, Class M1                                                          | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12322 | PA      | $11788.58     | 0.00%             | 2036-01-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2006-1A, Class A2                                                          | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3994 | PA      | $3790.33      | 0.00%             | 2036-04-25      | Floating      | 4.39%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                          | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                  | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       48069 | PA      | $39840.71     | 0.00%             | 2039-05-28      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                          | Bayview Financial Revolving Asset Trust, Series 2005-A, Class A1                                                  | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       62043 | PA      | $56076.77     | 0.01%             | 2040-02-28      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                          | Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1                                                  | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       11131 | PA      | $11336.94     | 0.00%             | 2040-12-28      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2007-2A, Class A1                                                          | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11623 | PA      | $10883.38     | 0.00%             | 2037-07-25      | Floating      | 4.25%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2007-4A, Class A1                                                          | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49021 | PA      | $46529.57     | 0.00%             | 2037-09-25      | Floating      | 4.52%                 | No            | 2                  | On Loan: No      |
| BBCMS Mortgage Trust                                                             | BBCMS Mortgage Trust, Series 2025-C35, Class A5                                                                   | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      493000 | PA      | $518338.97    | 0.05%             | 2058-07-15      | Variable      | 5.59%                 | No            | 2                  | On Loan: No      |
| BBCMS Mortgage Trust                                                             | BBCMS Mortgage Trust, Series 2025-C35, Class AS                                                                   | CUSIP: 07337DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $73173.80     | 0.01%             | 2058-07-15      | Variable      | 5.84%                 | No            | 2                  | On Loan: No      |
| BBCMS Mortgage Trust                                                             | BBCMS Mortgage Trust, Series 2025-C35, Class D                                                                    | CUSIP: 07337DAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $57924.57     | 0.01%             | 2058-07-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                     | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A4                                          | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      223201 | PA      | $216988.14    | 0.02%             | 2037-04-25      | Floating      | 4.55%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                     | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 23A                                          | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9579 | PA      | $9237.88      | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2006-SL1, Class A1                                                    | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7619 | PA      | $7595.88      | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR2, Class A1                                                    | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58431 | PA      | $53761.92     | 0.01%             | 2037-03-25      | Floating      | 4.19%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR3, Class 1A1                                                   | CUSIP: 07401VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7385 | PA      | $7047.07      | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 1A1                                                   | CUSIP: 07401YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25118 | PA      | $23341.10     | 0.00%             | 2047-09-25      | Floating      | 4.25%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1                                                   | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8249 | PA      | $7841.78      | 0.00%             | 2037-06-25      | Floating      | 4.06%                 | No            | 2                  | On Loan: No      |
| Beazer Homes USA, Inc.                                                           | Beazer Homes USA, Inc.                                                                                            | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |      169000 | PA      | $172721.21    | 0.02%             | 2029-10-15      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Becton Dickinson & Co.                                                           | Becton Dickinson & Co.                                                                                            | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      171000 | PA      | $175526.62    | 0.02%             | 2029-06-07      | Fixed         | 5.08%                 | No            | 2                  | On Loan: No      |
| Beignet Investor LLC                                                             | Beignet Investor LLC                                                                                              | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2790000 | PA      | $2947621.38   | 0.30%             | 2049-05-30      | Fixed         | 6.58%                 | No            | 2                  | On Loan: No      |
| Bell Telephone Co. of Canada or Bell Canada                                      | Bell Telephone Co. of Canada or Bell Canada                                                                       | CUSIP: 0778FPAP4<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $103173.30    | 0.01%             | 2055-09-15      | Variable      | 6.88%                 | No            | 2                  | On Loan: No      |
| Benchmark Mortgage Trust                                                         | Benchmark Mortgage Trust, Series 2019-B9, Class XA                                                                | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      945031 | PA      | $23439.40     | 0.00%             | 2052-03-15      | Variable      | 1.00%                 | No            | 2                  | On Loan: No      |
| Benchmark Mortgage Trust                                                         | Benchmark Mortgage Trust, Series 2018-B8, Class XA                                                                | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4329768 | PA      | $60828.04     | 0.01%             | 2052-01-15      | Variable      | 0.61%                 | No            | 2                  | On Loan: No      |
| Benchmark Mortgage Trust                                                         | Benchmark Mortgage Trust, Series 2020-B21, Class A5                                                               | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43000 | PA      | $38040.02     | 0.00%             | 2053-12-17      | Fixed         | 1.98%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO X Ltd.                                               | Benefit Street Partners CLO X Ltd., Series 2016-10A, Class A1R3                                                   | CUSIP: 08181LBE6<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |      708000 | PA      | $710056.32    | 0.07%             | 2038-07-20      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO XX Ltd.                                              | Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class ARR                                                   | CUSIP: 08182FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250601.45    | 0.03%             | 2037-07-15      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO XXXVII Ltd.                                          | Benefit Street Partners CLO XXXVII Ltd., Series 2024-37A, Class A                                                 | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1003317.00   | 0.10%             | 2038-01-25      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO XVIII Ltd.                                           | Benefit Street Partners CLO XVIII Ltd., Series 2019-18A, Class AR2                                                | CUSIP: 08186PAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250398.88    | 0.03%             | 2038-10-15      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO 42 Ltd.                                              | Benefit Street Partners CLO 42 Ltd., Series 2025-42A, Class A                                                     | CUSIP: 08187LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250632.48    | 0.03%             | 2038-10-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO 44 Ltd.                                              | Benefit Street Partners CLO 44 Ltd., Series 2025-44A, Class A1                                                    | CUSIP: 08187NAA5<br>LEI: 254900Z6HW34YGOYWK97 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250344.63    | 0.03%             | 2039-01-15      | Floating      | 4.94%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO XII-B Ltd.                                           | Benefit Street Partners CLO XII-B Ltd., Series 2017-12BRA, Class A                                                | CUSIP: 081917AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250883.00    | 0.03%             | 2037-10-15      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $160099.89    | 0.02%             | 2041-11-15      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class E                                                         | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104000 | PA      | $104165.29    | 0.01%             | 2041-11-15      | Floating      | 7.39%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class A                                                          | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105000 | PA      | $104993.83    | 0.01%             | 2042-10-10      | Variable      | 4.67%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class E                                                          | CUSIP: 088921AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147000 | PA      | $150700.99    | 0.02%             | 2042-10-10      | Variable      | 7.91%                 | No            | 2                  | On Loan: No      |
| BHMS Commercial Mortgage Trust                                                   | BHMS Commercial Mortgage Trust, Series 2025-ATLS, Class A                                                         | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      348000 | PA      | $349308.06    | 0.04%             | 2042-08-15      | Floating      | 5.60%                 | No            | 2                  | On Loan: No      |
| Birch Grove CLO 7 Ltd.                                                           | Birch Grove CLO 7 Ltd., Series 2023-7A, Class A1R                                                                 | CUSIP: 09077RAL3<br>LEI: 254900FP4VB7V5ZG0W95 | Long             | ABS-CBDO         | CORP              | JE        |      410000 | PA      | $410717.46    | 0.04%             | 2038-10-20      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| Birch Grove CLO 13 Ltd.                                                          | Birch Grove CLO 13 Ltd., Series 2025-13A, Class A1                                                                | CUSIP: 09090QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250573.30    | 0.03%             | 2038-10-23      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| BlackRock Allocation Target Shares                                               | BlackRock Allocation Target Shares - BATS Series A, Class A                                                       | CUSIP: 092480706<br>LEI: 5493001N6IPQ853IL862 | Long             |  | RF                | US        |    14408518 | NS      | $138033599.85 | 14.24%            |  |  |  | No            | N/A                | On Loan: No      |
| BlackRock Liquidity Funds                                                        | BlackRock Liquidity Funds, T-Fund, Institutional Class                                                            | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |    13173879 | NS      | $13173878.94  | 1.36%             |  |  |  | No            | 1                  | On Loan: No      |
| BlueMountain CLO Ltd.                                                            | BlueMountain CLO Ltd., Series 2015-3A, Class A1R                                                                  | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |       59277 | PA      | $59308.65     | 0.01%             | 2031-04-20      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| BlueMountain Fuji US CLO II Ltd.                                                 | BlueMountain Fuji US CLO II Ltd., Series 2017-2A, Class A2                                                        | CUSIP: 09629EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250080.78    | 0.03%             | 2030-10-20      | Floating      | 5.75%                 | No            | 2                  | On Loan: No      |
| BlueMountain Fuji US CLO II Ltd.                                                 | BlueMountain Fuji US CLO II Ltd., Series 2017-2A, Class A1AR                                                      | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       22664 | PA      | $22674.51     | 0.00%             | 2030-10-20      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| Boeing Co. (The)                                                                 | Boeing Co. (The)                                                                                                  | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        1700 | NS      | $117402.00    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Boeing Co. (The)                                                                 | Boeing Co. (The)                                                                                                  | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      406000 | PA      | $461317.66    | 0.05%             | 2064-05-01      | Fixed         | 7.01%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                                      | BCMSC Trust, Series 2000-A, Class A2                                                                              | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       39800 | PA      | $2356.15      | 0.00%             | 2030-06-15      | Variable      | 7.58%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                                      | BCMSC Trust, Series 2000-A, Class A3                                                                              | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       36957 | PA      | $2259.18      | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                                      | BCMSC Trust, Series 2000-A, Class A4                                                                              | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       26744 | PA      | $1730.90      | 0.00%             | 2030-06-15      | Variable      | 8.29%                 | No            | 2                  | On Loan: No      |
| Civitas Resources, Inc.                                                          | Civitas Resources, Inc.                                                                                           | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      162000 | PA      | $161524.01    | 0.02%             | 2026-10-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| BP Capital Markets America, Inc.                                                 | BP Capital Markets America, Inc.                                                                                  | CUSIP: 10373QBV1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      649000 | PA      | $660237.68    | 0.07%             | 2033-09-11      | Fixed         | 4.89%                 | No            | 2                  | On Loan: No      |
| Bracelet Holdings, Inc.                                                          | Bracelet Holdings, Inc.                                                                                           | CUSIP: 10374QAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      276000 | PA      | $269985.36    | 0.03%             | 2028-07-02      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust, Series 2023-NQM6, Class B1                                                       | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      151000 | PA      | $152678.43    | 0.02%             | 2063-09-25      | Variable      | 7.98%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust, Series 2025-NQM2, Class A1                                                       | CUSIP: 10569NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      344028 | PA      | $347361.84    | 0.04%             | 2064-11-25      | Variable      | 5.68%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust, Series 2024-CES2, Class A1A                                                      | CUSIP: 10570PAA1<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-O            | CORP              | US        |      117500 | PA      | $118191.39    | 0.01%             | 2054-09-25      | Variable      | 5.55%                 | No            | 2                  | On Loan: No      |
| BRCK Trust                                                                       | BRCK Trust, Series 2025-830B, Class A                                                                             | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156000 | PA      | $156041.15    | 0.02%             | 2042-12-10      | Variable      | 4.96%                 | No            | 2                  | On Loan: No      |
| BRCK Trust                                                                       | BRCK Trust, Series 2025-830B, Class E                                                                             | CUSIP: 10635AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      499000 | PA      | $498530.13    | 0.05%             | 2042-12-10      | Variable      | 7.51%                 | No            | 2                  | On Loan: No      |
| BRCK Trust                                                                       | BRCK Trust, Series 2025-830B, Class F                                                                             | CUSIP: 10635AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $150032.16    | 0.02%             | 2042-12-10      | Variable      | 8.40%                 | No            | 2                  | On Loan: No      |
| Breakwater Energy Holdings SARL                                                  | Breakwater Energy Holdings Sarl                                                                                   | CUSIP: 10637BAA3<br>LEI: 984500969HAFA937F390 | Long             | DBT              | CORP              | LU        |      250000 | PA      | $261788.75    | 0.03%             | 2030-11-15      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| Bridge Street CLO VI Ltd.                                                        | Bridge Street CLO VI Ltd., Series 2025-2A, Class A1                                                               | CUSIP: 10806PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250631.20    | 0.03%             | 2039-01-15      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      914000 | PA      | $787123.93    | 0.08%             | 2035-11-15      | Fixed         | 3.14%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      154000 | PA      | $151999.29    | 0.02%             | 2037-05-15      | Fixed         | 4.93%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      468000 | PA      | $485526.21    | 0.05%             | 2031-11-15      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      626000 | PA      | $627745.34    | 0.06%             | 2032-02-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      318000 | PA      | $318611.52    | 0.03%             | 2034-10-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      729000 | PA      | $756320.60    | 0.08%             | 2032-04-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      849000 | PA      | $776562.02    | 0.08%             | 2031-02-15      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCT6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      952000 | PA      | $868074.62    | 0.09%             | 2034-04-15      | Fixed         | 3.47%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      326000 | PA      | $301766.72    | 0.03%             | 2033-04-15      | Fixed         | 3.42%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCX7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      410000 | PA      | $401933.93    | 0.04%             | 2038-02-15      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| Brookfield Residential Properties, Inc.                                          | Brookfield Residential Properties, Inc.                                                                           | CUSIP: 11283YAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      100000 | PA      | $93145.40     | 0.01%             | 2030-02-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Brookfield Residential Properties, Inc.                                          | Brookfield Residential Properties, Inc.                                                                           | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       94000 | PA      | $90927.63     | 0.01%             | 2029-06-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Bryant Park CLO Ltd.                                                             | Bryant Park CLO Ltd., Series 2025-27A, Class A1                                                                   | CUSIP: 11765EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $260840.66    | 0.03%             | 2038-07-20      | Floating      | 5.53%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-GPA3, Class A                                                           | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      184612 | PA      | $184611.47    | 0.02%             | 2039-12-15      | Floating      | 5.04%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-TAIL, Class A                                                                               | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121000 | PA      | $120999.99    | 0.01%             | 2035-06-15      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-TAIL, Class E                                                                               | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66000 | PA      | $65955.60     | 0.01%             | 2035-06-15      | Floating      | 7.05%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-MDHS, Class A                                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      618837 | PA      | $619793.29    | 0.06%             | 2041-05-15      | Floating      | 5.39%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234049 | PA      | $234485.25    | 0.02%             | 2041-08-15      | Floating      | 5.44%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2025-SPOT, Class A                                                           | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126930 | PA      | $127009.17    | 0.01%             | 2040-04-15      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                                                           | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102536 | PA      | $102664.21    | 0.01%             | 2042-08-15      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2025-BCAT, Class E                                                           | CUSIP: 12433HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95828 | PA      | $95637.52     | 0.01%             | 2042-08-15      | Floating      | 7.25%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-VLT6, Class A                                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1123832 | PA      | $1122427.21   | 0.12%             | 2042-03-15      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90217 | PA      | $90300.72     | 0.01%             | 2040-12-09      | Floating      | 5.51%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2023-XL3, Class D                                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123870 | PA      | $124137.73    | 0.01%             | 2040-12-09      | Floating      | 7.34%                 | No            | 2                  | On Loan: No      |
| C-BASS Trust                                                                     | C-BASS Trust, Series 2006-CB7, Class A4                                                                           | CUSIP: 12479DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30403 | PA      | $21396.95     | 0.00%             | 2036-10-25      | Floating      | 4.17%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       46000 | PA      | $33011.28     | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      152000 | PA      | $105406.53    | 0.01%             | 2045-01-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      902000 | PA      | $887334.12    | 0.09%             | 2027-01-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      117000 | PA      | $113547.02    | 0.01%             | 2028-02-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99862.54     | 0.01%             | 2027-05-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $94151.19     | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      393000 | PA      | $352732.16    | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      414000 | PA      | $352013.57    | 0.04%             | 2034-01-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      110000 | PA      | $100533.64    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1                                      | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30952 | PA      | $30868.46     | 0.00%             | 2036-10-25      | Variable      | 6.75%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                      | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30002 | PA      | $20082.16     | 0.00%             | 2037-07-25      | Floating      | 4.19%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB2, Class AF4                                     | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9337 | PA      | $7637.16      | 0.00%             | 2036-12-25      | Variable      | 2.92%                 | No            | 2                  | On Loan: No      |
| CD Mortgage Trust                                                                | CD Mortgage Trust, Series 2017-CD3, Class A4                                                                      | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30000 | PA      | $29281.62     | 0.00%             | 2050-02-10      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| CENT                                                                             | CENT, Series 2025-CITY, Class A                                                                                   | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $566811.06    | 0.06%             | 2040-07-10      | Variable      | 4.92%                 | No            | 2                  | On Loan: No      |
| CFK Trust                                                                        | CFK Trust, Series 2019-FAX, Class D                                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126000 | PA      | $121642.04    | 0.01%             | 2039-01-15      | Variable      | 4.64%                 | No            | 2                  | On Loan: No      |
| CFMT LLC                                                                         | CFMT LLC, Series 2024-R1, Class A1                                                                                | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108714 | PA      | $107551.28    | 0.01%             | 2054-10-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                  | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XB                                                         | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $2.78         | 0.00%             | 2058-05-10      | Variable      | 0.69%                 | No            | 2                  | On Loan: No      |
| Community Health Systems, Inc.                                                   | Community Health Systems, Inc.                                                                                    | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |       90000 | PA      | $98229.60     | 0.01%             | 2032-01-15      | Fixed         | 10.88%                | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2007-9, Class A1                                                          | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55643 | PA      | $24716.33     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2007-9, Class A11                                                         | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30403 | PA      | $13504.96     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2014-1A, Class BR2                                                                      | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250263.88    | 0.03%             | 2031-01-18      | Floating      | 5.55%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2025-4A, Class A1                                                                       | CUSIP: 12575MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250700.43    | 0.03%             | 2038-10-24      | Floating      | 5.40%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2025-4A, Class B                                                                        | CUSIP: 12575MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250801.98    | 0.03%             | 2038-10-24      | Floating      | 5.81%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2025-4A, Class C                                                                        | CUSIP: 12575MAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250818.30    | 0.03%             | 2038-10-24      | Floating      | 5.96%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2023-1A, Class A1R                                                                      | CUSIP: 12575RAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250505.85    | 0.03%             | 2038-10-15      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| CIP Commercial Mortgage Trust                                                    | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class A                                                          | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      885000 | PA      | $885821.90    | 0.09%             | 2037-10-15      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| CIP Commercial Mortgage Trust                                                    | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class E                                                          | CUSIP: 12576AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124000 | PA      | $124191.82    | 0.01%             | 2037-10-15      | Floating      | 7.50%                 | No            | 2                  | On Loan: No      |
| CHI Commercial Mortgage Trust                                                    | CHI Commercial Mortgage Trust, Series 2025-110W, Class A                                                          | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178000 | PA      | $178287.81    | 0.02%             | 2040-12-13      | Variable      | 5.10%                 | No            | 2                  | On Loan: No      |
| CHI Commercial Mortgage Trust                                                    | CHI Commercial Mortgage Trust, Series 2025-110W, Class D                                                          | CUSIP: 12577HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      275000 | PA      | $275978.86    | 0.03%             | 2040-12-13      | Variable      | 6.63%                 | No            | 2                  | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                  | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class XB                                                       | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1430000 | PA      | $7586.29      | 0.00%             | 2050-11-15      | Variable      | 0.23%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2021-5, Class A1                                                                 | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203326 | PA      | $185019.93    | 0.02%             | 2066-11-26      | Variable      | 1.73%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                                      | Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1                                           | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280963 | PA      | $106295.11    | 0.01%             | 2037-10-27      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                       | CSMC Trust, Series 2017-TIME, Class A                                                                             | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $95191.49     | 0.01%             | 2039-11-13      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| CNX Resources Corp.                                                              | CNX Resources Corp.                                                                                               | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      306000 | PA      | $319433.37    | 0.03%             | 2032-03-01      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                       | CSMC Trust, Series 2022-NQM3, Class A1B                                                                           | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168000 | PA      | $166931.69    | 0.02%             | 2067-03-25      | Variable      | 4.26%                 | No            | 2                  | On Loan: No      |
| CVR Energy, Inc.                                                                 | CVR Energy, Inc.                                                                                                  | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102784.74    | 0.01%             | 2029-01-15      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                       | CSMC Trust, Series 2022-NQM6, Class PT                                                                            | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      281526 | PA      | $282144.37    | 0.03%             | 2067-12-25      | Variable      | 8.83%                 | No            | 2                  | On Loan: No      |
| CVS Health Corp.                                                                 | CVS Health Corp.                                                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      240000 | PA      | $216673.58    | 0.02%             | 2045-07-20      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| CVS Health Corp.                                                                 | CVS Health Corp.                                                                                                  | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104904.81    | 0.01%             | 2055-03-10      | Variable      | 7.00%                 | No            | 2                  | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                            | CWABS Asset-Backed Certificates Trust, Series 2005-16, Class 1AF                                                  | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       60531 | PA      | $54497.21     | 0.01%             | 2036-04-25      | Variable      | 4.53%                 | No            | 2                  | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                                      | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-5, Class A                                               | CUSIP: 1266716J0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       50911 | PA      | $50060.18     | 0.01%             | 2034-10-25      | Floating      | 4.75%                 | No            | 2                  | On Loan: No      |
| CWABS Revolving Home Equity Loan Trust                                           | CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A                                                   | CUSIP: 126673VE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        3750 | PA      | $3754.05      | 0.00%             | 2034-03-15      | Floating      | 4.13%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2005-22T1, Class A1                                                                | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88521 | PA      | $78652.00     | 0.01%             | 2035-06-25      | Floating      | 4.20%                 | No            | 2                  | On Loan: No      |
| CWHEQ Home Equity Loan Trust                                                     | CWHEQ Home Equity Loan Trust, Series 2006-S5, Class A5                                                            | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         899 | PA      | $1425.19      | 0.00%             | 2035-06-25      | Fixed         | 6.16%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                           | CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A                                                   | CUSIP: 126685AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         411 | PA      | $409.52       | 0.00%             | 2035-05-15      | Floating      | 4.04%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                           | CWHEQ Revolving Home Equity Loan Trust, Series 2006-C, Class 2A                                                   | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        7997 | PA      | $7955.00      | 0.00%             | 2036-05-15      | Floating      | 4.04%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                           | CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 1A                                                   | CUSIP: 126686AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        5028 | PA      | $4960.10      | 0.00%             | 2036-11-15      | Floating      | 4.01%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2005-76, Class 2A1                                                                 | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10982 | PA      | $10158.81     | 0.00%             | 2036-02-25      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-11CB, Class 3A1                                                               | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47387 | PA      | $21043.40     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                        | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128397 | PA      | $34690.92     | 0.00%             | 2046-04-25      | Floating      | 4.99%                 | No            | 2                  | On Loan: No      |
| Reperforming Loan REMIC Trust                                                    | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                           | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1533 | PA      | $1277.60      | 0.00%             | 2035-09-25      | Floating      | 4.25%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1                                                       | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11610 | PA      | $10683.57     | 0.00%             | 2046-04-25      | Floating      | 4.25%                 | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                        | Commercial Mortgage Trust, Series 2024-CBM, Class A2                                                              | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $162866.35    | 0.02%             | 2041-12-10      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                        | Commercial Mortgage Trust, Series 2025-167G, Class A                                                              | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      491000 | PA      | $492447.08    | 0.05%             | 2040-08-10      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                        | Commercial Mortgage Trust, Series 2025-167G, Class E                                                              | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75000 | PA      | $74970.59     | 0.01%             | 2040-08-10      | Variable      | 8.20%                 | No            | 2                  | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM Mortgage Trust, Series 2025-167G, Class F                                                                    | CUSIP: 12674VAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66000 | PA      | $65971.15     | 0.01%             | 2040-08-10      | Variable      | 9.16%                 | No            | 2                  | On Loan: No      |
| CSTL Commercial Mortgage Trust                                                   | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class A                                                        | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140000 | PA      | $139557.15    | 0.01%             | 2042-11-10      | Variable      | 4.56%                 | No            | 2                  | On Loan: No      |
| CSTL Commercial Mortgage Trust                                                   | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                                                        | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99773.83     | 0.01%             | 2042-11-10      | Variable      | 5.63%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2025-11, Class A1                                                                | CUSIP: 12676KAC7<br>LEI: 213800CETFGZSOQ6WF79 | Long             | ABS-MBS          | CORP              | US        |      311101 | PA      | $311877.07    | 0.03%             | 2070-11-25      | Variable      | 5.05%                 | No            | 2                  | On Loan: No      |
| Caesars Entertainment, Inc.                                                      | Caesars Entertainment, Inc.                                                                                       | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |        3483 | NS      | $81467.37     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Caesars Entertainment, Inc.                                                      | Caesars Entertainment, Inc.                                                                                       | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95923.87     | 0.01%             | 2029-10-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| CAFL Issuer LLC                                                                  | CAFL Issuer LLC, Series 2024-RTL1, Class A1                                                                       | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173000 | PA      | $175331.92    | 0.02%             | 2031-11-28      | Variable      | 6.75%                 | No            | 2                  | On Loan: No      |
| Cali                                                                             | Cali, Series 2024-SUN, Class A                                                                                    | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      311000 | PA      | $311384.21    | 0.03%             | 2041-07-15      | Floating      | 5.67%                 | No            | 2                  | On Loan: No      |
| California Resources Corp.                                                       | California Resources Corp.                                                                                        | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |       85000 | PA      | $88908.36     | 0.01%             | 2029-06-15      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| California Resources Corp.                                                       | California Resources Corp.                                                                                        | CUSIP: 13057QAL1<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |       71000 | PA      | $69938.43     | 0.01%             | 2034-01-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| State of California                                                              | State of California, Series 2009                                                                                  | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |       65000 | PA      | $78882.53     | 0.01%             | 2039-04-01      | Fixed         | 7.55%                 | No            | 2                  | On Loan: No      |
| State of California                                                              | State of California, Series 2018                                                                                  | CUSIP: 13063DGE2<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     1215000 | PA      | $1237236.57   | 0.13%             | 2038-04-01      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Cameron LNG LLC                                                                  | Cameron LNG LLC                                                                                                   | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     1079000 | PA      | $936658.26    | 0.10%             | 2038-01-15      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Canyon CLO Ltd.                                                                  | Canyon CLO Ltd., Series 2020-3A, Class A1R                                                                        | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $331258.39    | 0.03%             | 2037-10-15      | Floating      | 5.30%                 | No            | 2                  | On Loan: No      |
| Canyon Capital CLO Ltd.                                                          | Canyon Capital CLO Ltd., Series 2019-2A, Class AR2                                                                | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249630.78    | 0.03%             | 2034-10-15      | Floating      | 4.91%                 | No            | 2                  | On Loan: No      |
| Capital Four US CLO II Ltd.                                                      | Capital Four US CLO II Ltd., Series 2022-1A, Class AR                                                             | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250466.65    | 0.03%             | 2037-01-20      | Floating      | 5.78%                 | No            | 2                  | On Loan: No      |
| Carlyle US CLO Ltd.                                                              | Carlyle US CLO Ltd., Series 2021-8A, Class BR                                                                     | CUSIP: 143120AS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $502010.40    | 0.05%             | 2038-10-15      | Floating      | 5.63%                 | No            | 2                  | On Loan: No      |
| Carlyle US CLO Ltd.                                                              | Carlyle US CLO Ltd., Series 2025-6A, Class A1                                                                     | CUSIP: 14320LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249992.85    | 0.03%             | 2039-01-20      | Floating      | 4.88%                 | No            | 2                  | On Loan: No      |
| Carnival Corp.                                                                   | Carnival Corp.                                                                                                    | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      585000 | PA      | $600374.37    | 0.06%             | 2032-08-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Carrington Mortgage Loan Trust                                                   | Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3                                                         | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       13455 | PA      | $13201.21     | 0.00%             | 2036-10-25      | Floating      | 4.01%                 | No            | 2                  | On Loan: No      |
| CarVal CLO IV Ltd.                                                               | CarVal CLO IV Ltd., Series 2021-1A, Class A1R                                                                     | CUSIP: 14687EAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250644.33    | 0.03%             | 2038-03-31      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2006-SL1, Class A2                                      | CUSIP: 14983AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       72968 | PA      | $2170.60      | 0.00%             | 2036-09-25      | Variable      | 6.06%                 | No            | 2                  | On Loan: No      |
| Celanese US Holdings LLC                                                         | Celanese US Holdings LLC                                                                                          | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100500.00    | 0.01%             | 2030-04-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Cemex SAB de CV                                                                  | Cemex SAB de CV                                                                                                   | CUSIP: 151290CC5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |      327000 | PA      | $340864.80    | 0.04%             | 2030-06-10      | Variable      | 7.20%                 | No            | 2                  | On Loan: No      |
| Centene Corp.                                                                    | Centene Corp.                                                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      200000 | PA      | $198822.47    | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Century Communities, Inc.                                                        | Century Communities, Inc.                                                                                         | CUSIP: 156504300<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | EC               | CORP              | US        |        1535 | NS      | $91102.25     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      426000 | PA      | $439655.70    | 0.05%             | 2035-10-23      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      298000 | PA      | $254189.78    | 0.03%             | 2048-04-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      218000 | PA      | $170595.95    | 0.02%             | 2049-07-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      254000 | PA      | $190804.71    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $125886.37    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      996000 | PA      | $593526.58    | 0.06%             | 2061-04-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1350000 | PA      | $871321.28    | 0.09%             | 2052-06-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      612000 | PA      | $400264.55    | 0.04%             | 2061-12-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      288000 | PA      | $199797.34    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      779000 | PA      | $468745.54    | 0.05%             | 2062-06-30      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      224000 | PA      | $177149.38    | 0.02%             | 2053-04-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      338000 | PA      | $356062.84    | 0.04%             | 2034-02-01      | Fixed         | 6.65%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       88000 | PA      | $92554.48     | 0.01%             | 2034-06-01      | Fixed         | 6.55%                 | No            | 2                  | On Loan: No      |
| Chase Mortgage Finance Trust                                                     | Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1                                                           | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      653392 | PA      | $254353.93    | 0.03%             | 2037-12-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Chemours Co. (The)                                                               | Chemours Co. (The)                                                                                                | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      100000 | PA      | $90422.88     | 0.01%             | 2029-11-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     1683000 | PA      | $1638836.45   | 0.17%             | 2031-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      444000 | PA      | $408939.22    | 0.04%             | 2032-01-31      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      486000 | PA      | $507441.30    | 0.05%             | 2034-08-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy, Inc.                                                            | Cheniere Energy, Inc.                                                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     2175000 | PA      | $2256301.46   | 0.23%             | 2034-04-15      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                             | Cheniere Corpus Christi Holdings LLC                                                                              | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      451000 | PA      | $455361.39    | 0.05%             | 2027-06-30      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                             | Cheniere Corpus Christi Holdings LLC                                                                              | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     1293000 | PA      | $1102486.60   | 0.11%             | 2039-12-31      | Fixed         | 2.74%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      181000 | PA      | $181012.78    | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2392000 | PA      | $2475410.12   | 0.26%             | 2035-01-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2006-17, Class A6                                                         | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12019 | PA      | $5230.15      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2007-15, Class 2A2                                                        | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171535 | PA      | $60214.36     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Chobani LLC                                                                      | Chobani LLC                                                                                                       | CUSIP: 17027NAC6<br>LEI: 549300ISVDMZ91KNTR38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104312.20    | 0.01%             | 2029-07-01      | Fixed         | 7.62%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2018-1A, Class BR                                                                       | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $863605.12    | 0.09%             | 2038-01-18      | Floating      | 5.58%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2019-7A, Class A1R                                                                      | CUSIP: 171935AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501400.00    | 0.05%             | 2038-10-19      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Cipher Compute LLC                                                               | Cipher Compute LLC                                                                                                | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       12000 | PA      | $12221.79     | 0.00%             | 2030-11-15      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 17292GKU8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | SN               | CORP              | US        |     1114000 | PA      | $1114000.00   | 0.11%             | 2030-12-11      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1348000 | PA      | $1285289.19   | 0.13%             | 2033-03-17      | Variable      | 3.79%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      138000 | PA      | $141608.87    | 0.01%             | 2030-02-13      | Variable      | 5.17%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      249000 | PA      | $251021.27    | 0.03%             | 2028-05-07      | Variable      | 4.64%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      188000 | PA      | $192020.31    | 0.02%             | 2031-05-07      | Variable      | 4.95%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      485000 | PA      | $486500.97    | 0.05%             | 2031-09-11      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       54000 | PA      | $54504.76     | 0.01%             | 2036-09-11      | Variable      | 5.17%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1522000 | PA      | $1449517.84   | 0.15%             | 2030-11-05      | Variable      | 2.98%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                    | Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3B                                                        | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      141308 | PA      | $96494.89     | 0.01%             | 2037-05-25      | Floating      | 4.05%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                    | Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3C                                                        | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       64135 | PA      | $43823.96     | 0.00%             | 2037-05-25      | Floating      | 4.12%                 | No            | 2                  | On Loan: No      |
| Citicorp Mortgage Securities Trust                                               | Citicorp Mortgage Securities Trust, Series 2007-9, Class 1A1                                                      | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28103 | PA      | $26781.79     | 0.00%             | 2037-12-25      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Citicorp Mortgage Securities Trust                                               | Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1                                                      | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41864 | PA      | $36014.18     | 0.00%             | 2038-06-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      193000 | PA      | $194534.76    | 0.02%             | 2030-09-19      | Variable      | 4.54%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      927000 | PA      | $940282.13    | 0.10%             | 2029-03-04      | Variable      | 4.79%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |        9995 | PA      | $-1486.69     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Civitas Resources, Inc.                                                          | Civitas Resources, Inc.                                                                                           | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       84000 | PA      | $86553.01     | 0.01%             | 2028-07-01      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Civitas Resources, Inc.                                                          | Civitas Resources, Inc.                                                                                           | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       19000 | PA      | $19913.14     | 0.00%             | 2030-11-01      | Fixed         | 8.62%                 | No            | 2                  | On Loan: No      |
| Clarios Global LP                                                                | Clarios Global LP                                                                                                 | CUSIP: 18060TAC9<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102537.50    | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                             | Clear Channel Outdoor Holdings, Inc.                                                                              | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105319.30    | 0.01%             | 2030-04-01      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                           | Cleveland-Cliffs, Inc.                                                                                            | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104003.27    | 0.01%             | 2033-05-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      870000 | PA      | $-5301.60     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     1712000 | PA      | $-9106.50     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      849000 | PA      | $-3545.79     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Cloud Software Group, Inc.                                                       | Cloud Software Group, Inc.                                                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      284000 | PA      | $295788.95    | 0.03%             | 2029-09-30      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                            | Clydesdale Acquisition Holdings, Inc.                                                                             | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      156000 | PA      | $158601.92    | 0.02%             | 2030-04-15      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| Cogent Communications Group LLC                                                  | Cogent Communications Group LLC                                                                                   | CUSIP: 19240WAB5<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93520.75     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2025-12, Class B1                                                                | CUSIP: 19688UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128000 | PA      | $127318.85    | 0.01%             | 2071-01-26      | Variable      | 6.86%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2024-6, Class A1                                                                 | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |       87181 | PA      | $87666.16     | 0.01%             | 2069-11-25      | Variable      | 5.39%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2025-7, Class A1                                                                 | CUSIP: 19689CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387228 | PA      | $391054.55    | 0.04%             | 2070-06-25      | Variable      | 5.47%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2025-8, Class A1                                                                 | CUSIP: 19689DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191736 | PA      | $193411.20    | 0.02%             | 2070-08-25      | Variable      | 5.48%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2025-8, Class B1                                                                 | CUSIP: 19689DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101141.57    | 0.01%             | 2070-08-25      | Variable      | 7.10%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                                    | Comcast Corp.                                                                                                     | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      666000 | PA      | $360237.70    | 0.04%             | 2063-11-01      | Fixed         | 2.99%                 | No            | 2                  | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM Mortgage Trust, Series 2025-SBX, Class B                                                                     | CUSIP: 20047UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93000 | PA      | $93366.60     | 0.01%             | 2041-08-10      | Variable      | 5.55%                 | No            | 2                  | On Loan: No      |
| Compass Datacenters Issuer III LLC                                               | Compass Datacenters Issuer III LLC, Series 2025-3A, Class A2                                                      | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      189000 | PA      | $190135.59    | 0.02%             | 2050-07-25      | Fixed         | 5.29%                 | No            | 2                  | On Loan: No      |
| Concord Music Royalties LLC                                                      | Concord Music Royalties LLC, Series 2024-1A, Class A                                                              | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100895.74    | 0.01%             | 2074-10-20      | Fixed         | 5.64%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                            | Conseco Finance Securitizations Corp., Series 2000-1, Class A5                                                    | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       56236 | PA      | $6731.73      | 0.00%             | 2029-09-01      | Variable      | 8.06%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                            | Conseco Finance Securitizations Corp., Series 2000-4, Class A6                                                    | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      151157 | PA      | $18901.73     | 0.00%             | 2032-05-01      | Variable      | 8.31%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                            | Conseco Finance Securitizations Corp., Series 2000-5, Class A7                                                    | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      133743 | PA      | $24641.04     | 0.00%             | 2031-05-01      | Fixed         | 8.20%                 | No            | 2                  | On Loan: No      |
| Continuum Energy Pte. Ltd.                                                       | Continuum Energy Pte. Ltd.                                                                                        | CUSIP: 211926AA8<br>LEI: 254900MLJ5CQ9QU8DV90 | Long             | DBT              | CORP              | SG        |      460656 | PA      | $458951.57    | 0.05%             | 2027-09-11      | Fixed         | 12.85%                | No            | 3                  | On Loan: No      |
| CoreWeave, Inc.                                                                  | CoreWeave, Inc.                                                                                                   | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      100000 | PA      | $92977.26     | 0.01%             | 2030-06-01      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5654000 | PA      | $4681312.81   | 0.48%             | 2056-01-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -92000 | PA      | $-76172.76    | -0.01%            | 2056-01-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -102000 | PA      | $-87967.03    | -0.01%            | 2056-01-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3663000 | PA      | $3159051.35   | 0.33%             | 2056-01-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2915000 | PA      | $2618831.45   | 0.27%             | 2056-01-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -68000 | PA      | $-61091.09    | -0.01%            | 2056-01-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -78000 | PA      | $-70970.81    | -0.01%            | 2056-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      465000 | PA      | $423095.22    | 0.04%             | 2056-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1827000 | PA      | $1725587.23   | 0.18%             | 2056-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3932000 | PA      | $3829399.38   | 0.40%             | 2056-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -75000 | PA      | $-74822.73    | -0.01%            | 2056-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2893000 | PA      | $2886162.19   | 0.30%             | 2056-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -244000 | PA      | $-246365.92   | -0.03%            | 2056-01-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7192000 | PA      | $7261736.44   | 0.75%             | 2056-01-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -90000 | PA      | $-91712.11    | -0.01%            | 2056-01-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4286000 | PA      | $4367534.46   | 0.45%             | 2056-01-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1905000 | PA      | $1969144.93   | 0.20%             | 2056-01-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1905000 | PA      | $-1969144.93  | -0.20%            | 2056-01-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1792000 | PA      | $1850310.01   | 0.19%             | 2056-02-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Reworld Holding Corp.                                                            | Reworld Holding Corp.                                                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |       94000 | PA      | $90350.88     | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| CQS US CLO Ltd.                                                                  | CQS US CLO Ltd., Series 2023-3A, Class B                                                                          | CUSIP: 223929AE0<br>LEI: 254900OIQPM0JE7KVZ52 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250482.33    | 0.03%             | 2037-01-25      | Floating      | 6.51%                 | No            | 2                  | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                                   | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1                                        | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41239 | PA      | $8240.61      | 0.00%             | 2035-11-25      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| Home Equity Mortgage Trust                                                       | Home Equity Mortgage Trust, Series 2006-2, Class 1A1                                                              | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       47605 | PA      | $4067.46      | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Creeksource Dunes Creek CLO Ltd.                                                 | Creeksource Dunes Creek CLO Ltd., Series 2024-1A, Class A1                                                        | CUSIP: 225914AA8<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250942.40    | 0.03%             | 2038-01-15      | Floating      | 5.31%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      498000 | PA      | $517403.31    | 0.05%             | 2031-02-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -43236000 | PA      | $-117066.27   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -58022000 | PA      | $-224274.37   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDIT                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | FR        |      144000 | PA      | $-175.37      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2024-H7, Class A1                                                                    | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315908 | PA      | $318325.20    | 0.03%             | 2069-11-25      | Variable      | 5.59%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2023-H2, Class A1A                                                                   | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76620 | PA      | $77540.79     | 0.01%             | 2068-11-25      | Variable      | 7.13%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-CES1, Class A1A                                                                 | CUSIP: 22757WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       96432 | PA      | $96769.59     | 0.01%             | 2060-11-25      | Variable      | 5.30%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-H8, Class A1A                                                                   | CUSIP: 22757XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      743674 | PA      | $745289.25    | 0.08%             | 2070-11-25      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-H1, Class A1                                                                    | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      875999 | PA      | $884588.24    | 0.09%             | 2070-02-25      | Variable      | 5.74%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-H1, Class M1                                                                    | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173000 | PA      | $175136.03    | 0.02%             | 2070-02-25      | Variable      | 6.48%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDIT                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      144000 | PA      | $1422.34      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-H4, Class A1                                                                    | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146248 | PA      | $147587.00    | 0.02%             | 2070-06-25      | Variable      | 5.60%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                               | Crown Castle, Inc.                                                                                                | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |       78000 | PA      | $69728.74     | 0.01%             | 2031-07-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                               | Crown Castle, Inc.                                                                                                | CUSIP: 22822VBC4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46387.32     | 0.00%             | 2033-05-01      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                               | Crown Castle, Inc.                                                                                                | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      222000 | PA      | $230358.77    | 0.02%             | 2029-06-01      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| CSTL Commercial Mortgage Trust                                                   | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                                                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370000 | PA      | $372353.68    | 0.04%             | 2041-11-10      | Variable      | 4.76%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -7673000 | PA      | $-53446.23    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Foreign Exchange Option - Exotic                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |       12000 | PA      | $2880.66      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     8252000 | PA      | $18598.96     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -8252000 | PA      | $-5538.84     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     1093230 | PA      | $632.14       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     1641710 | PA      | $1947.61      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -4260000 | PA      | $-171918.30   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -4260000 | PA      | $-114282.47   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | FR        |      147000 | PA      | $239.74       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | FR        |     -210000 | PA      | $-53.98       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   200412160 | PA      | $2461.32      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   361316073 | PA      | $-2645.74     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OA16, Class A4C                                                               | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99086 | PA      | $75426.40     | 0.01%             | 2046-10-25      | Floating      | 4.53%                 | No            | 2                  | On Loan: No      |
| CWABS Trust                                                                      | CWABS Trust, Series 2006-14, Class M1                                                                             | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      242960 | PA      | $257296.36    | 0.03%             | 2037-02-25      | Floating      | 4.28%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OC7, Class 2A3                                                                | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47616 | PA      | $44047.45     | 0.00%             | 2046-07-25      | Floating      | 4.35%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OC10, Class 2A3                                                               | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54226 | PA      | $49903.00     | 0.01%             | 2036-11-25      | Floating      | 4.31%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |      145000 | PA      | $2332.50      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |       10000 | PA      | $-117.81      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |       37000 | PA      | $470.49       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   216802621 | PA      | $2552.06      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   388773644 | PA      | $-2736.50     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   358669952 | PA      | $-2524.60     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   199824389 | PA      | $2352.20      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   217440217 | PA      | $2670.46      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   391641426 | PA      | $-2867.79     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   712092344 | PA      | $-4439.83     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   391872099 | PA      | $4213.16      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -48300 | PA      | $-1174.48     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -48300 | PA      | $-30.56       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -49000 | PA      | $-1191.50     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| DK Trust                                                                         | DK Trust, Series 2025-LXP, Class A                                                                                | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159000 | PA      | $159246.32    | 0.02%             | 2037-08-15      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| DK Trust                                                                         | DK Trust, Series 2025-LXP, Class D                                                                                | CUSIP: 23292LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17000 | PA      | $17042.15     | 0.00%             | 2037-08-15      | Floating      | 6.63%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   771859501 | PA      | $-4812.47     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   425167914 | PA      | $4571.13      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| DB Master Finance LLC                                                            | DB Master Finance LLC, Series 2025-1A, Class A2I                                                                  | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |      388000 | PA      | $388794.12    | 0.04%             | 2055-08-20      | Fixed         | 4.89%                 | No            | 2                  | On Loan: No      |
| DBC Mortgage Trust                                                               | DBC Mortgage Trust, Series 2025-DBC, Class A                                                                      | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1286000 | PA      | $1286993.18   | 0.13%             | 2042-11-15      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| DBC Mortgage Trust                                                               | DBC Mortgage Trust, Series 2025-DBC, Class C                                                                      | CUSIP: 23306HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113000 | PA      | $112999.83    | 0.01%             | 2042-11-15      | Floating      | 5.80%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -49000 | PA      | $-31.00       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| DR Horton, Inc.                                                                  | DR Horton, Inc.                                                                                                   | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |       69000 | PA      | $71852.74     | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -3279000 | PA      | $-2062.30     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| DGWD Trust                                                                       | DGWD Trust, Series 2025-INFL, Class A                                                                             | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      278000 | PA      | $278930.38    | 0.03%             | 2035-08-15      | Floating      | 5.35%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -7509333 | PA      | $-1496.70     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |      -36000 | PA      | $-135.63      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |       72000 | PA      | $872.05       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -6979000 | PA      | $-2360.80     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -12994000 | PA      | $-3829.14     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDIO                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     -430000 | PA      | $-119.48      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDIO                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      301000 | PA      | $186.63       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    -1828880 | PA      | $-76410.37    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    -1828880 | PA      | $-48138.24    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   361856612 | PA      | $-69.50       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |     -218556 | PA      | $-3375.64     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |     -243000 | PA      | $-3753.18     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   359328000 | PA      | $-69.01       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |      315704 | PA      | $11608.65     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -2958000 | PA      | $-5608.32     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -1308000 | PA      | $-5784.11     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD/INR One-touch barrier option; Barrier price USD 88.15000                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       29093 | PA      | $1917.56      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     -658200 | PA      | $-4193.58     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR/CZK One-touch barrier option; Barrier price EUR 23.85000                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       16626 | PA      | $1238.18      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD/CZK One-touch barrier option; Barrier price USD 20.00000                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       14535 | PA      | $1263.63      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     -435255 | PA      | $-2666.15     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |      289837 | PA      | $4394.77      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -41129362 | PA      | $-13492.64    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -41129362 | PA      | $-26497.96    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    41129362 | PA      | $42911.02     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -17317626 | PA      | $-81033.21    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | AUD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | DE        |      400241 | PA      | $433.94       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -3248000 | PA      | $-6850.17     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -2320000 | PA      | $-7266.48     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -1740000 | PA      | $-5665.82     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | GBP Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -74000 | PA      | $-166.04      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | GBP Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       74000 | PA      | $943.66       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |      207000 | PA      | $422.72       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -1740000 | PA      | $-13142.73    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | TRSIBOXX                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    14518000 | PA      | $-182727.95   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | TRSIBOXX                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     9659000 | PA      | $-111652.87   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | TRSIBOXX                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      509000 | PA      | $-5883.77     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | DE        |      164550 | PA      | $595.80       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -26253000 | PA      | $-70145.14    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -1627000 | PA      | $-12023.34    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -2163000 | PA      | $-4851.74     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -1627000 | PA      | $-9683.79     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -2163000 | PA      | $-5090.16     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | TRSIBOXX                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     2533000 | PA      | $-29442.53    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD/JPY Up-and-in barrier option; Barrier price USD 160.25000                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     1895800 | PA      | $506.64       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust, Series 2024-1, Class A1                                                     | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88310 | PA      | $88978.51     | 0.01%             | 2069-07-25      | Variable      | 5.74%                 | No            | 2                  | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust, Series 2025-CES1, Class A1A                                                 | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      118670 | PA      | $119088.60    | 0.01%             | 2055-10-25      | Variable      | 5.22%                 | No            | 2                  | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust, Series 2025-INV1, Class A1                                                  | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      587978 | PA      | $589182.78    | 0.06%             | 2060-11-25      | Variable      | 5.09%                 | No            | 2                  | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust, Series 2025-INV1, Class B1                                                  | CUSIP: 24382EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100012.41    | 0.01%             | 2060-11-25      | Variable      | 6.68%                 | No            | 2                  | On Loan: No      |
| Dell International LLC                                                           | Dell International LLC                                                                                            | CUSIP: 24703DBS9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      978000 | PA      | $976604.14    | 0.10%             | 2031-02-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust                                    | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8                                          | CUSIP: 25151EAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5681 | PA      | $4971.98      | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | No            | 2                  | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust                                    | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A                                         | CUSIP: 25151XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79562 | PA      | $74483.58     | 0.01%             | 2047-08-25      | Floating      | 4.19%                 | No            | 2                  | On Loan: No      |
| Dewolf Park CLO Ltd.                                                             | Dewolf Park CLO Ltd., Series 2017-1A, Class AR                                                                    | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       46083 | PA      | $46078.46     | 0.00%             | 2030-10-15      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| Diameter Capital CLO 5 Ltd.                                                      | Diameter Capital CLO 5 Ltd., Series 2023-5A, Class A1R                                                            | CUSIP: 25255RAL3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250461.13    | 0.03%             | 2039-01-15      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| Diameter Capital CLO 12 Ltd.                                                     | Diameter Capital CLO 12 Ltd., Series 2025-12A, Class A                                                            | CUSIP: 25255YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500883.00    | 0.05%             | 2038-10-20      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| Diameter Capital CLO 13 Ltd.                                                     | Diameter Capital CLO 13 Ltd., Series 2025-13A, Class A1                                                           | CUSIP: 25256GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280000.00    | 0.03%             | 2039-01-20      | Floating      | 4.96%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                         | Diamondback Energy, Inc.                                                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     2629000 | PA      | $2609960.02   | 0.27%             | 2026-12-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                         | Diamondback Energy, Inc.                                                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     2608000 | PA      | $2529965.22   | 0.26%             | 2029-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                         | Diamondback Energy, Inc.                                                                                          | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     2018000 | PA      | $1885643.80   | 0.19%             | 2031-03-24      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                         | Diamondback Energy, Inc.                                                                                          | CUSIP: 25278XAT6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      168000 | PA      | $130581.05    | 0.01%             | 2052-03-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Diameter Capital CLO 10 Ltd.                                                     | Diameter Capital CLO 10 Ltd., Series 2025-10A, Class A                                                            | CUSIP: 25290BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1300000 | PA      | $1304008.81   | 0.13%             | 2038-04-20      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| Directv Financing LLC                                                            | DirecTV Financing LLC                                                                                             | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $102205.18    | 0.01%             | 2031-02-15      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Discovery Communications LLC                                                     | Discovery Communications LLC                                                                                      | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     1939000 | PA      | $1904602.14   | 0.20%             | 2028-03-20      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Discovery Communications LLC                                                     | Discovery Communications LLC                                                                                      | CUSIP: 25470DBY4<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $80012.00     | 0.01%             | 2037-09-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Directv Financing LLC                                                            | DirecTV Financing LLC                                                                                             | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       21000 | PA      | $21247.67     | 0.00%             | 2030-02-01      | Fixed         | 8.88%                 | No            | 2                  | On Loan: No      |
| Dominion Energy South Carolina, Inc.                                             | Dominion Energy South Carolina, Inc., Series 2025                                                                 | CUSIP: 25731VAC8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |       33000 | PA      | $34114.33     | 0.00%             | 2035-01-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| Dominion Energy, Inc.                                                            | Dominion Energy, Inc., Series B                                                                                   | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      394000 | PA      | $426603.89    | 0.04%             | 2054-06-01      | Variable      | 7.00%                 | No            | 2                  | On Loan: No      |
| Dryden 40 Senior Loan Fund                                                       | Dryden 40 Senior Loan Fund, Series 2015-40A, Class AR2                                                            | CUSIP: 26244GAS4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |      447251 | PA      | $447432.62    | 0.05%             | 2031-08-15      | Floating      | 5.00%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                                | Duke Energy Corp.                                                                                                 | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      207000 | PA      | $159410.95    | 0.02%             | 2047-08-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                                | Duke Energy Corp.                                                                                                 | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      290000 | PA      | $200839.34    | 0.02%             | 2051-06-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                                | Duke Energy Corp.                                                                                                 | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      926000 | PA      | $915617.87    | 0.09%             | 2054-06-15      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                        | Duke Energy Carolinas LLC                                                                                         | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      485000 | PA      | $366163.60    | 0.04%             | 2047-12-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                        | Duke Energy Carolinas LLC                                                                                         | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      477000 | PA      | $338297.59    | 0.03%             | 2051-04-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Duke Energy Ohio, Inc.                                                           | Duke Energy Ohio, Inc.                                                                                            | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |       70000 | PA      | $69294.63     | 0.01%             | 2029-02-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Duke Energy Ohio, Inc.                                                           | Duke Energy Ohio, Inc.                                                                                            | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      465000 | PA      | $425666.30    | 0.04%             | 2030-06-01      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| Duke Energy Ohio, Inc.                                                           | Duke Energy Ohio, Inc.                                                                                            | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      131000 | PA      | $135700.76    | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Duke Energy Ohio, Inc.                                                           | Duke Energy Ohio, Inc.                                                                                            | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      114000 | PA      | $111406.98    | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| Duke Energy Progress LLC                                                         | Duke Energy Progress LLC                                                                                          | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     1234000 | PA      | $719413.47    | 0.07%             | 2050-08-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Duke Energy Progress LLC                                                         | Duke Energy Progress LLC                                                                                          | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       66000 | PA      | $67107.84     | 0.01%             | 2035-03-15      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| Duke Energy Progress LLC                                                         | Duke Energy Progress LLC                                                                                          | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       71000 | PA      | $70033.98     | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                          | Duke Energy Florida LLC                                                                                           | CUSIP: 26444HAF8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3250.85      | 0.00%             | 2048-07-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                          | Duke Energy Florida LLC                                                                                           | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      111000 | PA      | $100133.10    | 0.01%             | 2030-06-15      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                          | Duke Energy Florida LLC                                                                                           | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       70000 | PA      | $45294.58     | 0.00%             | 2051-12-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Durst Commercial Mortgage Trust                                                  | Durst Commercial Mortgage Trust, Series 2025-151, Class A                                                         | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174000 | PA      | $177487.50    | 0.02%             | 2042-08-10      | Variable      | 5.15%                 | No            | 2                  | On Loan: No      |
| Durst Commercial Mortgage Trust                                                  | Durst Commercial Mortgage Trust, Series 2025-151, Class D                                                         | CUSIP: 266895AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $103294.39    | 0.01%             | 2042-08-10      | Variable      | 6.79%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage Trust                                               | Ellington Financial Mortgage Trust, Series 2024-NQM1, Class A1A                                                   | CUSIP: 26845DAA3<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |      150980 | PA      | $152267.93    | 0.02%             | 2069-11-25      | Variable      | 5.71%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage Trust                                               | Ellington Financial Mortgage Trust, Series 2025-INV1, Class A1                                                    | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |      231875 | PA      | $234141.49    | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage Trust                                               | Ellington Financial Mortgage Trust, Series 2025-INV3, Class A1                                                    | CUSIP: 26847NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      571676 | PA      | $576662.06    | 0.06%             | 2070-07-25      | Variable      | 5.44%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1327000 | PA      | $1320955.29   | 0.14%             | 2027-10-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1202000 | PA      | $1305555.68   | 0.13%             | 2030-02-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1689000 | PA      | $1711019.80   | 0.18%             | 2029-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1003000 | PA      | $997270.48    | 0.10%             | 2026-05-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2368000 | PA      | $2226830.38   | 0.23%             | 2031-05-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      403000 | PA      | $415873.68    | 0.04%             | 2028-04-01      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      435000 | PA      | $454420.61    | 0.05%             | 2034-02-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAT6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      505000 | PA      | $514737.15    | 0.05%             | 2027-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAX7<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1452000 | PA      | $1455425.24   | 0.15%             | 2029-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAZ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      898000 | PA      | $929233.28    | 0.10%             | 2029-04-01      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LBB4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     3706000 | PA      | $4076485.11   | 0.42%             | 2030-06-01      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LBD0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     4772000 | PA      | $4803321.21   | 0.50%             | 2031-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Permian Resources Operating LLC                                                  | Permian Resources Operating LLC                                                                                   | CUSIP: 27034RAA1<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |       84000 | PA      | $85097.06     | 0.01%             | 2027-04-15      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Easy Street Mortgage Loan Trust                                                  | Easy Street Mortgage Loan Trust, Series 2025-RTL2, Class A1                                                       | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111000 | PA      | $112139.34    | 0.01%             | 2040-10-25      | Variable      | 5.61%                 | No            | 2                  | On Loan: No      |
| Eaton Vance CLO Ltd.                                                             | Eaton Vance CLO Ltd., Series 2013-1A, Class AR4                                                                   | CUSIP: 27830BBY9<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |      380000 | PA      | $381261.68    | 0.04%             | 2038-10-15      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| EchoStar Corp.                                                                   | EchoStar Corp., Class A                                                                                           | CUSIP: 278768106<br>LEI: 549300EE20907QZ9GT38 | Long             | EC               | CORP              | US        |        4806 | NS      | $522412.20    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| Ecopetrol SA                                                                     | Ecopetrol SA                                                                                                      | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |       93000 | PA      | $95284.08     | 0.01%             | 2032-02-01      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| Edgewell Personal Care Co.                                                       | Edgewell Personal Care Co.                                                                                        | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100104.20    | 0.01%             | 2028-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Edison International                                                             | Edison International                                                                                              | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104052.11    | 0.01%             | 2053-06-15      | Variable      | 8.12%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage Trust                                               | Ellington Financial Mortgage Trust, Series 2025-INV2, Class A1                                                    | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |      296115 | PA      | $298361.86    | 0.03%             | 2070-05-26      | Variable      | 5.39%                 | No            | 2                  | On Loan: No      |
| EFMT                                                                             | EFMT, Series 2025-NQM6, Class A1A                                                                                 | CUSIP: 281916AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      247555 | PA      | $248142.87    | 0.03%             | 2070-12-25      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| EFMT                                                                             | EFMT, Series 2025-NQM5, Class A1                                                                                  | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      770949 | PA      | $772397.37    | 0.08%             | 2070-11-25      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Elmwood CLO 38 Ltd.                                                              | Elmwood CLO 38 Ltd., Series 2025-1A, Class A                                                                      | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249728.73    | 0.03%             | 2038-04-22      | Floating      | 5.01%                 | No            | 2                  | On Loan: No      |
| Elmwood CLO 36 Ltd.                                                              | Elmwood CLO 36 Ltd., Series 2024-12RA, Class AR                                                                   | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $502080.50    | 0.05%             | 2037-10-20      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Embraer Netherlands Finance BV                                                   | Embraer Netherlands Finance BV                                                                                    | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |       45000 | PA      | $47650.50     | 0.00%             | 2035-02-11      | Fixed         | 5.98%                 | No            | 2                  | On Loan: No      |
| EMRLD Borrower LP                                                                | EMRLD Borrower LP                                                                                                 | CUSIP: 29103CAA6<br>LEI: 5493000GJYE7GAQCUC61 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104151.21    | 0.01%             | 2030-12-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      300000 | PA      | $304849.13    | 0.03%             | 2028-05-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      773000 | PA      | $732534.17    | 0.08%             | 2054-05-15      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Entegris, Inc.                                                                   | Entegris, Inc.                                                                                                    | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100218.20    | 0.01%             | 2029-04-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Equinix Europe 2 Financing Corp. LLC                                             | Equinix Europe 2 Financing Corp. LLC                                                                              | CUSIP: 29390XAA2<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |      342000 | PA      | $354069.94    | 0.04%             | 2034-06-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| EQT Trust                                                                        | EQT Trust, Series 2024-EXTR, Class A                                                                              | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      848000 | PA      | $867776.72    | 0.09%             | 2041-07-05      | Variable      | 5.33%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBM7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      111000 | PA      | $69517.38     | 0.01%             | 2051-09-15      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      729000 | PA      | $659731.66    | 0.07%             | 2031-05-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      241000 | PA      | $164652.12    | 0.02%             | 2052-02-15      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     1127000 | PA      | $1083160.13   | 0.11%             | 2032-04-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| FIGRE Trust                                                                      | FIGRE Trust, Series 2025-HE1, Class A                                                                             | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1448995 | PA      | $1472361.50   | 0.15%             | 2055-01-25      | Variable      | 5.83%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |       45000 | PA      | $44467.54     | 0.00%             | 2029-04-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     1224000 | PA      | $1273944.70   | 0.13%             | 2030-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      145000 | PA      | $143571.97    | 0.01%             | 2029-06-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      579000 | PA      | $523825.17    | 0.05%             | 2030-10-15      | Fixed         | 2.20%                 | No            | 2                  | On Loan: No      |
| Extended Stay America Trust                                                      | Extended Stay America Trust, Series 2025-ESH, Class A                                                             | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185000 | PA      | $185288.84    | 0.02%             | 2042-10-15      | Floating      | 5.05%                 | No            | 2                  | On Loan: No      |
| FMC Corp.                                                                        | FMC Corp.                                                                                                         | CUSIP: 302491AZ8<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      100000 | PA      | $79150.57     | 0.01%             | 2055-11-01      | Variable      | 8.45%                 | No            | 2                  | On Loan: No      |
| Fortescue Treasury Pty. Ltd.                                                     | Fortescue Treasury Pty. Ltd.                                                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      100000 | PA      | $104348.37    | 0.01%             | 2032-04-15      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Meta Platforms, Inc.                                                             | Meta Platforms, Inc.                                                                                              | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     1380000 | PA      | $1114743.15   | 0.12%             | 2062-08-15      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| FS Trust                                                                         | FS Trust, Series 2024-HULA, Class A                                                                               | CUSIP: 30338DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      573000 | PA      | $574431.47    | 0.06%             | 2039-08-15      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| FS Rialto Issuer LLC                                                             | FS Rialto Issuer LLC, Series 2024-FL9, Class A                                                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      209000 | PA      | $208701.07    | 0.02%             | 2039-10-19      | Floating      | 5.36%                 | No            | 2                  | On Loan: No      |
| FNA 8 LLC                                                                        | FNA 8 LLC, Series 2025-1, Class A                                                                                 | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      345916 | PA      | $348327.70    | 0.04%             | 2045-03-15      | Variable      | 5.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5471 | PA      | $5626.24      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8971 | PA      | $9059.32      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M84A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32354 | PA      | $33768.45     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38111 | PA      | $37245.71     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15643 | PA      | $14990.22     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24100 | PA      | $25189.97     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10226 | PA      | $10528.12     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34827 | PA      | $33171.69     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35919 | PA      | $37023.66     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9515 | PA      | $9363.07      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MENS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7931 | PA      | $7821.30      | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MEVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65958 | PA      | $65510.26     | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48092 | PA      | $46789.00     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MFF94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      200286 | PA      | $198743.16    | 0.02%             | 2032-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16322 | PA      | $15691.53     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31292LGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70023 | PA      | $67362.04     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3081 | PA      | $3110.29      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3630 | PA      | $3556.11      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 312942DD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27063 | PA      | $27278.88     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17509 | PA      | $17225.46     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307M2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9375 | PA      | $9206.19      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5114 | PA      | $4988.97      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1120 | PA      | $1101.03      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1614 | PA      | $1569.95      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2118 | PA      | $2064.23      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1199 | PA      | $1176.18      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         379 | PA      | $368.37       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307QBA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2085 | PA      | $2062.02      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307QVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         808 | PA      | $800.88       | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7605 | PA      | $7429.08      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7780 | PA      | $7600.76      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10473 | PA      | $10223.90     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3131Y9E25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53295 | PA      | $52411.47     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3131YA6L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      459635 | PA      | $414877.58    | 0.04%             | 2048-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9576 | PA      | $9069.05      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31329PYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      132543 | PA      | $132296.03    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      120274 | PA      | $113052.12    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69904 | PA      | $68618.73     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132ADQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123932 | PA      | $116765.15    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41734 | PA      | $39801.42     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      111823 | PA      | $101995.31    | 0.01%             | 2036-04-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      150579 | PA      | $139581.14    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60289 | PA      | $55919.04     | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      619670 | PA      | $564447.69    | 0.06%             | 2036-04-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWTB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      306036 | PA      | $283775.47    | 0.03%             | 2036-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWXG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      119196 | PA      | $110632.54    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      249411 | PA      | $231496.63    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      243308 | PA      | $237560.76    | 0.02%             | 2035-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      183384 | PA      | $173358.53    | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100736 | PA      | $83017.59     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      237559 | PA      | $195647.04    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      262116 | PA      | $216250.13    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45923 | PA      | $38065.78     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49540 | PA      | $44207.14     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98363 | PA      | $95039.75     | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      636955 | PA      | $525501.91    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      455940 | PA      | $376606.15    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      306065 | PA      | $295443.69    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      531166 | PA      | $513559.98    | 0.05%             | 2050-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12427 | PA      | $12154.11     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      166640 | PA      | $155696.72    | 0.02%             | 2050-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27740 | PA      | $26871.88     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      309972 | PA      | $303154.73    | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      170477 | PA      | $162633.28    | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      359345 | PA      | $340499.65    | 0.04%             | 2046-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      460518 | PA      | $431180.22    | 0.04%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13736 | PA      | $13275.09     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      282392 | PA      | $271445.20    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      435218 | PA      | $425874.67    | 0.04%             | 2045-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      213027 | PA      | $206965.04    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      229547 | PA      | $217197.39    | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      291793 | PA      | $267482.20    | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      603208 | PA      | $565233.03    | 0.06%             | 2043-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      281123 | PA      | $259921.74    | 0.03%             | 2044-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       99403 | PA      | $96797.05     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       87016 | PA      | $84195.60     | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      615100 | PA      | $555363.25    | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      393128 | PA      | $378146.99    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      446082 | PA      | $388593.78    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47469 | PA      | $39113.01     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      245174 | PA      | $201455.08    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      816611 | PA      | $673733.14    | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1361050 | PA      | $1172317.79   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      186089 | PA      | $179715.57    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      243559 | PA      | $246786.29    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      585467 | PA      | $589899.25    | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       84471 | PA      | $87047.89     | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98675 | PA      | $95310.51     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      259783 | PA      | $267603.04    | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44054 | PA      | $45115.18     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      180270 | PA      | $187413.49    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      444312 | PA      | $455012.24    | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2499498 | PA      | $2501284.60   | 0.26%             | 2053-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DTP79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44696 | PA      | $36148.44     | 0.00%             | 2052-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DU2R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      282647 | PA      | $292295.93    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      483845 | PA      | $373326.88    | 0.04%             | 2050-10-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1830113 | PA      | $1581086.96   | 0.16%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1998173 | PA      | $1648982.66   | 0.17%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86061 | PA      | $77811.84     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1079377 | PA      | $931590.98    | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135578 | PA      | $112173.05    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      729835 | PA      | $632670.18    | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      400399 | PA      | $331001.16    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      246674 | PA      | $203845.73    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      116616 | PA      | $105130.22    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2001585 | PA      | $1801811.70   | 0.19%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2555606 | PA      | $2201487.18   | 0.23%             | 2052-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6252 | PA      | $5635.31      | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3480464 | PA      | $3116279.09   | 0.32%             | 2052-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3732713 | PA      | $3044294.03   | 0.31%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      776523 | PA      | $632824.49    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4067444 | PA      | $3316633.93   | 0.34%             | 2051-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67485 | PA      | $54806.98     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       93867 | PA      | $76114.86     | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      314268 | PA      | $254735.10    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82095 | PA      | $69771.71     | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      399384 | PA      | $354489.50    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64320 | PA      | $63053.83     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWGF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62738 | PA      | $61464.20     | 0.01%             | 2053-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3178 | PA      | $3151.51      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2104 | PA      | $2083.01      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7340 | PA      | $7397.34      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         293 | PA      | $287.94       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7257 | PA      | $7264.24      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20498 | PA      | $19681.36     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12745 | PA      | $12237.27     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1282 | PA      | $1236.59      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3730 | PA      | $3581.36      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20151 | PA      | $18657.43     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      103171 | PA      | $98526.61     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32372 | PA      | $29964.27     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13340 | PA      | $12347.59     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J8KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30824 | PA      | $28534.76     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9377 | PA      | $8945.85      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6041 | PA      | $6052.07      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132JNEF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19568 | PA      | $18108.23     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132JNVH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4236 | PA      | $4204.90      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6820 | PA      | $6813.80      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4874 | PA      | $4757.00      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8420 | PA      | $8214.43      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KE4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18934 | PA      | $18657.73     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9088 | PA      | $8857.94      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2185 | PA      | $2154.78      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2891 | PA      | $2850.29      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7350 | PA      | $7160.44      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7212 | PA      | $7022.62      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14099 | PA      | $13735.32     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         519 | PA      | $505.42       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1784 | PA      | $1751.40      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27481 | PA      | $25431.11     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132L5FG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96278 | PA      | $89077.20     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132L8EV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151990 | PA      | $139202.38    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6233 | PA      | $5945.01      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132M8NA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      298351 | PA      | $283985.03    | 0.03%             | 2044-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10098 | PA      | $9514.68      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15722 | PA      | $15370.95     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2199 | PA      | $2090.39      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132QTHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15641 | PA      | $15460.97     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3882 | PA      | $3784.89      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3827 | PA      | $3727.91      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30249 | PA      | $27563.64     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15140 | PA      | $13894.43     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15725 | PA      | $14401.94     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7623 | PA      | $7002.68      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      591864 | PA      | $588968.24    | 0.06%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71795 | PA      | $71362.94     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8994 | PA      | $8485.62      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14494 | PA      | $13752.67     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      128471 | PA      | $127842.28    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      380086 | PA      | $379199.53    | 0.04%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18993 | PA      | $18923.85     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      117811 | PA      | $117534.90    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9786 | PA      | $9581.88      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46394 | PA      | $43796.82     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44090 | PA      | $43977.40     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      218551 | PA      | $217900.91    | 0.02%             | 2047-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44146 | PA      | $43971.27     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31943 | PA      | $29586.06     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65003 | PA      | $61935.49     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65336 | PA      | $62252.77     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26653 | PA      | $27135.75     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64449 | PA      | $60348.27     | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85060 | PA      | $73372.63     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30442 | PA      | $27695.86     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63470 | PA      | $52415.39     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133B2ME6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      257177 | PA      | $212373.75    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133B2Y29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      355687 | PA      | $274923.72    | 0.03%             | 2052-01-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15700 | PA      | $15863.11     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123152 | PA      | $120669.57    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69568 | PA      | $70063.24     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23093 | PA      | $23258.41     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      351248 | PA      | $359642.82    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133D1CR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59296 | PA      | $60951.73     | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      191139 | PA      | $148342.74    | 0.02%             | 2050-08-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      464286 | PA      | $419432.99    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      136904 | PA      | $123156.83    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2047184 | PA      | $1772900.15   | 0.18%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156527 | PA      | $140417.51    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      825824 | PA      | $675073.79    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1090515 | PA      | $942111.15    | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      437225 | PA      | $379260.33    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85887 | PA      | $70309.68     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      371027 | PA      | $363647.58    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQ2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72997 | PA      | $75623.03     | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74844 | PA      | $77872.31     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      157156 | PA      | $161765.44    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74813 | PA      | $77782.91     | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      424681 | PA      | $434908.72    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KR5K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      282038 | PA      | $287239.20    | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156938 | PA      | $163694.29    | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      502001 | PA      | $514091.30    | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KRJT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      168989 | PA      | $172036.10    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KRPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      222207 | PA      | $226555.05    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78017 | PA      | $79464.87     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85232 | PA      | $73817.59     | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      328676 | PA      | $285267.86    | 0.03%             | 2042-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89879 | PA      | $77952.41     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      166177 | PA      | $154088.36    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      158886 | PA      | $144626.46    | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      357727 | PA      | $331691.84    | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      345991 | PA      | $321872.40    | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      148142 | PA      | $137814.05    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96484 | PA      | $78828.68     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133W7J30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36436 | PA      | $37625.92     | 0.00%             | 2054-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2023-35, Class FC                               | CUSIP: 3136BQEZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      473182 | PA      | $474508.43    | 0.05%             | 2053-08-25      | Floating      | 4.97%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2023-68, Class FB                               | CUSIP: 3136BQF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      499462 | PA      | $500729.36    | 0.05%             | 2054-01-25      | Floating      | 4.92%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2024-63, Class FH                               | CUSIP: 3136BSQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      360932 | PA      | $361947.03    | 0.04%             | 2054-09-25      | Floating      | 4.97%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association, Series 2024-88, Class FC                                                   | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      286358 | PA      | $288518.70    | 0.03%             | 2054-12-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2024-96, Class FA                               | CUSIP: 3136BTK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      519040 | PA      | $523091.71    | 0.05%             | 2054-12-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2024-95, Class FC                               | CUSIP: 3136BTQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102938 | PA      | $103782.82    | 0.01%             | 2054-12-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-13, Class FB                               | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      407405 | PA      | $409964.24    | 0.04%             | 2055-03-25      | Floating      | 5.17%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-1, Class FX                                | CUSIP: 3136BUE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      357643 | PA      | $360210.64    | 0.04%             | 2055-02-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-2, Class FG                                | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      642197 | PA      | $648057.28    | 0.07%             | 2055-02-25      | Floating      | 5.32%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-18, Class FH                               | CUSIP: 3136BVAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184491 | PA      | $186006.73    | 0.02%             | 2054-08-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-9, Class FG                                | CUSIP: 3136BVEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194045 | PA      | $195405.77    | 0.02%             | 2055-03-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-35, Class FJ                               | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      424027 | PA      | $428716.01    | 0.04%             | 2055-05-25      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-42, Class FA                               | CUSIP: 3136BWKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255416 | PA      | $257904.82    | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-42, Class FE                               | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      465775 | PA      | $470826.85    | 0.05%             | 2055-06-25      | Floating      | 5.42%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2025-63, Class DF                               | CUSIP: 3136BWXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      233277 | PA      | $235426.33    | 0.02%             | 2055-08-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2024-P015, Class A1                             | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50698 | PA      | $50570.14     | 0.01%             | 2032-11-25      | Variable      | 4.45%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5468, Class WF                                       | CUSIP: 3137HHC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      418834 | PA      | $419715.96    | 0.04%             | 2054-11-25      | Floating      | 4.97%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5482, Class FB                                       | CUSIP: 3137HHLV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      412664 | PA      | $416734.91    | 0.04%             | 2054-12-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5479, Class FB                                       | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      214278 | PA      | $215936.37    | 0.02%             | 2054-12-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp., Series 5478, Class FD                                                           | CUSIP: 3137HHSB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      250750 | PA      | $252691.50    | 0.03%             | 2054-02-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp., Series 5500, Class DF                                                           | CUSIP: 3137HJAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      308151 | PA      | $310416.65    | 0.03%             | 2054-10-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5503, Class FB                                       | CUSIP: 3137HJD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      284959 | PA      | $287141.18    | 0.03%             | 2055-02-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5508, Class FE                                       | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      350092 | PA      | $353836.87    | 0.04%             | 2055-02-25      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5508, Class FG                                       | CUSIP: 3137HJGH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      695892 | PA      | $701187.55    | 0.07%             | 2055-02-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5502, Class EF                                       | CUSIP: 3137HJSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      253837 | PA      | $255968.71    | 0.03%             | 2055-02-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5499, Class FW                                       | CUSIP: 3137HJX51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      710512 | PA      | $715976.69    | 0.07%             | 2055-02-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5516, Class FC                                       | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5175390 | PA      | $5215754.74   | 0.54%             | 2055-03-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5513, Class FD                                       | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2154967 | PA      | $2170646.98   | 0.22%             | 2055-01-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5515, Class FB                                       | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      262948 | PA      | $265182.45    | 0.03%             | 2055-03-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5539, Class FC                                       | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      352679 | PA      | $356154.21    | 0.04%             | 2055-05-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5543, Class FC                                       | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      270174 | PA      | $272806.90    | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5543, Class FG                                       | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      272641 | PA      | $275328.09    | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Class FH                                                    | CUSIP: 3137HLLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      344654 | PA      | $348134.05    | 0.04%             | 2055-06-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5543, Class FM                                       | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      360979 | PA      | $364535.84    | 0.04%             | 2055-06-25      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5563, Class FA                                       | CUSIP: 3137HMKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      606567 | PA      | $611434.92    | 0.06%             | 2055-08-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5570, Class FA                                       | CUSIP: 3137HMM23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      387995 | PA      | $391331.53    | 0.04%             | 2055-05-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5574, Class FB                                       | CUSIP: 3137HMZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      283572 | PA      | $285818.04    | 0.03%             | 2055-09-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6511 | PA      | $6696.02      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9535 | PA      | $9595.01      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5148 | PA      | $5177.08      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2725 | PA      | $2608.71      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1410 | PA      | $1350.90      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2672 | PA      | $2745.63      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39193 | PA      | $41687.83     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         111 | PA      | $110.77       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8925 | PA      | $9001.79      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261582 | PA      | $263481.88    | 0.03%             | 2041-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21800 | PA      | $23056.97     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7047 | PA      | $7453.80      | 0.00%             | 2041-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2007 | PA      | $2091.20      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ENZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32761 | PA      | $32283.73     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5335 | PA      | $5245.20      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association                                                                             | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5373 | PA      | $5244.95      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7631 | PA      | $7516.87      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6241 | PA      | $6146.48      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3230 | PA      | $3181.40      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9451 | PA      | $9291.37      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6867 | PA      | $6752.23      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63181 | PA      | $64128.19     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49218 | PA      | $50612.39     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1012 | PA      | $986.45       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89950 | PA      | $92498.42     | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22566 | PA      | $22581.52     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15530 | PA      | $14250.24     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2753 | PA      | $2603.51      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65540 | PA      | $64326.47     | 0.01%             | 2031-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13036 | PA      | $12809.52     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103299 | PA      | $103193.86    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15270 | PA      | $15280.43     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ETBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13434 | PA      | $13201.48     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7477 | PA      | $7161.86      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6423 | PA      | $6278.65      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         999 | PA      | $957.64       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31286 | PA      | $30597.55     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         997 | PA      | $952.16       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3618 | PA      | $3451.07      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6496 | PA      | $6539.94      | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2529 | PA      | $2499.68      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19632 | PA      | $18137.96     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11592 | PA      | $10701.77     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15582 | PA      | $14394.99     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16480 | PA      | $15233.06     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9772 | PA      | $9618.96      | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WB6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12802 | PA      | $12633.94     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8175 | PA      | $8107.77      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9042 | PA      | $8909.72      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6177 | PA      | $6093.55      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1204 | PA      | $1175.35      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1657 | PA      | $1616.20      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WEAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60599 | PA      | $59669.18     | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12422 | PA      | $12112.15     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         829 | PA      | $825.51       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9609 | PA      | $9360.52      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1638 | PA      | $1594.67      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72690 | PA      | $72567.95     | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3912 | PA      | $3809.23      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7637 | PA      | $7435.87      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5480 | PA      | $5389.98      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7203 | PA      | $7083.30      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4620 | PA      | $4498.07      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5891 | PA      | $5791.12      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5153 | PA      | $5116.45      | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6571 | PA      | $6459.91      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5748 | PA      | $5591.67      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7577 | PA      | $7368.16      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6124 | PA      | $5957.50      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6096 | PA      | $5924.77      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8063 | PA      | $7840.59      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5629 | PA      | $5473.75      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WH3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172651 | PA      | $157940.65    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32173 | PA      | $31180.12     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14532 | PA      | $14089.85     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8257 | PA      | $7533.18      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38091 | PA      | $34952.15     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12723 | PA      | $12337.83     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97568 | PA      | $89527.02     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22179 | PA      | $21484.59     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27952 | PA      | $27092.51     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34225 | PA      | $33143.20     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18271 | PA      | $17690.41     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21103 | PA      | $20444.45     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15547 | PA      | $15073.31     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27910 | PA      | $26729.73     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1764 | PA      | $1688.43      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20921 | PA      | $19920.14     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8240 | PA      | $7837.32      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38971 | PA      | $37679.40     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138928 | PA      | $127090.62    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27594 | PA      | $26326.69     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79412 | PA      | $72644.48     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22498 | PA      | $21723.50     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25038 | PA      | $24203.59     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13978 | PA      | $13490.21     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5754 | PA      | $5318.04      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17335 | PA      | $16019.59     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20274 | PA      | $18727.25     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3494 | PA      | $3453.20      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4082 | PA      | $4033.21      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12028 | PA      | $11881.02     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15504 | PA      | $15323.68     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160164 | PA      | $159578.20    | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      171731 | PA      | $167774.15    | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7904 | PA      | $7909.58      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5649 | PA      | $5576.81      | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XQL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6631 | PA      | $6529.17      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11721 | PA      | $11274.60     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1121 | PA      | $1098.36      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1579 | PA      | $1548.97      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7805 | PA      | $7675.57      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1717 | PA      | $1662.08      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3682 | PA      | $3584.17      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1368 | PA      | $1363.86      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YJGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2700 | PA      | $2692.69      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2490 | PA      | $2418.96      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         975 | PA      | $950.41       | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2452 | PA      | $2411.65      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1408 | PA      | $1444.17      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31402QYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44655 | PA      | $45805.80     | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42520 | PA      | $44134.63     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140A84Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51704 | PA      | $53392.60     | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140ATJ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68877 | PA      | $71127.35     | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1128 | PA      | $1100.65      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         406 | PA      | $397.94       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140E42P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1498 | PA      | $1465.22      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1963 | PA      | $1893.02      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2556 | PA      | $2464.39      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4925 | PA      | $4767.53      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1828 | PA      | $1772.77      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22576 | PA      | $22642.68     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8818 | PA      | $8440.49      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140FCTM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35926 | PA      | $32964.43     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140FG5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3251 | PA      | $2974.30      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25542 | PA      | $24383.90     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17350 | PA      | $17186.08     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association                                                                             | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48508 | PA      | $50187.27     | 0.01%             | 2039-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12678 | PA      | $12255.10     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64291 | PA      | $63855.06     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90093 | PA      | $84683.94     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62227 | PA      | $58455.68     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15237 | PA      | $15079.29     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8987 | PA      | $8887.48      | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92751 | PA      | $87078.83     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      274794 | PA      | $273125.78    | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HFE88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36207 | PA      | $34012.50     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6318 | PA      | $6291.37      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80379 | PA      | $77458.56     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64336 | PA      | $62239.00     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12136 | PA      | $11751.60     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18585 | PA      | $17894.42     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HJF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27300 | PA      | $27344.09     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15354 | PA      | $15566.36     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36371 | PA      | $36424.04     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176423 | PA      | $172282.68    | 0.02%             | 2032-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2938 | PA      | $2845.82      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26821 | PA      | $25572.09     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48592 | PA      | $45976.29     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5480 | PA      | $5401.36      | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50979 | PA      | $49286.20     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      218875 | PA      | $219520.40    | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1729 | PA      | $1675.56      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11866 | PA      | $11628.71     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72959 | PA      | $70664.72     | 0.01%             | 2032-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7LM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65152 | PA      | $60242.95     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30761 | PA      | $29459.02     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51743 | PA      | $49429.64     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82478 | PA      | $81952.17     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20685 | PA      | $20320.39     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18080 | PA      | $17590.64     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3915 | PA      | $3848.09      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7552 | PA      | $7731.70      | 0.00%             | 2045-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119905 | PA      | $116760.98    | 0.01%             | 2033-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73825 | PA      | $73901.71     | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115474 | PA      | $114773.13    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28090 | PA      | $28550.44     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180593 | PA      | $181152.04    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128301 | PA      | $130228.32    | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85939 | PA      | $85338.39     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      213177 | PA      | $175850.19    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119200 | PA      | $98532.65     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92681 | PA      | $75723.36     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68882 | PA      | $56185.23     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      393562 | PA      | $319992.92    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      211009 | PA      | $173964.86    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140N6TX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14279 | PA      | $14846.38     | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89136 | PA      | $90011.56     | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      324155 | PA      | $330498.37    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NBEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52439 | PA      | $53608.69     | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NBPH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40759 | PA      | $41477.44     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54966 | PA      | $57188.92     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101547 | PA      | $103828.95    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106549 | PA      | $109115.29    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      604388 | PA      | $601195.26    | 0.06%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136025 | PA      | $135101.69    | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42800 | PA      | $41320.92     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24844 | PA      | $24868.57     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      679188 | PA      | $679302.63    | 0.07%             | 2049-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22382 | PA      | $21626.90     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      729552 | PA      | $729675.47    | 0.08%             | 2049-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172754 | PA      | $165710.57    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QCLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      654905 | PA      | $650462.17    | 0.07%             | 2049-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QDS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51192 | PA      | $47469.67     | 0.00%             | 2035-06-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QDSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102950 | PA      | $96018.75     | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      232712 | PA      | $223194.36    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97854 | PA      | $94481.65     | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24425 | PA      | $23369.42     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52113 | PA      | $48370.53     | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      320913 | PA      | $277551.14    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      499651 | PA      | $431442.72    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      478363 | PA      | $412825.10    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      501203 | PA      | $432535.56    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      642231 | PA      | $554399.59    | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      532153 | PA      | $459639.61    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164470 | PA      | $142098.82    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      741104 | PA      | $699989.45    | 0.07%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146991 | PA      | $137285.12    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79191 | PA      | $76728.25     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75486 | PA      | $72986.98     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115135 | PA      | $109913.29    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113354 | PA      | $108004.88    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      366918 | PA      | $318908.97    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259561 | PA      | $246857.84    | 0.03%             | 2035-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      338435 | PA      | $321589.18    | 0.03%             | 2035-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42778 | PA      | $38966.49     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      379078 | PA      | $360527.12    | 0.04%             | 2035-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107601 | PA      | $104038.92    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45174 | PA      | $43679.25     | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89669 | PA      | $77526.44     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32523 | PA      | $31450.91     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58672 | PA      | $56944.44     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51599 | PA      | $50032.53     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QHP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17608 | PA      | $16800.95     | 0.00%             | 2036-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79624 | PA      | $72626.77     | 0.01%             | 2036-03-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92385 | PA      | $85748.09     | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QK2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      515363 | PA      | $448981.82    | 0.05%             | 2041-06-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88631 | PA      | $82180.06     | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      131565 | PA      | $120000.30    | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19419 | PA      | $18820.42     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39506 | PA      | $38194.69     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29603 | PA      | $28690.56     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48968 | PA      | $47546.43     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QL4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113429 | PA      | $109933.21    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70711 | PA      | $68194.31     | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      928868 | PA      | $752637.53    | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1074658 | PA      | $873436.91    | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56030 | PA      | $54287.06     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56907 | PA      | $55011.78     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101044 | PA      | $97522.66     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40715 | PA      | $39132.27     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90867 | PA      | $87102.07     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91295 | PA      | $87176.67     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99559 | PA      | $95108.99     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84280 | PA      | $81763.89     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1211921 | PA      | $1044348.69   | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      440976 | PA      | $381770.58    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      539233 | PA      | $467259.32    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      812128 | PA      | $701040.37    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      247425 | PA      | $214478.51    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13621 | PA      | $12154.89     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      117936 | PA      | $100434.12    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      511832 | PA      | $422063.30    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      538798 | PA      | $438411.03    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165446 | PA      | $136757.88    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      525243 | PA      | $472543.40    | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      223856 | PA      | $201433.88    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1727091 | PA      | $1490848.40   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      387686 | PA      | $333229.77    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134388 | PA      | $116434.13    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      478820 | PA      | $413433.07    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      571401 | PA      | $492841.32    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      178614 | PA      | $147490.48    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      918981 | PA      | $756875.36    | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86807 | PA      | $75536.83     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76682 | PA      | $71073.31     | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148559 | PA      | $137601.85    | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      877349 | PA      | $788492.28    | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      339540 | PA      | $279614.38    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      618489 | PA      | $508130.48    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQ3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      330700 | PA      | $342599.76    | 0.04%             | 2052-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQ4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30037 | PA      | $31303.38     | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQLA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      280013 | PA      | $274616.83    | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      279519 | PA      | $289575.53    | 0.03%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204664 | PA      | $212027.23    | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54644 | PA      | $56951.85     | 0.01%             | 2052-11-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQYZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54349 | PA      | $55391.72     | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215328 | PA      | $220625.18    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      561345 | PA      | $563076.87    | 0.06%             | 2053-01-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125523 | PA      | $130766.15    | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      673854 | PA      | $698100.84    | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42950 | PA      | $42091.66     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      622157 | PA      | $628270.46    | 0.06%             | 2053-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259514 | PA      | $270009.96    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      418315 | PA      | $435233.32    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      545103 | PA      | $558230.74    | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      171281 | PA      | $174777.94    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSBJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337010 | PA      | $352027.31    | 0.04%             | 2053-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75046 | PA      | $77315.65     | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      336139 | PA      | $344234.31    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSP47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      305073 | PA      | $311607.21    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      513757 | PA      | $534535.54    | 0.06%             | 2053-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QST27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600636 | PA      | $613252.69    | 0.06%             | 2053-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1108693 | PA      | $1142155.57   | 0.12%             | 2053-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      489507 | PA      | $510797.53    | 0.05%             | 2053-08-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180329 | PA      | $183775.15    | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1343787 | PA      | $1397985.63   | 0.14%             | 2054-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QUBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      753684 | PA      | $777938.27    | 0.08%             | 2054-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      794452 | PA      | $826725.12    | 0.09%             | 2054-06-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140W1AC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      145211 | PA      | $123185.35    | 0.01%             | 2053-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140W3CJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2595112 | PA      | $2141007.01   | 0.22%             | 2052-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3040 | PA      | $2857.72      | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      406810 | PA      | $390679.64    | 0.04%             | 2049-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      437333 | PA      | $394055.46    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60745 | PA      | $57540.57     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77899 | PA      | $74515.86     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12683 | PA      | $12061.43     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      203571 | PA      | $196824.46    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97391 | PA      | $80530.41     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67131 | PA      | $63179.84     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97880 | PA      | $85071.33     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      328341 | PA      | $270928.54    | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17865 | PA      | $17097.76     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12142 | PA      | $11625.48     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71165 | PA      | $68101.95     | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88552 | PA      | $82191.48     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245821 | PA      | $203141.43    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284538 | PA      | $274228.03    | 0.03%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164511 | PA      | $158566.01    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      459883 | PA      | $418898.87    | 0.04%             | 2036-06-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XBKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121504 | PA      | $112663.92    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1362324 | PA      | $1270062.99   | 0.13%             | 2051-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138615 | PA      | $128656.65    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      658066 | PA      | $541249.73    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125295 | PA      | $115981.92    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133615 | PA      | $123804.18    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64755 | PA      | $60139.81     | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170426 | PA      | $140492.48    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      214249 | PA      | $185983.14    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      253900 | PA      | $230371.12    | 0.02%             | 2036-12-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61924 | PA      | $57511.15     | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      422667 | PA      | $363005.13    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      556022 | PA      | $479965.17    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      682516 | PA      | $587314.39    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      382043 | PA      | $313864.90    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      369844 | PA      | $304109.19    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3773911 | PA      | $3183656.45   | 0.33%             | 2041-11-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      628978 | PA      | $544800.05    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      447274 | PA      | $369996.07    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67644 | PA      | $56336.29     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67826 | PA      | $56116.92     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27481 | PA      | $25471.19     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62981 | PA      | $58375.66     | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127051 | PA      | $122091.69    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      342568 | PA      | $317956.33    | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      248788 | PA      | $230452.39    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      435880 | PA      | $354090.75    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97818 | PA      | $79227.80     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79245 | PA      | $71378.10     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      126722 | PA      | $113366.89    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5477157 | PA      | $4675485.05   | 0.48%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      333955 | PA      | $270744.42    | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      406837 | PA      | $313901.09    | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140243 | PA      | $142271.37    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175379 | PA      | $178019.91    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207639 | PA      | $209210.95    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65295 | PA      | $59066.10     | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133734 | PA      | $121976.17    | 0.01%             | 2037-02-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85245 | PA      | $88459.23     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      193744 | PA      | $179577.14    | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      845713 | PA      | $816747.34    | 0.08%             | 2052-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1273940 | PA      | $1108072.21   | 0.11%             | 2042-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      357179 | PA      | $367913.39    | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XLE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      371549 | PA      | $378134.31    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      416540 | PA      | $426571.63    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128652 | PA      | $133855.36    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XPHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      323922 | PA      | $330711.37    | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XPQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      776085 | PA      | $689418.32    | 0.07%             | 2052-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      263488 | PA      | $261832.36    | 0.03%             | 2053-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XRM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      242050 | PA      | $215994.29    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162951 | PA      | $133023.74    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XTDK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      717938 | PA      | $612180.80    | 0.06%             | 2051-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Y66J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216474 | PA      | $222960.83    | 0.02%             | 2055-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4818 | PA      | $5095.69      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63807 | PA      | $65448.07     | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1993 | PA      | $2101.82      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2350 | PA      | $2485.49      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4974 | PA      | $5261.17      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1927 | PA      | $2037.82      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4437 | PA      | $4496.82      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3297 | PA      | $3486.64      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25444 | PA      | $26510.04     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21089 | PA      | $21671.26     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15614 | PA      | $16273.16     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28212 | PA      | $28027.21     | 0.00%             | 2036-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1751 | PA      | $1765.28      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1268 | PA      | $1275.33      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60338 | PA      | $59011.13     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3634 | PA      | $3590.29      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2714 | PA      | $2674.88      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21104 | PA      | $19495.74     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21337 | PA      | $19708.86     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1556 | PA      | $1534.72      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75653 | PA      | $69663.00     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45901 | PA      | $42413.72     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30057 | PA      | $27782.94     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35364 | PA      | $32695.63     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20117 | PA      | $20960.28     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14337 | PA      | $14220.73     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5337 | PA      | $5114.53      | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7865 | PA      | $7528.22      | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139381 | PA      | $135271.88    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10316 | PA      | $9973.16      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49444 | PA      | $47794.40     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199333 | PA      | $186673.05    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198065 | PA      | $185771.85    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121499 | PA      | $114203.89    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61553 | PA      | $59489.49     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18336 | PA      | $17719.88     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4047 | PA      | $3794.94      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15259 | PA      | $14744.70     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15069 | PA      | $14560.61     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98515 | PA      | $94794.99     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12555 | PA      | $12756.98     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27757 | PA      | $22577.28     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2638505 | PA      | $2142004.27   | 0.22%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97925 | PA      | $83539.77     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91865 | PA      | $81700.84     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121762 | PA      | $98811.13     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      354116 | PA      | $315447.01    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255938 | PA      | $209216.08    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      502097 | PA      | $387415.44    | 0.04%             | 2050-10-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      450664 | PA      | $367924.49    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      438001 | PA      | $337956.93    | 0.03%             | 2050-11-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2981074 | PA      | $2432522.62   | 0.25%             | 2051-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      592259 | PA      | $458444.62    | 0.05%             | 2051-03-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1936903 | PA      | $1633314.92   | 0.17%             | 2041-12-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      312162 | PA      | $271325.40    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135986 | PA      | $110246.86    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30960 | PA      | $26244.72     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      137428 | PA      | $119363.40    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1325188 | PA      | $1150167.73   | 0.12%             | 2042-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      484241 | PA      | $411696.87    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210457 | PA      | $182662.59    | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101352 | PA      | $86168.09     | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67905 | PA      | $66568.01     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88975 | PA      | $89102.96     | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1128876 | PA      | $1106190.01   | 0.11%             | 2053-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4115 | PA      | $4032.22      | 0.00%             | 2053-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20100 | PA      | $19691.81     | 0.00%             | 2053-03-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4101761 | PA      | $4173089.41   | 0.43%             | 2053-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1470 | PA      | $1554.45      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21154 | PA      | $21696.93     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418RQM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21079 | PA      | $21676.47     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418V3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6364 | PA      | $6410.97      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1847 | PA      | $1952.82      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31427MKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      259952 | PA      | $268823.07    | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31427N2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       87921 | PA      | $71731.69     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31427QMU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      498521 | PA      | $454231.64    | 0.05%             | 2050-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31427QMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1092756 | PA      | $1100796.99   | 0.11%             | 2053-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31427QMX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1462821 | PA      | $1493481.38   | 0.15%             | 2055-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31427QMY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      894994 | PA      | $931181.84    | 0.10%             | 2053-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GQKK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75992 | PA      | $77213.82     | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GR4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      246632 | PA      | $254520.91    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GR6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      502321 | PA      | $518993.10    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GRLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      199075 | PA      | $205480.52    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GRMY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      277889 | PA      | $286610.27    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GRVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      470926 | PA      | $486310.96    | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GUKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      256644 | PA      | $265157.94    | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GUTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      547927 | PA      | $566103.43    | 0.06%             | 2055-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GVCX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      903714 | PA      | $929742.87    | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fertitta Entertainment LLC                                                       | Fertitta Entertainment LLC                                                                                        | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $95077.49     | 0.01%             | 2030-01-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Consolidated Communications LLC                                                  | Consolidated Communications LLC, Series 2025-4A, Class B                                                          | CUSIP: 315961AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      970000 | PA      | $975604.56    | 0.10%             | 2055-12-20      | Fixed         | 5.77%                 | No            | 2                  | On Loan: No      |
| FIGRE Trust                                                                      | FIGRE Trust, Series 2024-SL1, Class A1                                                                            | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      168688 | PA      | $171482.13    | 0.02%             | 2053-07-25      | Variable      | 5.75%                 | No            | 2                  | On Loan: No      |
| FIGRE Trust                                                                      | FIGRE Trust, Series 2025-HE7, Class A                                                                             | CUSIP: 31684RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      156658 | PA      | $157074.00    | 0.02%             | 2055-11-25      | Variable      | 5.15%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2006-FF16, Class 2A3                                                   | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      484021 | PA      | $195128.41    | 0.02%             | 2036-12-25      | Floating      | 4.13%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2004-FFH3, Class M3                                                    | CUSIP: 32027NLT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       32547 | PA      | $30159.46     | 0.00%             | 2034-10-25      | Floating      | 4.90%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2                                                    | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       98517 | PA      | $90572.59     | 0.01%             | 2036-01-25      | Floating      | 4.45%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A5                                                    | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      246015 | PA      | $215526.01    | 0.02%             | 2036-12-25      | Floating      | 4.00%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                                     | FirstEnergy Transmission LLC                                                                                      | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      340000 | PA      | $328145.22    | 0.03%             | 2044-07-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                                     | FirstEnergy Transmission LLC                                                                                      | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      451000 | PA      | $383091.91    | 0.04%             | 2049-04-01      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                                     | FirstEnergy Transmission LLC                                                                                      | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      896000 | PA      | $897776.86    | 0.09%             | 2035-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                                     | FirstEnergy Transmission LLC                                                                                      | CUSIP: 33767BAJ8<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      750000 | PA      | $749760.53    | 0.08%             | 2033-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp., Series B                                                                                       | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1107000 | PA      | $1102583.45   | 0.11%             | 2027-07-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp., Series C                                                                                       | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      578000 | PA      | $508834.60    | 0.05%             | 2047-07-15      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp.                                                                                                 | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      469000 | PA      | $437286.43    | 0.05%             | 2030-03-01      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp., Series C                                                                                       | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1425000 | PA      | $982853.38    | 0.10%             | 2050-03-01      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Five Point Operating Co. LP                                                      | Five Point Operating Co. LP                                                                                       | CUSIP: 33834YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       15000 | PA      | $15671.70     | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                        | Florida Power & Light Co.                                                                                         | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      178000 | PA      | $121903.64    | 0.01%             | 2049-10-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                        | Florida Power & Light Co.                                                                                         | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      277000 | PA      | $176553.02    | 0.02%             | 2051-12-04      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Flourishing Trade & Investment Ltd.                                              | Flourishing Trade & Investment Ltd.                                                                               | CUSIP: 343427AA8<br>LEI: 894500SZ5TN63ZJ0Y632 | Long             | DBT              | CORP              | MU        |      736094 | PA      | $761857.29    | 0.08%             | 2028-04-02      | Fixed         | 11.04%                | No            | 3                  | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                         | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                                               | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      524868 | PA      | $526016.04    | 0.05%             | 2039-12-15      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                         | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class G                                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155000 | PA      | $156682.43    | 0.02%             | 2039-12-15      | Floating      | 9.40%                 | No            | 2                  | On Loan: No      |
| Ford Motor Credit Co. LLC                                                        | Ford Motor Credit Co. LLC                                                                                         | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      300000 | PA      | $298440.26    | 0.03%             | 2027-01-09      | Fixed         | 4.27%                 | No            | 2                  | On Loan: No      |
| Ford Motor Credit Co. LLC                                                        | Ford Motor Credit Co. LLC                                                                                         | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      335000 | PA      | $314815.77    | 0.03%             | 2029-02-10      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Ford Motor Credit Co. LLC                                                        | Ford Motor Credit Co. LLC                                                                                         | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $201741.49    | 0.02%             | 2026-06-10      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| Ford Motor Credit Co. LLC                                                        | Ford Motor Credit Co. LLC                                                                                         | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      459000 | PA      | $481546.00    | 0.05%             | 2028-11-07      | Fixed         | 6.80%                 | No            | 2                  | On Loan: No      |
| Ford Motor Credit Co. LLC                                                        | Ford Motor Credit Co. LLC                                                                                         | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $205303.13    | 0.02%             | 2029-11-07      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Ford Motor Credit Co. LLC                                                        | Ford Motor Credit Co. LLC                                                                                         | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      368000 | PA      | $376536.62    | 0.04%             | 2028-03-20      | Fixed         | 5.92%                 | No            | 2                  | On Loan: No      |
| Forestar Group, Inc.                                                             | Forestar Group, Inc.                                                                                              | CUSIP: 346232AE1<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |       89000 | PA      | $88915.39     | 0.01%             | 2028-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FTAI Aviation Investors LLC                                                      | FTAI Aviation Investors LLC                                                                                       | CUSIP: 34960PAF8<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105308.80    | 0.01%             | 2031-05-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Foundation Finance Trust                                                         | Foundation Finance Trust, Series 2025-1A, Class A                                                                 | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      194457 | PA      | $196787.75    | 0.02%             | 2050-04-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Foundry JV Holdco LLC                                                            | Foundry JV Holdco LLC                                                                                             | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      873000 | PA      | $913461.07    | 0.09%             | 2033-01-25      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Foundry JV Holdco LLC                                                            | Foundry JV Holdco LLC                                                                                             | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      272000 | PA      | $284358.78    | 0.03%             | 2036-01-25      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| Foundry JV Holdco LLC                                                            | Foundry JV Holdco LLC                                                                                             | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $210160.30    | 0.02%             | 2037-01-25      | Fixed         | 6.20%                 | No            | 2                  | On Loan: No      |
| Foundry JV Holdco LLC                                                            | Foundry JV Holdco LLC                                                                                             | CUSIP: 350930AK9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      210000 | PA      | $221537.11    | 0.02%             | 2039-01-25      | Fixed         | 6.30%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B                      | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109929 | PA      | $17350.30     | 0.00%             | 2056-07-25      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust Variable Rate Notes, Series 2018-1, Class BX | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18489 | PA      | $7790.02      | 0.00%             | 2057-05-25      | Variable      | 3.46%                 | No            | 2                  | On Loan: No      |
| Fremont Home Loan Trust                                                          | Fremont Home Loan Trust, Series 2006-3, Class 1A1                                                                 | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       57241 | PA      | $42869.38     | 0.00%             | 2037-02-25      | Floating      | 4.13%                 | No            | 2                  | On Loan: No      |
| Frontier Communications Holdings LLC                                             | Frontier Communications Holdings LLC                                                                              | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      562000 | PA      | $562966.45    | 0.06%             | 2028-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Frontier Communications Holdings LLC                                             | Frontier Communications Holdings LLC                                                                              | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      358300 | PA      | $362644.96    | 0.04%             | 2029-11-01      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Frontier Communications Holdings LLC                                             | Frontier Communications Holdings LLC                                                                              | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      219000 | PA      | $230428.08    | 0.02%             | 2031-03-15      | Fixed         | 8.62%                 | No            | 2                  | On Loan: No      |
| GEO Group, Inc. (The)                                                            | GEO Group, Inc. (The)                                                                                             | CUSIP: 36162JAG1<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105180.30    | 0.01%             | 2029-04-15      | Fixed         | 8.62%                 | No            | 2                  | On Loan: No      |
| GGAM Finance Ltd.                                                                | GGAM Finance Ltd.                                                                                                 | CUSIP: 36170JAA4<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      100000 | PA      | $105896.90    | 0.01%             | 2028-06-15      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9048 | PA      | $8779.48      | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19880 | PA      | $18627.15     | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27602 | PA      | $26830.65     | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11255 | PA      | $11538.77     | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      173352 | PA      | $162719.18    | 0.02%             | 2044-02-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       45873 | PA      | $43283.52     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23380 | PA      | $22060.28     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2894 | PA      | $2968.38      | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      626491 | PA      | $583672.82    | 0.06%             | 2046-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      788193 | PA      | $734321.50    | 0.08%             | 2046-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33565 | PA      | $31285.88     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      130015 | PA      | $121188.18    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41422 | PA      | $39930.00     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      134216 | PA      | $124170.97    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      420909 | PA      | $391878.11    | 0.04%             | 2046-09-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      143451 | PA      | $133497.40    | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      181818 | PA      | $175297.44    | 0.02%             | 2047-03-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179T4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100214 | PA      | $92660.98     | 0.01%             | 2048-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21107 | PA      | $19578.95     | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59526 | PA      | $55501.33     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       90322 | PA      | $87053.01     | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      130555 | PA      | $121264.03    | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      104021 | PA      | $100161.54    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79659 | PA      | $74227.98     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51697 | PA      | $49769.76     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      134496 | PA      | $124779.34    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      185004 | PA      | $183257.77    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31829 | PA      | $31651.10     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      109340 | PA      | $108003.39    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3381 | PA      | $3341.17      | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2174677 | PA      | $1801684.29   | 0.19%             | 2051-01-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      885077 | PA      | $799223.06    | 0.08%             | 2051-01-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      161897 | PA      | $134122.50    | 0.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1377203 | PA      | $1141429.07   | 0.12%             | 2050-08-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      184373 | PA      | $152756.04    | 0.02%             | 2050-11-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1347134 | PA      | $1162613.29   | 0.12%             | 2052-05-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1265475 | PA      | $1165592.41   | 0.12%             | 2052-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      953529 | PA      | $822920.50    | 0.08%             | 2052-06-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1315681 | PA      | $1135541.16   | 0.12%             | 2051-04-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      807075 | PA      | $726123.99    | 0.07%             | 2051-06-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1866909 | PA      | $1679656.04   | 0.17%             | 2051-08-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      702427 | PA      | $606216.83    | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      476475 | PA      | $411211.02    | 0.04%             | 2051-12-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      256660 | PA      | $230916.98    | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      134406 | PA      | $121027.75    | 0.01%             | 2052-01-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      691081 | PA      | $596956.21    | 0.06%             | 2052-07-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      517509 | PA      | $475864.73    | 0.05%             | 2052-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      115072 | PA      | $106274.04    | 0.01%             | 2052-09-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20930 | PA      | $19240.41     | 0.00%             | 2052-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3013112 | PA      | $3018020.65   | 0.31%             | 2052-11-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      105980 | PA      | $91562.36     | 0.01%             | 2052-12-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1445253 | PA      | $1376605.47   | 0.14%             | 2052-12-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      340800 | PA      | $294420.75    | 0.03%             | 2053-01-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10753 | PA      | $10685.53     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33453 | PA      | $32985.45     | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19073 | PA      | $17799.35     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12662 | PA      | $11816.26     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15246 | PA      | $14261.24     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      331000 | PA      | $339619.90    | 0.04%             | 2028-06-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AP4<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      670000 | PA      | $651348.21    | 0.07%             | 2030-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AR0<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      794000 | PA      | $718378.57    | 0.07%             | 2032-01-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AV1<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      570000 | PA      | $572064.54    | 0.06%             | 2033-02-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2904 | PA      | $2757.36      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9333 | PA      | $8614.34      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12831 | PA      | $11827.51     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9885 | PA      | $9099.82      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25456 | PA      | $23401.27     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15508 | PA      | $14246.96     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14120 | PA      | $13966.70     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16035 | PA      | $15860.22     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11323 | PA      | $11217.68     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1192 | PA      | $1163.59      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2425 | PA      | $2369.52      | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5739 | PA      | $5926.48      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         895 | PA      | $901.90       | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1105 | PA      | $1112.74      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         895 | PA      | $901.35       | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          68 | PA      | $68.44        | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1035 | PA      | $1042.36      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1138 | PA      | $1107.18      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18784 | PA      | $18274.74     | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1905 | PA      | $1918.94      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16232 | PA      | $15790.71     | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93406 | PA      | $91321.25     | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14500 | PA      | $14105.12     | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3612 | PA      | $3715.13      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13424 | PA      | $12556.79     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40517 | PA      | $37346.72     | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       99155 | PA      | $98736.97     | 0.01%             | 2042-02-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GSAA Home Equity Trust                                                           | GSAA Home Equity Trust, Series 2007-2, Class AF3                                                                  | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       23812 | PA      | $4140.57      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            | 2                  | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4                                                                | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         645 | PA      | $1498.68      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                        | GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1AF1                                                            | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22562 | PA      | $18223.60     | 0.00%             | 2036-01-25      | Floating      | 4.20%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5532 | PA      | $5684.93      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10663 | PA      | $10965.64     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust, Series 2007-HS1, Class M6                                                                            | CUSIP: 362429AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       40000 | PA      | $39422.40     | 0.00%             | 2037-02-25      | Floating      | 7.22%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                        | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                             | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27438 | PA      | $25607.95     | 0.00%             | 2035-03-25      | Floating      | 4.20%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                        | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF                                                             | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23991 | PA      | $20871.26     | 0.00%             | 2035-01-25      | Floating      | 4.20%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust, Series 2006-HE4, Class M1                                                                            | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200000 | PA      | $175481.20    | 0.02%             | 2036-06-25      | Floating      | 4.30%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust, Series 2007-H1, Class A1B                                                                            | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       17778 | PA      | $8772.20      | 0.00%             | 2047-01-25      | Floating      | 4.25%                 | No            | 2                  | On Loan: No      |
| GT Loan Financing I Ltd.                                                         | GT Loan Financing I Ltd., Series 2013-1A, Class AR2                                                               | CUSIP: 36248MAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      760000 | PA      | $760566.66    | 0.08%             | 2039-04-28      | Floating      | 5.08%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                               | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class E                                                     | CUSIP: 36270GAJ0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |       64000 | PA      | $64253.63     | 0.01%             | 2038-09-10      | Variable      | 7.43%                 | No            | 2                  | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Trust, Series 2025-NQM5, Class A1                                                   | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |      360883 | PA      | $361232.94    | 0.04%             | 2065-07-25      | Variable      | 5.01%                 | No            | 2                  | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Trust, Series 2025-DSC2, Class A1                                                   | CUSIP: 36275JAC4<br>LEI: 254900Y4XCLF0D6VBG48 | Long             | ABS-MBS          | CORP              | US        |      296934 | PA      | $297481.83    | 0.03%             | 2066-01-25      | Variable      | 5.04%                 | No            | 2                  | On Loan: No      |
| Gaea Mortgage Loan Trust                                                         | Gaea Mortgage Loan Trust, Series 2025-A, Class A                                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69209 | PA      | $67772.47     | 0.01%             | 2030-02-25      | Variable      | 6.75%                 | No            | 2                  | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                                        | GS Mortgage-Backed Securities Corp. Trust, Series 2025-NQM6, Class A1                                             | CUSIP: 362933AA1<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $299788.35    | 0.03%             | 2029-11-25      | Variable      | 0.05%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36297FRM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4067 | PA      | $4065.23      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Galaxy XXII CLO Ltd.                                                             | Galaxy XXII CLO Ltd., Series 2016-22A, Class ARRR                                                                 | CUSIP: 36320TBD4<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |      820000 | PA      | $820189.67    | 0.08%             | 2034-04-16      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| Garda World Security Corp.                                                       | Garda World Security Corp.                                                                                        | CUSIP: 36485MAN9<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $101632.40    | 0.01%             | 2032-08-01      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Gartner, Inc.                                                                    | Gartner, Inc.                                                                                                     | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     1535000 | PA      | $1530035.50   | 0.16%             | 2028-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Gartner, Inc.                                                                    | Gartner, Inc.                                                                                                     | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1356072.96   | 0.14%             | 2030-10-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Gartner, Inc.                                                                    | Gartner, Inc.                                                                                                     | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      108000 | PA      | $104100.56    | 0.01%             | 2029-06-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| GCAT Trust                                                                       | GCAT Trust, Series 2025-NQM4, Class A1                                                                            | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      431493 | PA      | $435362.01    | 0.04%             | 2070-06-25      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                               | General Motors Financial Co., Inc.                                                                                | CUSIP: 37045XEV4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      101000 | PA      | $105704.23    | 0.01%             | 2034-04-04      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                               | General Motors Financial Co., Inc.                                                                                | CUSIP: 37045XFC5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       89000 | PA      | $92657.55     | 0.01%             | 2035-01-07      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                               | General Motors Financial Co., Inc.                                                                                | CUSIP: 37045XFK7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      150000 | PA      | $158068.47    | 0.02%             | 2035-07-15      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Kennedy Lewis CLO 13 Ltd.                                                        | Kennedy Lewis CLO 13 Ltd., Series 2023-13A, Class A1                                                              | CUSIP: 370918AA2<br>LEI: 549300OHYOREA2V0F579 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250100.33    | 0.03%             | 2037-01-20      | Floating      | 5.67%                 | No            | 2                  | On Loan: No      |
| Kennedy Lewis CLO 19 Ltd.                                                        | Kennedy Lewis CLO 19 Ltd., Series 2025-19A, Class A                                                               | CUSIP: 37150JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250280.75    | 0.03%             | 2036-04-22      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| Genesis Energy LP                                                                | Genesis Energy LP                                                                                                 | CUSIP: 37185LAR3<br>LEI: 549300VJ5D6MDK138782 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103810.20    | 0.01%             | 2033-05-15      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Georgia Power Co.                                                                | Georgia Power Co., Series A                                                                                       | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      134000 | PA      | $91319.29     | 0.01%             | 2051-03-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Georgia Power Co.                                                                | Georgia Power Co.                                                                                                 | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      359000 | PA      | $366021.94    | 0.04%             | 2033-05-17      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Georgia Power Co.                                                                | Georgia Power Co.                                                                                                 | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      247000 | PA      | $253420.45    | 0.03%             | 2031-03-15      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| Republic of Ghana                                                                | Republic of Ghana                                                                                                 | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |       46000 | PA      | $41985.54     | 0.00%             | 2035-07-03      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                             | Glencore Funding LLC                                                                                              | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       51000 | PA      | $46730.52     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                             | Glencore Funding LLC                                                                                              | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      287000 | PA      | $264735.11    | 0.03%             | 2031-04-27      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                             | Glencore Funding LLC                                                                                              | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      382000 | PA      | $411104.03    | 0.04%             | 2030-10-06      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                             | Glencore Funding LLC                                                                                              | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       64000 | PA      | $65770.73     | 0.01%             | 2030-04-01      | Fixed         | 5.19%                 | No            | 2                  | On Loan: No      |
| GoldenTree Loan Management US CLO 16 Ltd.                                        | GoldenTree Loan Management US CLO 16 Ltd., Series 2022-16A, Class ARR                                             | CUSIP: 38090AAQ1<br>LEI: 549300KYU0TCMXRAI217 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $249775.70    | 0.03%             | 2038-01-20      | Floating      | 5.00%                 | No            | 2                  | On Loan: No      |
| GoldenTree Loan Management US CLO 23 Ltd.                                        | GoldenTree Loan Management US CLO 23 Ltd., Series 2024-23A, Class A                                               | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |      820000 | PA      | $821755.37    | 0.08%             | 2039-01-20      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| GoldenTree Loan Management US CLO 23 Ltd.                                        | GoldenTree Loan Management US CLO 23 Ltd., Series 2024-23A, Class B                                               | CUSIP: 38139KAG4<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |     1310000 | PA      | $1314067.29   | 0.14%             | 2039-01-20      | Floating      | 5.48%                 | No            | 2                  | On Loan: No      |
| GoldenTree Loan Management US CLO 25 Ltd.                                        | GoldenTree Loan Management US CLO 25 Ltd., Series 2025-25A, Class A                                               | CUSIP: 38139XAC5<br>LEI: 254900NWYEI4MM854T50 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250847.18    | 0.03%             | 2037-04-20      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      407000 | PA      | $431617.93    | 0.04%             | 2029-10-24      | Variable      | 6.48%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      256000 | PA      | $267448.81    | 0.03%             | 2030-04-25      | Variable      | 5.73%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      305000 | PA      | $312507.18    | 0.03%             | 2030-07-23      | Variable      | 5.05%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      749000 | PA      | $773451.77    | 0.08%             | 2031-01-28      | Variable      | 5.21%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2265000 | PA      | $2290870.44   | 0.24%             | 2028-04-23      | Variable      | 4.94%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      591000 | PA      | $610412.83    | 0.06%             | 2031-04-23      | Variable      | 5.22%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      343000 | PA      | $342182.50    | 0.04%             | 2031-10-21      | Variable      | 4.37%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      623000 | PA      | $624296.19    | 0.06%             | 2029-05-01      | Variable      | 4.22%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      268000 | PA      | $263767.21    | 0.03%             | 2030-03-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      469000 | PA      | $416645.64    | 0.04%             | 2032-01-27      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       48000 | PA      | $47188.20     | 0.00%             | 2027-10-21      | Variable      | 1.95%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      599000 | PA      | $551814.12    | 0.06%             | 2033-02-24      | Variable      | 3.10%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1230000 | PA      | $1238630.04   | 0.13%             | 2028-08-23      | Variable      | 4.48%                 | No            | 2                  | On Loan: No      |
| Golub Capital Partners 48 LP                                                     | Golub Capital Partners 48 LP, Series 2020-48A, Class A1R                                                          | CUSIP: 38177DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250823.83    | 0.03%             | 2038-04-17      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| Golub Capital Partners CLO 44M Ltd.                                              | Golub Capital Partners CLO 44M Ltd., Series 2019-44A, Class A1R                                                   | CUSIP: 38180NAA9<br>LEI: 254900KERZS5XFEN4I27 | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $730028.11    | 0.08%             | 2038-10-21      | Floating      | 5.44%                 | No            | 2                  | On Loan: No      |
| Golub Capital Partners CLO 17 Ltd.                                               | Golub Capital Partners CLO 17 Ltd., Series 2013-17A, Class A1RR                                                   | CUSIP: 38180VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $750648.60    | 0.08%             | 2039-02-09      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| Golub Capital Private Credit Fund CLO 2                                          | Golub Capital Private Credit Fund CLO 2, Series 2025-1A, Class A1                                                 | CUSIP: 38181WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500052.55    | 0.05%             | 2039-10-18      | Floating      | 5.35%                 | No            | 2                  | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      239394 | PA      | $242474.74    | 0.03%             | 2046-10-20      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                                                | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      487754 | PA      | $494596.09    | 0.05%             | 2049-02-20      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class B                                                | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       91938 | PA      | $93252.41     | 0.01%             | 2049-02-20      | Fixed         | 6.27%                 | No            | 2                  | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                                                | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      735982 | PA      | $737712.90    | 0.08%             | 2049-10-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                                 | Goodyear Tire & Rubber Co. (The)                                                                                  | CUSIP: 382550BK6<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94719.81     | 0.01%             | 2033-04-30      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2025-88, Class AT                                                | CUSIP: 38381MRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      219582 | PA      | $220643.40    | 0.02%             | 2058-06-16      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2025-130, Class AL                                               | CUSIP: 38381MXF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      142272 | PA      | $141874.38    | 0.01%             | 2056-08-16      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2025-129, Class AB                                               | CUSIP: 38381MYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      142220 | PA      | $141883.29    | 0.01%             | 2054-09-16      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2025-128, Class AD                                               | CUSIP: 38381MZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      224910 | PA      | $226555.00    | 0.02%             | 2056-10-16      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2025-128, Class AG                                               | CUSIP: 38381MZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      223199 | PA      | $219741.37    | 0.02%             | 2066-07-16      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2025-126, Class AD                                               | CUSIP: 38381PXY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      194291 | PA      | $194529.70    | 0.02%             | 2065-05-16      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-83, Class PI                                                | CUSIP: 38382QQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1153501 | PA      | $191720.70    | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-58, Class IY                                                | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1098437 | PA      | $184485.07    | 0.02%             | 2051-02-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-78, Class IP                                                | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1352611 | PA      | $224368.55    | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-97, Class LI                                                | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1334027 | PA      | $226355.11    | 0.02%             | 2050-08-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2022-78, Class D                                                 | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      659951 | PA      | $107237.34    | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2022-85, Class IK                                                | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      863654 | PA      | $140294.43    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association Variable Rate Notes, Series 2025-9, Class FE                             | CUSIP: 38385BZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      276663 | PA      | $277867.68    | 0.03%             | 2055-01-20      | Floating      | 5.17%                 | No            | 2                  | On Loan: No      |
| Gran Tierra Energy, Inc.                                                         | Gran Tierra Energy, Inc.                                                                                          | CUSIP: 38500TAC5<br>LEI: 549300IH2S17MAIUCM32 | Long             | DBT              | CORP              | US        |      231000 | PA      | $160545.00    | 0.02%             | 2029-10-15      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Granite Ridge Resources, Inc.                                                    | Granite Ridge Resources, Inc.                                                                                     | CUSIP: 387432AA5<br>LEI: 254900CAHJQKOQ1YZC67 | Long             | DBT              | CORP              | US        |      421000 | PA      | $405759.80    | 0.04%             | 2029-11-05      | Fixed         | 8.88%                 | No            | 3                  | On Loan: No      |
| Gray Media, Inc.                                                                 | Gray Media, Inc.                                                                                                  | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103776.84    | 0.01%             | 2032-07-15      | Fixed         | 9.62%                 | No            | 2                  | On Loan: No      |
| Great Lakes CLO IX Ltd.                                                          | Great Lakes CLO IX Ltd., Series 2025-9A, Class A1                                                                 | CUSIP: 390922AC6<br>LEI: 254900GD0BIHJ4BVAE98 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250246.23    | 0.03%             | 2039-01-15      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1999-5, Class A5                                                                    | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       22895 | PA      | $5954.36      | 0.00%             | 2030-03-01      | Variable      | 7.86%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1999-5, Class A6                                                                    | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       24245 | PA      | $6032.22      | 0.00%             | 2030-03-01      | Variable      | 7.50%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1997-3, Class M1                                                                    | CUSIP: 393505TZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        7809 | PA      | $7929.56      | 0.00%             | 2028-03-15      | Variable      | 7.53%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1997-6, Class M1                                                                    | CUSIP: 393505XH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4526 | PA      | $4597.73      | 0.00%             | 2029-01-15      | Variable      | 7.21%                 | No            | 2                  | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                                | GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1                                                     | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11002 | PA      | $10163.44     | 0.00%             | 2036-03-25      | Floating      | 6.03%                 | No            | 2                  | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust, Series 2025-2A, Class C                                                   | CUSIP: 39571VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      130000 | PA      | $131108.63    | 0.01%             | 2060-06-25      | Fixed         | 5.26%                 | No            | 2                  | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust, Series 2025-3A, Class A3                                                  | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      278000 | PA      | $278645.74    | 0.03%             | 2060-12-27      | Fixed         | 4.52%                 | No            | 2                  | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A4                                                   | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       51645 | PA      | $52487.23     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class B                                                    | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       96644 | PA      | $97893.14     | 0.01%             | 2059-10-27      | Fixed         | 5.26%                 | No            | 2                  | On Loan: No      |
| Group 1 Automotive, Inc.                                                         | Group 1 Automotive, Inc.                                                                                          | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98022.07     | 0.01%             | 2028-08-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| HILT Commercial Mortgage Trust                                                   | HILT Commercial Mortgage Trust, Series 2024-ORL, Class C                                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      406000 | PA      | $407004.00    | 0.04%             | 2037-05-15      | Floating      | 6.19%                 | No            | 2                  | On Loan: No      |
| Homes Trust                                                                      | Homes Trust, Series 2025-NQM2, Class A1                                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      754936 | PA      | $759861.80    | 0.08%             | 2070-02-25      | Variable      | 5.42%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       90000 | PA      | $85050.75     | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      114000 | PA      | $118799.16    | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      114000 | PA      | $113613.45    | 0.01%             | 2029-06-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      339000 | PA      | $229775.36    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       81000 | PA      | $76506.95     | 0.01%             | 2032-03-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      407000 | PA      | $332380.98    | 0.03%             | 2052-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      755000 | PA      | $787992.72    | 0.08%             | 2031-04-01      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      238000 | PA      | $248214.90    | 0.03%             | 2034-04-01      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      879000 | PA      | $922606.29    | 0.10%             | 2035-03-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      349000 | PA      | $355679.53    | 0.04%             | 2055-03-01      | Fixed         | 6.20%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1115000 | PA      | $1104902.28   | 0.11%             | 2032-11-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      355000 | PA      | $365310.98    | 0.04%             | 2034-09-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                                   | HarborView Mortgage Loan Trust, Series 2005-1, Class 1A                                                           | CUSIP: 41161PLC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48179 | PA      | $23303.26     | 0.00%             | 2035-03-19      | Floating      | 4.49%                 | No            | 2                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                                   | HarborView Mortgage Loan Trust, Series 2007-4, Class 2A2                                                          | CUSIP: 41164YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67670 | PA      | $66909.48     | 0.01%             | 2037-07-19      | Floating      | 4.10%                 | No            | 2                  | On Loan: No      |
| Herc Holdings, Inc.                                                              | Herc Holdings, Inc.                                                                                               | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106038.41    | 0.01%             | 2033-06-15      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Hess Midstream Operations LP                                                     | Hess Midstream Operations LP                                                                                      | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $101877.40    | 0.01%             | 2028-03-01      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Hilcorp Energy I LP                                                              | Hilcorp Energy I LP                                                                                               | CUSIP: 431318BC7<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102105.50    | 0.01%             | 2033-11-01      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                              | Hilton Domestic Operating Co., Inc.                                                                               | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97130.20     | 0.01%             | 2029-05-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Home Equity Asset Trust                                                          | Home Equity Asset Trust, Series 2007-1, Class 2A3                                                                 | CUSIP: 43710LAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       59221 | PA      | $50302.55     | 0.01%             | 2037-05-25      | Floating      | 4.15%                 | No            | 2                  | On Loan: No      |
| Homes Trust                                                                      | Homes Trust, Series 2024-NQM2, Class A1                                                                           | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |      529412 | PA      | $533923.80    | 0.06%             | 2069-10-25      | Variable      | 5.72%                 | No            | 2                  | On Loan: No      |
| HOMES Trust                                                                      | HOMES Trust, Series 2025-NQM5, Class A1                                                                           | CUSIP: 43762CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      291131 | PA      | $291425.89    | 0.03%             | 2070-09-25      | Variable      | 5.03%                 | No            | 2                  | On Loan: No      |
| HOMES Trust                                                                      | HOMES Trust, Series 2025-NQM5, Class B1                                                                           | CUSIP: 43762CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100669.31    | 0.01%             | 2070-09-25      | Variable      | 6.79%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      100000 | PA      | $84732.97     | 0.01%             | 2030-02-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Howard Hughes Corp. (The)                                                        | Howard Hughes Corp. (The)                                                                                         | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |       88000 | PA      | $88327.89     | 0.01%             | 2028-08-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                         | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B2                                                 | CUSIP: 44644NAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      237886 | PA      | $238610.48    | 0.02%             | 2032-10-20      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                         | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B2                                                 | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      370266 | PA      | $370788.06    | 0.04%             | 2033-09-20      | Floating      | 5.12%                 | No            | 2                  | On Loan: No      |
| INT Commercial Mortgage Trust                                                    | INT Commercial Mortgage Trust, Series 2025-PLAZA, Class A                                                         | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $160455.87    | 0.02%             | 2037-11-05      | Variable      | 4.88%                 | No            | 2                  | On Loan: No      |
| INV Mortgage Trust                                                               | INV Mortgage Trust, Series 2024-IND, Class A                                                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      220000 | PA      | $218353.96    | 0.02%             | 2041-11-15      | Floating      | 5.49%                 | No            | 2                  | On Loan: No      |
| ITT Holdings LLC                                                                 | ITT Holdings LLC                                                                                                  | CUSIP: 45074JAA2<br>LEI: 549300TH2PHOLK31LB42 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95965.15     | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| State of Illinois                                                                | State of Illinois, Series 2003                                                                                    | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      885637 | PA      | $907662.79    | 0.09%             | 2033-06-01      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Impac Secured Assets Trust                                                       | Impac Secured Assets Trust, Series 2006-3, Class A1                                                               | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39684 | PA      | $36673.07     | 0.00%             | 2036-11-25      | Floating      | 4.19%                 | No            | 2                  | On Loan: No      |
| INCREF LLC                                                                       | INCREF LLC, Series 2025-FL1, Class A                                                                              | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100195.31    | 0.01%             | 2042-10-19      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| Crescent Energy Finance LLC                                                      | Crescent Energy Finance LLC                                                                                       | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |      119000 | PA      | $112925.27    | 0.01%             | 2033-01-15      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      890000 | PA      | $841940.00    | 0.09%             | 2030-02-14      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      641000 | PA      | $428867.46    | 0.04%             | 2051-03-12      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust                                     | Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2                                             | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9060 | PA      | $8781.84      | 0.00%             | 2034-07-25      | Floating      | 3.51%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust, Series 2006-AR41, Class A3                                                      | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33358 | PA      | $32524.55     | 0.00%             | 2037-02-25      | Floating      | 4.21%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1                                                     | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61841 | PA      | $39941.66     | 0.00%             | 2037-09-25      | Variable      | 3.83%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust, Series 2007-FLX5, Class 2A2                                                     | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       63369 | PA      | $59074.61     | 0.01%             | 2037-08-25      | Floating      | 4.33%                 | No            | 2                  | On Loan: No      |
| Invesco US CLO Ltd.                                                              | Invesco US CLO Ltd., Series 2023-3A, Class AR                                                                     | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250804.30    | 0.03%             | 2038-07-15      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| Iron Mountain, Inc.                                                              | Iron Mountain, Inc.                                                                                               | CUSIP: 46284VAC5<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99898.40     | 0.01%             | 2027-09-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Irwin Home Equity Loan Trust                                                     | Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3                                                            | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1218 | PA      | $1218.90      | 0.00%             | 2037-09-25      | Variable      | 6.53%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC                                 | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $2788.56      | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2025-NQM2, Class A1                                                            | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      557779 | PA      | $562755.62    | 0.06%             | 2065-09-25      | Variable      | 5.57%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class A                                 | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360000 | PA      | $363619.12    | 0.04%             | 2039-11-09      | Variable      | 5.17%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class D                                 | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100271.16    | 0.01%             | 2039-11-09      | Variable      | 6.48%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class E                                 | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      305000 | PA      | $305529.31    | 0.03%             | 2039-11-09      | Variable      | 7.25%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class F                                 | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      261000 | PA      | $262929.47    | 0.03%             | 2039-11-09      | Variable      | 8.22%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2024-VIS1, Class B2                                                            | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $151020.75    | 0.02%             | 2064-07-25      | Variable      | 8.06%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust                                           | J.P. Morgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1                                                 | CUSIP: 46628MAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       32374 | PA      | $32671.64     | 0.00%             | 2036-05-25      | Floating      | 4.25%                 | No            | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA                                             | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53944 | PA      | $0.54         | 0.00%             | 2047-09-15      | Variable      | 0.40%                 | No            | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class XA                                             | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64660 | PA      | $0.65         | 0.00%             | 2047-09-15      | Variable      | 0.33%                 | No            | 2                  | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                       | JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC                                              | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $8012.16      | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      208000 | PA      | $141249.77    | 0.01%             | 2051-04-22      | Variable      | 3.11%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      340000 | PA      | $302050.88    | 0.03%             | 2031-11-19      | Variable      | 1.76%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2018000 | PA      | $1926999.18   | 0.20%             | 2029-06-01      | Variable      | 2.07%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      173000 | PA      | $179748.64    | 0.02%             | 2034-06-01      | Variable      | 5.35%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      368000 | PA      | $387614.20    | 0.04%             | 2029-10-23      | Variable      | 6.09%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1102000 | PA      | $1123921.57   | 0.12%             | 2028-04-22      | Variable      | 5.57%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2824000 | PA      | $2946073.70   | 0.30%             | 2030-04-22      | Variable      | 5.58%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2008000 | PA      | $2071617.44   | 0.21%             | 2035-07-22      | Variable      | 5.29%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      351000 | PA      | $356228.63    | 0.04%             | 2028-07-22      | Variable      | 4.98%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1703000 | PA      | $1719690.08   | 0.18%             | 2028-10-22      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      596000 | PA      | $607079.63    | 0.06%             | 2029-01-24      | Variable      | 4.92%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2168000 | PA      | $2240830.92   | 0.23%             | 2031-01-24      | Variable      | 5.14%                 | No            | 2                  | On Loan: No      |
| JW Commercial Mortgage Trust                                                     | JW Commercial Mortgage Trust, Series 2024-MRCO, Class D                                                           | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100249.71    | 0.01%             | 2039-06-15      | Floating      | 6.94%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class B1                                                            | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133000 | PA      | $135126.01    | 0.01%             | 2064-11-25      | Variable      | 7.71%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2025-VIS1, Class M1                                                            | CUSIP: 46659BAF9<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $253519.70    | 0.03%             | 2055-08-25      | Variable      | 6.41%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2025-NQM5, Class A1LC                                                          | CUSIP: 46664DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      249870 | PA      | $249253.56    | 0.03%             | 2065-05-25      | Variable      | 5.02%                 | No            | 2                  | On Loan: No      |
| Jane Street Group                                                                | Jane Street Group                                                                                                 | CUSIP: 47077WAC2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105076.63    | 0.01%             | 2031-04-30      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| JetBlue Airways Corp.                                                            | JetBlue Airways Corp.                                                                                             | CUSIP: 476920AA1<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100746.12    | 0.01%             | 2031-09-20      | Fixed         | 9.88%                 | No            | 2                  | On Loan: No      |
| JetBlue Pass-Through Trust                                                       | JetBlue Pass-Through Trust, Series 2019-1, Class AA                                                               | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       28783 | PA      | $25820.60     | 0.00%             | 2032-05-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| KKR CLO 18 Ltd.                                                                  | KKR CLO 18 Ltd., Series 18, Class A1R2                                                                            | CUSIP: 48251JAS2<br>LEI: 54930088PYF0FHKY5C94 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248807.65    | 0.03%             | 2035-10-18      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| KKR CLO 34 Ltd.                                                                  | KKR CLO 34 Ltd., Series 34A, Class AR                                                                             | CUSIP: 48253UAJ5<br>LEI: 254900DSRKUNUNRNUG13 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249812.33    | 0.03%             | 2034-07-15      | Floating      | 5.00%                 | No            | 2                  | On Loan: No      |
| KKR CLO 28 Ltd.                                                                  | KKR CLO 28 Ltd., Series 28A, Class AR2                                                                            | CUSIP: 48253WAW2<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249961.40    | 0.03%             | 2035-02-09      | Floating      | 4.99%                 | No            | 2                  | On Loan: No      |
| KeHE Distributors LLC                                                            | KeHE Distributors LLC                                                                                             | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104969.89    | 0.01%             | 2029-02-15      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| KeyBank NA                                                                       | KeyBank NA                                                                                                        | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |      536000 | PA      | $541368.85    | 0.06%             | 2033-01-26      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Kohl's Corp.                                                                     | Kohl's Corp.                                                                                                      | CUSIP: 500255AX2<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $87962.58     | 0.01%             | 2031-05-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| KSL Commercial Mortgage Trust                                                    | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      631090 | PA      | $630892.66    | 0.07%             | 2039-12-15      | Floating      | 5.29%                 | No            | 2                  | On Loan: No      |
| KSL Trust                                                                        | KSL Trust                                                                                                         | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126000 | PA      | $125860.58    | 0.01%             | 2030-06-15      | Floating      | 5.64%                 | No            | 2                  | On Loan: No      |
| KSL Trust                                                                        | KSL Trust                                                                                                         | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18000 | PA      | $18061.67     | 0.00%             | 2030-06-15      | Floating      | 7.84%                 | No            | 2                  | On Loan: No      |
| LGI Homes, Inc.                                                                  | LGI Homes, Inc.                                                                                                   | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |       83000 | PA      | $86574.64     | 0.01%             | 2028-12-15      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| LGI Homes, Inc.                                                                  | LGI Homes, Inc.                                                                                                   | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |       96000 | PA      | $91763.72     | 0.01%             | 2032-11-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| LCM Investments Holdings II LLC                                                  | LCM Investments Holdings II LLC                                                                                   | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105769.35    | 0.01%             | 2031-08-01      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| LCM 29 Ltd.                                                                      | LCM 29 Ltd., Series 29A, Class AR                                                                                 | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       78838 | PA      | $78851.13     | 0.01%             | 2031-04-15      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| LCM 31 Ltd.                                                                      | LCM 31 Ltd., Series 31A, Class AR                                                                                 | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250183.40    | 0.03%             | 2034-07-20      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| LCM 34 Ltd.                                                                      | LCM 34 Ltd., Series 34A, Class A1R                                                                                | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250030.30    | 0.03%             | 2034-10-20      | Floating      | 5.06%                 | No            | 2                  | On Loan: No      |
| LMRE 2025 SFR1 Trust                                                             | LMRE 2025 SFR1 Trust, Series 2025-SFR1, Class A                                                                   | CUSIP: 50208WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      166000 | PA      | $161980.90    | 0.02%             | 2042-12-17      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| LQR Trust                                                                        | LQR Trust, Series 2025-CALI, Class A                                                                              | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97000 | PA      | $96999.75     | 0.01%             | 2043-01-15      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| LQR Trust                                                                        | LQR Trust, Series 2025-CALI, Class E                                                                              | CUSIP: 50216WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      290000 | PA      | $289998.42    | 0.03%             | 2043-01-15      | Floating      | 7.68%                 | No            | 2                  | On Loan: No      |
| L3Harris Technologies, Inc.                                                      | L3Harris Technologies, Inc.                                                                                       | CUSIP: 502431AU3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       58000 | PA      | $60039.76     | 0.01%             | 2034-06-01      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| Vital Energy, Inc.                                                               | Vital Energy, Inc.                                                                                                | CUSIP: 516806AK2<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98528.40     | 0.01%             | 2032-04-15      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Latam Airlines Group SA                                                          | Latam Airlines Group SA                                                                                           | CUSIP: 51817RAE6<br>LEI: 549300HX3UUDPEFTG707 | Long             | DBT              | CORP              | CL        |       91000 | PA      | $95550.00     | 0.01%             | 2031-01-07      | Fixed         | 7.62%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                                   | Lehman Brothers Holdings, Inc.                                                                                    | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |     1025000 | PA      | $0.10         | 0.00%             | 2017-12-28      | Fixed         | 6.75%                 | No            | 3                  | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                   | Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1                                           | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        7430 | PA      | $7480.15      | 0.00%             | 2040-04-15      | Variable      | 6.63%                 | No            | 2                  | On Loan: No      |
| Lehman XS Trust                                                                  | Lehman XS Trust, Series 2007-20N, Class A1                                                                        | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       10236 | PA      | $10366.77     | 0.00%             | 2037-12-25      | Floating      | 6.15%                 | No            | 2                  | On Loan: No      |
| Lendmark Funding Trust                                                           | Lendmark Funding Trust, Series 2025-3A, Class A                                                                   | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      449000 | PA      | $448865.43    | 0.05%             | 2035-05-21      | Fixed         | 4.51%                 | No            | 2                  | On Loan: No      |
| Lendmark Funding Trust                                                           | Lendmark Funding Trust, Series 2025-3A, Class B                                                                   | CUSIP: 525951AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99800.43     | 0.01%             | 2035-05-21      | Fixed         | 4.83%                 | No            | 2                  | On Loan: No      |
| Level 3 Financing, Inc.                                                          | Level 3 Financing, Inc.                                                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |       36000 | PA      | $37100.59     | 0.00%             | 2034-03-31      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| LifePoint Health, Inc.                                                           | LifePoint Health, Inc.                                                                                            | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $109663.49    | 0.01%             | 2030-10-15      | Fixed         | 11.00%                | No            | 2                  | On Loan: No      |
| Lithia Motors, Inc.                                                              | Lithia Motors, Inc.                                                                                               | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96692.69     | 0.01%             | 2029-06-01      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| LoanCore Issuer LLC                                                              | LoanCore Issuer LLC, Series 2025-CRE9, Class A                                                                    | CUSIP: 538912AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      515000 | PA      | $514368.25    | 0.05%             | 2042-08-18      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| Los Angeles Community College District                                           | Los Angeles Community College District, Series 2010E                                                              | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      110000 | PA      | $119197.33    | 0.01%             | 2042-08-01      | Fixed         | 6.60%                 | No            | 2                  | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | Louisiana Local Government Environmental Facilities & Community Development Authority, Series 2022A               | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      620000 | PA      | $620482.55    | 0.06%             | 2033-02-01      | Fixed         | 4.14%                 | No            | 2                  | On Loan: No      |
| Lumen Technologies, Inc.                                                         | Lumen Technologies, Inc.                                                                                          | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |        8831 | NS      | $68616.87     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Lyra Music Assets Delaware LP                                                    | Lyra Music Assets Delaware LP, Series 2025-1A, Class A2                                                           | CUSIP: 552339AD5<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |      188000 | PA      | $189566.74    | 0.02%             | 2065-09-20      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| MCR Mortgage Trust                                                               | MCR Mortgage Trust, Series 2024-HF1, Class A                                                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      214772 | PA      | $215172.69    | 0.02%             | 2041-12-15      | Floating      | 5.54%                 | No            | 2                  | On Loan: No      |
| MF1 LLC                                                                          | MF1 LLC, Series 2025-FL19, Class A                                                                                | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      169000 | PA      | $169476.63    | 0.02%             | 2042-05-18      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| MGM Resorts International                                                        | MGM Resorts International                                                                                         | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103030.52    | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| M/I Homes, Inc.                                                                  | M/I Homes, Inc.                                                                                                   | CUSIP: 55305B101<br>LEI: 5299005M71FH9CCSFB69 | Long             | EC               | CORP              | US        |         386 | NS      | $49388.70     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| MSCI, Inc.                                                                       | MSCI, Inc.                                                                                                        | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      480000 | PA      | $483166.88    | 0.05%             | 2035-09-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| MAC Trust                                                                        | MAC Trust, Series 2025-801B, Class A                                                                              | CUSIP: 553918AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      246000 | PA      | $246306.27    | 0.03%             | 2040-10-15      | Floating      | 5.45%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding LXXI Ltd.                                                   | Madison Park Funding LXXI Ltd., Series 2025-71A, Class A1                                                         | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249668.20    | 0.03%             | 2038-04-23      | Floating      | 5.00%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding XXX Ltd.                                                    | Madison Park Funding XXX Ltd., Series 2018-30A, Class A1R                                                         | CUSIP: 55821TAL1<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $260870.95    | 0.03%             | 2037-07-16      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding LVII Ltd.                                                   | Madison Park Funding LVII Ltd., Series 2022-57A, Class A1R                                                        | CUSIP: 55822GAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.75    | 0.03%             | 2034-07-27      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding LXXIII Ltd.                                                 | Madison Park Funding LXXIII Ltd., Series 2025-73A, Class B                                                        | CUSIP: 55823HAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250747.10    | 0.03%             | 2038-10-17      | Floating      | 5.66%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding XL-R Ltd.                                                   | Madison Park Funding XL-R Ltd., Series 2025-40RA, Class A                                                         | CUSIP: 55823RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250650.00    | 0.03%             | 2038-10-16      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Warnermedia Holdings, Inc.                                                       | Warnermedia Holdings, Inc.                                                                                        | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     5464000 | PA      | $5427238.21   | 0.56%             | 2027-03-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1166.12      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $653.71       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $927.29       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1891.19      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1283.91      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1806.11     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Mariner Finance Issuance Trust                                                   | Mariner Finance Issuance Trust, Series 2025-AA, Class A                                                           | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      176000 | PA      | $178235.52    | 0.02%             | 2038-05-20      | Fixed         | 4.98%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12659.90    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $12545.33     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Mariner Finance Issuance Trust                                                   | Mariner Finance Issuance Trust, Series 2024-BA, Class A                                                           | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      338000 | PA      | $342717.57    | 0.04%             | 2038-11-20      | Fixed         | 4.91%                 | No            | 2                  | On Loan: No      |
| Mariner Finance Issuance Trust                                                   | Mariner Finance Issuance Trust, Series 2024-BA, Class D                                                           | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $102397.35    | 0.01%             | 2038-11-20      | Fixed         | 6.36%                 | No            | 2                  | On Loan: No      |
| Mariner Finance Issuance Trust                                                   | Mariner Finance Issuance Trust, Series 2025-BA, Class A                                                           | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      379000 | PA      | $380213.82    | 0.04%             | 2038-11-22      | Fixed         | 4.59%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $452.26       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $746.36       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3641.36     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-659.22      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2528.91      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $821.29       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $592.06       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $456.84       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $444.51       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-435.94      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1181.55      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4153.52      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $75.59        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-831.67      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $8930.38      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $29994.65     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1113.12     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $8609.19      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $794.25       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10072.74     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $8406.75      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3157.05      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2466.42      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3629.84     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-316.22      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2771.86     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4164.75     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1269.54      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $628.99       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-24957.57    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1569.27      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5688.78      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1554.83     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2946.25     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13862.94    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-501.43      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-803.44      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $21562.11     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4499.20      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $699.50       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3613.79      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1821.01     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3725.45     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8823.16     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14503.07    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1114.30     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-927.14      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27142.35     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6236.52      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-980.16      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10565.20     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-623.68      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-801.98      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4905.61      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $13336.87     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-755.40      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $103.23       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $205.09       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1427.47      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2149.24      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $118.65       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2575.86     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3887.25     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-65062.07    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-43907.52    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27314.28     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-212.64      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $785.81       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1553.81      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1382.46      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11697.30     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $283.53       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $176.95       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1368.33     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-7842.25     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6902.40      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2073.66      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2759.28      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-510.80      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-316.44      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $679.53       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $408.05       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| MASTR Specialized Loan Trust                                                     | MASTR Specialized Loan Trust, Series 2006-3, Class A                                                              | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4996 | PA      | $4882.52      | 0.00%             | 2046-06-25      | Floating      | 4.37%                 | No            | 2                  | On Loan: No      |
| MASTR Resecuritization Trust                                                     | MASTR Resecuritization Trust, Series 2008-3, Class A1                                                             | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13055 | PA      | $3924.86      | 0.00%             | 2037-08-25      | Variable      | 3.96%                 | No            | 2                  | On Loan: No      |
| Matador Resources Co.                                                            | Matador Resources Co.                                                                                             | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100133.00    | 0.01%             | 2033-04-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Mattamy Group Corp.                                                              | Mattamy Group Corp.                                                                                               | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |       93000 | PA      | $90284.36     | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $983.14       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $377.42       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $809.34       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1501.72      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1279.69      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                           | Mauser Packaging Solutions Holding Co.                                                                            | CUSIP: 57763RAE7<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |       83000 | PA      | $82345.16     | 0.01%             | 2030-04-15      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                           | Mauser Packaging Solutions Holding Co.                                                                            | CUSIP: 57763RAF4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192000.00    | 0.02%             | 2030-04-15      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-68.17       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2326.30     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $325.58       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $482.54       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $505.81       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $749.65       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2265.11      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1528.33      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4613.42      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $7863.77      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-426.74      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-424.45      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| McAfee Corp.                                                                     | McAfee Corp.                                                                                                      | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |      100000 | PA      | $87207.76     | 0.01%             | 2030-02-15      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| MFA Trust                                                                        | MFA Trust, Series 2025-NQM3, Class A1                                                                             | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      881417 | PA      | $883614.48    | 0.09%             | 2070-08-25      | Variable      | 5.26%                 | No            | 2                  | On Loan: No      |
| MFA Trust                                                                        | MFA Trust, Series 2024-NPL1, Class A1                                                                             | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207325 | PA      | $207614.91    | 0.02%             | 2054-09-25      | Variable      | 6.33%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1039.39      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2710.21     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $285.10       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-421.92      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6617.90     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4485.34     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $269.36       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $541.84       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3057.43     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1519.88     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5051.89     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $23224.92     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $43822.43     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-85.22       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-169.32      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-295.20      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-242.32      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-581.95      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1688.52     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1120.10     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1145.79     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-214.25      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-148.28      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-220.72      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16271.84    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-592.36      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3419.07     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-286.70      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3701.89     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $504.37       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-92.66       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3280.40     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $121.99       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4453.22      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-268.04      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-137.35      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-340.64      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-338.34      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-943.54      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $357.44       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $359.87       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $36773.13     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $981.02       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3298.96     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5939.18      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1018.67      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-279.54      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-15930.73    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $16.87        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $21.07        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-487.79      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2.49         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-30689.01    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-146.18      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5212.51      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-25.71       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-42.43       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $248.12       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $41957.24     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $28.69        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-84.74       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $29.80        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $182.86       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-204.41      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-151.69      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-239.46      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-319.28      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-202.24      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38.61       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $201.36       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-166.80      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-211.38      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1515.08      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2265.85      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $110.24       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $66.65        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $220.82       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2033.22      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-782.21      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-734.72      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2190.83     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2786.13     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2122.76      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $359.65       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-371.18      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2692.79      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $16343.57     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $13657.17     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-15817.30    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14008.18    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $491.79       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $77.05        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-26.01       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-39.01       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Meritage Homes Corp.                                                             | Meritage Homes Corp.                                                                                              | CUSIP: 59001A102<br>LEI: 52990044W9UMFJO2FB97 | Long             | EC               | CORP              | US        |        1221 | NS      | $80341.80     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                           | Merrill Lynch Mortgage Investors Trust, Series 2006-RM3, Class A2B                                                | CUSIP: 590217AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       23230 | PA      | $4791.07      | 0.00%             | 2037-06-25      | Floating      | 4.03%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                           | Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1                                                | CUSIP: 59022VAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       35271 | PA      | $34877.61     | 0.00%             | 2037-08-25      | Floating      | 4.24%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust                                       | Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2                                            | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71896 | PA      | $58000.50     | 0.01%             | 2037-04-25      | Floating      | 4.27%                 | No            | 2                  | On Loan: No      |
| Metropolitan Transportation Authority                                            | Metropolitan Transportation Authority, Series 2010A                                                               | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      195000 | PA      | $212295.27    | 0.02%             | 2039-11-15      | Fixed         | 6.67%                 | No            | 2                  | On Loan: No      |
| Microsoft Corp.                                                                  | Microsoft Corp.                                                                                                   | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      893000 | PA      | $584947.89    | 0.06%             | 2052-03-17      | Fixed         | 2.92%                 | No            | 2                  | On Loan: No      |
| MidAmerican Energy Co.                                                           | MidAmerican Energy Co.                                                                                            | CUSIP: 595620AS4<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      145000 | PA      | $108524.60    | 0.01%             | 2048-08-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Midwest Gaming Borrower LLC                                                      | Midwest Gaming Borrower LLC                                                                                       | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       92000 | PA      | $90494.22     | 0.01%             | 2029-05-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Milford Park CLO Ltd.                                                            | Milford Park CLO Ltd., Series 2022-1A, Class AR                                                                   | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249870.20    | 0.03%             | 2038-01-20      | Floating      | 5.04%                 | No            | 2                  | On Loan: No      |
| Mineral Resources Ltd.                                                           | Mineral Resources Ltd.                                                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      119000 | PA      | $123752.64    | 0.01%             | 2030-05-01      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Mineral Resources Ltd.                                                           | Mineral Resources Ltd.                                                                                            | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |       81000 | PA      | $85009.53     | 0.01%             | 2028-10-01      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| Mohegan Tribal Gaming Authority                                                  | Mohegan Tribal Gaming Authority                                                                                   | CUSIP: 60832QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $105669.30    | 0.01%             | 2031-04-15      | Fixed         | 11.88%                | No            | 2                  | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XD                                     | CUSIP: 61690VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $535.52       | 0.00%             | 2048-10-15      | Variable      | 1.14%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust, Series 2017-H1, Class XD                                                          | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $2981.86      | 0.00%             | 2050-06-15      | Variable      | 2.14%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       21000 | PA      | $19697.93     | 0.00%             | 2031-01-22      | Variable      | 2.70%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      551000 | PA      | $483916.13    | 0.05%             | 2032-02-13      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                         | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class A2MZ                                             | CUSIP: 61744CKH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      155481 | PA      | $148930.26    | 0.02%             | 2034-12-25      | Floating      | 4.45%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                         | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4                                               | CUSIP: 61744CUV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       96784 | PA      | $81438.19     | 0.01%             | 2035-09-25      | Floating      | 4.72%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      635000 | PA      | $631413.05    | 0.07%             | 2029-01-24      | Variable      | 3.77%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      114000 | PA      | $113703.20    | 0.01%             | 2027-01-20      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      482000 | PA      | $428299.41    | 0.04%             | 2032-07-21      | Variable      | 2.24%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       96000 | PA      | $94416.55     | 0.01%             | 2028-01-21      | Variable      | 2.48%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      327000 | PA      | $298450.61    | 0.03%             | 2033-01-21      | Variable      | 2.94%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      479000 | PA      | $488979.12    | 0.05%             | 2029-02-01      | Variable      | 5.12%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      505000 | PA      | $516367.32    | 0.05%             | 2029-04-20      | Variable      | 5.16%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      912000 | PA      | $938959.91    | 0.10%             | 2034-04-21      | Variable      | 5.25%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      263000 | PA      | $278755.96    | 0.03%             | 2029-11-01      | Variable      | 6.41%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      720000 | PA      | $739127.89    | 0.08%             | 2030-01-16      | Variable      | 5.17%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1620000 | PA      | $1687757.68   | 0.17%             | 2030-04-18      | Variable      | 5.66%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      710000 | PA      | $732061.07    | 0.08%             | 2031-04-17      | Variable      | 5.19%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1758000 | PA      | $1813354.55   | 0.19%             | 2031-01-15      | Variable      | 5.23%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley, Series I                                                                                          | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      945000 | PA      | $944695.70    | 0.10%             | 2029-10-18      | Variable      | 4.13%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF                                     | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130000 | PA      | $1463.94      | 0.00%             | 2047-12-15      | Variable      | 1.27%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD                                                        | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $19109.13     | 0.00%             | 2049-03-15      | Variable      | 1.60%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust, Series 2019-L2, Class XA                                                          | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346678 | PA      | $8984.62      | 0.00%             | 2052-03-15      | Variable      | 0.99%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      578000 | PA      | $572969.96    | 0.06%             | 2027-05-04      | Variable      | 1.59%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust, Series 2021-230P, Class B                                                         | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20000 | PA      | $18651.09     | 0.00%             | 2038-12-15      | Floating      | 5.31%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-DSC2, Class A1                                        | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      755442 | PA      | $762755.19    | 0.08%             | 2070-07-25      | Variable      | 5.44%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1                                        | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      322791 | PA      | $326118.05    | 0.03%             | 2069-11-25      | Variable      | 5.74%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1                                        | CUSIP: 617932AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      439867 | PA      | $445853.37    | 0.05%             | 2069-11-25      | Variable      | 6.50%                 | No            | 2                  | On Loan: No      |
| Mortgage Loan Resecuritization Trust                                             | Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85                                                  | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110246 | PA      | $108377.54    | 0.01%             | 2036-04-16      | Floating      | 4.33%                 | No            | 2                  | On Loan: No      |
| Motorola Solutions, Inc.                                                         | Motorola Solutions, Inc.                                                                                          | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |       57000 | PA      | $55530.68     | 0.01%             | 2044-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Motorola Solutions, Inc.                                                         | Motorola Solutions, Inc.                                                                                          | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      195000 | PA      | $205066.48    | 0.02%             | 2032-06-01      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| Motorola Solutions, Inc.                                                         | Motorola Solutions, Inc.                                                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      359000 | PA      | $373073.15    | 0.04%             | 2035-08-15      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| Medline Borrower LP                                                              | Medline Borrower LP                                                                                               | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100540.60    | 0.01%             | 2029-10-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Municipal Electric Authority of Georgia                                          | Municipal Electric Authority of Georgia, Series 2010-A                                                            | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |       52000 | PA      | $56235.32     | 0.01%             | 2057-04-01      | Fixed         | 6.64%                 | No            | 2                  | On Loan: No      |
| NCL Corp. Ltd.                                                                   | NCL Corp. Ltd.                                                                                                    | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      100000 | PA      | $102392.24    | 0.01%             | 2032-02-01      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| NGPL PipeCo LLC                                                                  | NGPL PipeCo LLC                                                                                                   | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |      938000 | PA      | $862922.21    | 0.09%             | 2031-07-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                                 | NRG Energy, Inc.                                                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      590000 | PA      | $587395.33    | 0.06%             | 2029-06-15      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                                 | NRG Energy, Inc.                                                                                                  | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1254000 | PA      | $1386157.81   | 0.14%             | 2033-03-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                                 | NRG Energy, Inc.                                                                                                  | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101979.90    | 0.01%             | 2033-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| NYC Trust                                                                        | NYC Trust, Series 2024-3ELV, Class A                                                                              | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100290.84    | 0.01%             | 2029-08-15      | Floating      | 5.74%                 | No            | 2                  | On Loan: No      |
| NYMT Loan Trust                                                                  | NYMT Loan Trust, Series 2024-INV1, Class A1                                                                       | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |       84921 | PA      | $85424.79     | 0.01%             | 2069-06-25      | Variable      | 5.38%                 | No            | 2                  | On Loan: No      |
| NCR Atleos Corp.                                                                 | NCR Atleos Corp.                                                                                                  | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |      100000 | PA      | $108537.60    | 0.01%             | 2029-04-01      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Navient Refinance Loan Trust                                                     | Navient Refinance Loan Trust, Series 2025-C, Class A                                                              | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      248212 | PA      | $248695.67    | 0.03%             | 2055-10-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Navient Refinance Loan Trust                                                     | Navient Refinance Loan Trust, Series 2025-B, Class A                                                              | CUSIP: 63943NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      352090 | PA      | $352356.95    | 0.04%             | 2055-09-15      | Fixed         | 4.72%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-BA, Class A1B                                                              | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      842140 | PA      | $847777.41    | 0.09%             | 2055-05-17      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-BA, Class B                                                                | CUSIP: 64032BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      420000 | PA      | $420791.20    | 0.04%             | 2055-05-17      | Fixed         | 4.98%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-BA, Class C                                                                | CUSIP: 64032BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      170000 | PA      | $170525.03    | 0.02%             | 2055-05-17      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-BA, Class D                                                                | CUSIP: 64032BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      104000 | PA      | $103815.56    | 0.01%             | 2055-05-17      | Fixed         | 6.04%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-AA, Class A1B                                                              | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      290972 | PA      | $289887.28    | 0.03%             | 2057-03-15      | Floating      | 5.08%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-CA, Class A1B                                                              | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      351680 | PA      | $354136.22    | 0.04%             | 2065-06-22      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-CA, Class D                                                                | CUSIP: 64035UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      235000 | PA      | $231800.62    | 0.02%             | 2065-06-22      | Fixed         | 5.82%                 | No            | 2                  | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 36R Ltd.                                      | Neuberger Berman Loan Advisers CLO 36R Ltd., Series 2020-36RA, Class A                                            | CUSIP: 64090EAA4<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |      870000 | PA      | $872348.74    | 0.09%             | 2039-07-20      | Floating      | 5.55%                 | No            | 2                  | On Loan: No      |
| Neuberger Berman CLO XXI Ltd.                                                    | Neuberger Berman CLO XXI Ltd., Series 2016-21A, Class A1R3                                                        | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250972.50    | 0.03%             | 2039-01-20      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| New Jersey Turnpike Authority                                                    | New Jersey Turnpike Authority, Series 2009F                                                                       | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      317000 | PA      | $379938.04    | 0.04%             | 2040-01-01      | Fixed         | 7.41%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2024-NQM3, Class B1                                                   | CUSIP: 647910AG3<br>LEI: 213800HBIGZVLLQA9I67 | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $173408.47    | 0.02%             | 2064-11-25      | Variable      | 7.15%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2019-2A, Class A1                                                     | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22827 | PA      | $22480.82     | 0.00%             | 2057-12-25      | Variable      | 4.25%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1                                                   | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |      211321 | PA      | $214108.17    | 0.02%             | 2065-01-25      | Variable      | 5.64%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1                                                   | CUSIP: 64832DAF8<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $102606.42    | 0.01%             | 2065-01-25      | Variable      | 6.47%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                                   | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |      175759 | PA      | $177126.63    | 0.02%             | 2065-07-25      | Variable      | 5.35%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class B1                                                   | CUSIP: 64832FAG1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |      105000 | PA      | $104869.58    | 0.01%             | 2065-07-25      | Variable      | 7.02%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2025-NQM5, Class A1                                                   | CUSIP: 64832GAC8<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-MBS          | CORP              | US        |      170779 | PA      | $171271.94    | 0.02%             | 2065-08-25      | Variable      | 5.11%                 | No            | 2                  | On Loan: No      |
| NRZT                                                                             | NRZT, Series 2025-NQM6, Class A1                                                                                  | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      403000 | PA      | $404258.77    | 0.04%             | 2065-10-25      | Variable      | 5.08%                 | No            | 2                  | On Loan: No      |
| Flagstar Bank NA                                                                 | Flagstar Bank NA                                                                                                  | CUSIP: 649445400<br>LEI: SS1TRMSN6BRNMOREEV51 | Long             | EC               | CORP              | US        |       32591 | NS      | $410320.69    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | New York City Municipal Water Finance Authority, Series 2010EE                                                    | CUSIP: 64972FL20<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      105000 | PA      | $108736.54    | 0.01%             | 2042-06-15      | Fixed         | 6.01%                 | No            | 2                  | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | New York City Municipal Water Finance Authority, Series 2011CC                                                    | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      155000 | PA      | $157535.94    | 0.02%             | 2044-06-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| New York State Dormitory Authority                                               | New York State Dormitory Authority, Series 2010H                                                                  | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |       60000 | PA      | $60478.93     | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            | 2                  | On Loan: No      |
| Newell Brands, Inc.                                                              | Newell Brands, Inc.                                                                                               | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97656.16     | 0.01%             | 2030-05-15      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                            | NextEra Energy Capital Holdings, Inc.                                                                             | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      301000 | PA      | $304576.77    | 0.03%             | 2027-09-01      | Fixed         | 4.68%                 | No            | 2                  | On Loan: No      |
| 1988 CLO 2 Ltd.                                                                  | 1988 CLO 2 Ltd., Series 2023-2A, Class A1R                                                                        | CUSIP: 653947AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249974.10    | 0.03%             | 2038-04-15      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                                  | Nissan Motor Acceptance Co. LLC                                                                                   | CUSIP: 65480CAF2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103423.43    | 0.01%             | 2028-09-15      | Fixed         | 7.05%                 | No            | 2                  | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                                  | Nissan Motor Acceptance Co. LLC                                                                                   | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46129.63     | 0.00%             | 2028-09-29      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                             | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4                                     | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7985 | PA      | $6741.85      | 0.00%             | 2037-06-25      | Floating      | 4.69%                 | No            | 2                  | On Loan: No      |
| Northern Oil & Gas, Inc.                                                         | Northern Oil & Gas, Inc.                                                                                          | CUSIP: 665531AL3<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |       42000 | PA      | $40893.49     | 0.00%             | 2033-10-15      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Northrop Grumman Corp.                                                           | Northrop Grumman Corp.                                                                                            | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      186000 | PA      | $149403.90    | 0.02%             | 2047-10-15      | Fixed         | 4.03%                 | No            | 2                  | On Loan: No      |
| Northrop Grumman Corp.                                                           | Northrop Grumman Corp.                                                                                            | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      260000 | PA      | $245361.56    | 0.03%             | 2050-05-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Northrop Grumman Corp.                                                           | Northrop Grumman Corp.                                                                                            | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       72000 | PA      | $64886.22     | 0.01%             | 2053-03-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| NOVA Chemicals Corp.                                                             | NOVA Chemicals Corp.                                                                                              | CUSIP: 66977WAU3<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $106776.50    | 0.01%             | 2030-02-15      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| Bally's Corp.                                                                    | Bally's Corp., Facility 1st Lien Term Loan B                                                                      | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |      370411 | PA      | $364814.50    | 0.04%             | 2028-10-02      | Variable      | 7.37%                 | No            | 2                  | On Loan: No      |
| NRTH Commercial Mortgage Trust                                                   | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A                                                         | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $200187.46    | 0.02%             | 2040-10-15      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| Novelis Corp.                                                                    | Novelis Corp.                                                                                                     | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96466.00     | 0.01%             | 2030-01-30      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                 | Oakwood Mortgage Investors, Inc., Series 2001-D, Class A2                                                         | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       11879 | PA      | $3760.45      | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                 | Oakwood Mortgage Investors, Inc., Series 2001-D, Class A4                                                         | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        6792 | PA      | $2630.12      | 0.00%             | 2031-09-15      | Variable      | 6.93%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                 | Oakwood Mortgage Investors, Inc., Series 2002-B, Class M1                                                         | CUSIP: 67087TDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       52220 | PA      | $53007.22     | 0.01%             | 2032-06-15      | Variable      | 7.62%                 | No            | 2                  | On Loan: No      |
| OCP CLO Ltd.                                                                     | OCP CLO Ltd., Series 2020-8RA, Class AR2                                                                          | CUSIP: 670898AW5<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250399.70    | 0.03%             | 2038-10-17      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| OCP SA                                                                           | OCP SA                                                                                                            | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |      200000 | PA      | $215690.00    | 0.02%             | 2034-05-02      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| OHA Credit Funding 7 Ltd.                                                        | OHA Credit Funding 7 Ltd., Series 2020-7A, Class A1R2                                                             | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300821.40    | 0.03%             | 2038-07-19      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| OCP CLO Ltd.                                                                     | OCP CLO Ltd., Series 2025-46A, Class A                                                                            | CUSIP: 671023AA7<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250338.48    | 0.03%             | 2038-10-15      | Floating      | 5.05%                 | No            | 2                  | On Loan: No      |
| OHA Loan Funding Ltd.                                                            | OHA Loan Funding Ltd., Series 2013-2A, Class AR2                                                                  | CUSIP: 67104LAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $750485.63    | 0.08%             | 2038-10-20      | Floating      | 5.35%                 | No            | 2                  | On Loan: No      |
| OZLM Funding II Ltd.                                                             | OZLM Funding II Ltd., Series 2012-2A, Class AR4                                                                   | CUSIP: 67108BCG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250175.00    | 0.03%             | 2037-07-30      | Floating      | 5.04%                 | No            | 2                  | On Loan: No      |
| OZLM XIX Ltd.                                                                    | OZLM XIX Ltd., Series 2017-19A, Class A1RR                                                                        | CUSIP: 67112CBE6<br>LEI: 5493009C40QUU66J8E83 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250114.58    | 0.03%             | 2035-01-15      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| OZLM XVIII Ltd.                                                                  | OZLM XVIII Ltd., Series 2018-18A, Class B                                                                         | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250373.80    | 0.03%             | 2031-04-15      | Floating      | 5.72%                 | No            | 2                  | On Loan: No      |
| OCP CLO Ltd.                                                                     | OCP CLO Ltd., Series 2021-22A, Class AR                                                                           | CUSIP: 67117TAN5<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251066.78    | 0.03%             | 2037-10-20      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| ORL Trust                                                                        | ORL Trust, Series 2024-GLKS, Class A                                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      630000 | PA      | $630975.30    | 0.07%             | 2039-12-15      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| OCP Aegis CLO Ltd.                                                               | OCP Aegis CLO Ltd., Series 2024-39A, Class A1                                                                     | CUSIP: 67120EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $249849.58    | 0.03%             | 2037-01-16      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| OHA Credit Funding 10-R Ltd.                                                     | OHA Credit Funding 10-R Ltd., Series 2021-10RA, Class A1                                                          | CUSIP: 67121RAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250254.45    | 0.03%             | 2037-07-18      | Floating      | 5.54%                 | No            | 2                  | On Loan: No      |
| NYC Commercial Mortgage Trust                                                    | NYC Commercial Mortgage Trust, Series 2025-11X, Class A                                                           | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      224000 | PA      | $224696.73    | 0.02%             | 2040-10-15      | Floating      | 5.49%                 | No            | 2                  | On Loan: No      |
| NYC Commercial Mortgage Trust                                                    | NYC Commercial Mortgage Trust, Series 2025-28L, Class A                                                           | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394000 | PA      | $394833.55    | 0.04%             | 2038-11-05      | Variable      | 4.67%                 | No            | 2                  | On Loan: No      |
| NYC Trust                                                                        | NYC Trust, Series 2025-77C, Class A                                                                               | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      480000 | PA      | $482026.37    | 0.05%             | 2038-01-10      | Variable      | 4.79%                 | No            | 2                  | On Loan: No      |
| Oaktree CLO Ltd.                                                                 | Oaktree CLO Ltd., Series 2021-2A, Class AR                                                                        | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249625.33    | 0.03%             | 2035-01-15      | Floating      | 4.87%                 | No            | 2                  | On Loan: No      |
| Oaktree CLO Ltd.                                                                 | Oaktree CLO Ltd., Series 2025-31A, Class A                                                                        | CUSIP: 67400BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250799.40    | 0.03%             | 2038-07-15      | Floating      | 5.60%                 | No            | 2                  | On Loan: No      |
| OBX Trust                                                                        | OBX Trust, Series 2025-NQM3, Class A1                                                                             | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |      200249 | PA      | $202216.85    | 0.02%             | 2064-12-01      | Variable      | 5.65%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                                   | Ohio Power Co.                                                                                                    | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      333000 | PA      | $255850.18    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                                   | Ohio Power Co., Series P                                                                                          | CUSIP: 677415CS8<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |       82000 | PA      | $76525.89     | 0.01%             | 2030-04-01      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                                   | Ohio Power Co., Series Q                                                                                          | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      190000 | PA      | $166736.44    | 0.02%             | 2031-01-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| Olympic Tower Mortgage Trust                                                     | Olympic Tower Mortgage Trust, Series 2017-OT, Class E                                                             | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190000 | PA      | $166843.12    | 0.02%             | 2039-05-10      | Variable      | 3.95%                 | No            | 2                  | On Loan: No      |
| One Market Plaza Trust                                                           | One Market Plaza Trust, Series 2017-1MKT, Class XCP                                                               | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1561951 | PA      | $4863.29      | 0.00%             | 2032-02-10      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| One Market Plaza Trust                                                           | One Market Plaza Trust, Series 2017-1MKT, Class XNCP                                                              | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      312390 | PA      | $817.09       | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            | 2                  | On Loan: No      |
| 1011778 BC ULC                                                                   | 1011778 BC ULC                                                                                                    | CUSIP: 68245XAM1<br>LEI: 549300RHSHNRWI5LLA86 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $95240.42     | 0.01%             | 2030-10-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| 1301 Trust                                                                       | 1301 Trust, Series 2025-1301, Class A                                                                             | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55000 | PA      | $55678.08     | 0.01%             | 2042-08-11      | Variable      | 5.06%                 | No            | 2                  | On Loan: No      |
| 1301 Trust                                                                       | 1301 Trust, Series 2025-1301, Class E                                                                             | CUSIP: 682461AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34000 | PA      | $34266.03     | 0.00%             | 2042-08-11      | Variable      | 7.24%                 | No            | 2                  | On Loan: No      |
| 1301 Trust                                                                       | 1301 Trust, Series 2025-1301, Class F                                                                             | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      431000 | PA      | $441084.15    | 0.05%             | 2042-08-11      | Variable      | 8.10%                 | No            | 2                  | On Loan: No      |
| 1345T                                                                            | 1345T, Series 2025-AOA, Class A                                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      255000 | PA      | $255793.33    | 0.03%             | 2042-06-15      | Floating      | 5.35%                 | No            | 2                  | On Loan: No      |
| ONNI Commerical Mortgage Trust                                                   | ONNI Commerical Mortgage Trust, Series 2024-APT, Class A                                                          | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101908.56    | 0.01%             | 2039-07-15      | Variable      | 5.57%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      554000 | PA      | $488510.76    | 0.05%             | 2055-08-03      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1043000 | PA      | $923673.39    | 0.10%             | 2065-08-03      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1769000 | PA      | $1567359.16   | 0.16%             | 2055-09-26      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      512000 | PA      | $451580.15    | 0.05%             | 2065-09-26      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 1A1                                                       | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       56529 | PA      | $48732.13     | 0.01%             | 2037-01-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                       | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      133939 | PA      | $116524.10    | 0.01%             | 2037-01-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4                                                       | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33804 | PA      | $33264.11     | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-CP1, Class 2A3                                                        | CUSIP: 68402YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       90000 | PA      | $77547.51     | 0.01%             | 2037-03-25      | Floating      | 4.06%                 | No            | 2                  | On Loan: No      |
| Orbia Advance Corp. SAB de CV                                                    | Orbia Advance Corp. SAB de CV                                                                                     | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      202000 | PA      | $199172.00    | 0.02%             | 2030-05-13      | Fixed         | 6.80%                 | No            | 2                  | On Loan: No      |
| Origen Manufactured Housing Contract Trust                                       | Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1                                               | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |        2413 | PA      | $2406.29      | 0.00%             | 2037-10-15      | Floating      | 5.06%                 | No            | 2                  | On Loan: No      |
| Orion CLO Ltd.                                                                   | Orion CLO Ltd., Series 2023-1A, Class A1R                                                                         | CUSIP: 68626CAJ3<br>LEI: 2138006D8Y42BDBTP628 | Long             | ABS-CBDO         | CORP              | JE        |      930000 | PA      | $931477.49    | 0.10%             | 2038-10-25      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| OT Midco, Inc.                                                                   | OT Midco, Inc.                                                                                                    | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $79577.05     | 0.01%             | 2030-02-15      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Owens-Brockway Glass Container, Inc.                                             | Owens-Brockway Glass Container, Inc.                                                                              | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102077.70    | 0.01%             | 2031-05-15      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Ownit Mortgage Loan Trust                                                        | Ownit Mortgage Loan Trust, Series 2006-2, Class A2C                                                               | CUSIP: 69121PDF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       50686 | PA      | $46464.20     | 0.00%             | 2037-01-25      | Variable      | 6.50%                 | No            | 2                  | On Loan: No      |
| PECO Energy Co.                                                                  | PECO Energy Co.                                                                                                   | CUSIP: 693304AX5<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       14000 | PA      | $9187.90      | 0.00%             | 2049-09-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| PG&E Corp.                                                                       | PG&E Corp.                                                                                                        | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     2126000 | PA      | $2110942.26   | 0.22%             | 2030-07-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| PG&E Corp.                                                                       | PG&E Corp.                                                                                                        | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     1621000 | PA      | $1688256.91   | 0.17%             | 2055-03-15      | Variable      | 7.38%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM3, Class A1                                                                            | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      580767 | PA      | $584864.90    | 0.06%             | 2070-05-25      | Variable      | 5.61%                 | No            | 2                  | On Loan: No      |
| PENN Commercial Mortgage Trust                                                   | PENN Commercial Mortgage Trust, Series 2025-P11, Class A                                                          | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118000 | PA      | $120873.06    | 0.01%             | 2042-08-10      | Variable      | 5.34%                 | No            | 2                  | On Loan: No      |
| PENN Commercial Mortgage Trust                                                   | PENN Commercial Mortgage Trust, Series 2025-P11, Class C                                                          | CUSIP: 69382VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $103567.08    | 0.01%             | 2042-08-10      | Variable      | 6.51%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM5, Class A1A                                                                           | CUSIP: 69383FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      241000 | PA      | $241551.05    | 0.02%             | 2070-10-25      | Variable      | 5.18%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM6, Class A1                                                                            | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280829 | PA      | $280546.88    | 0.03%             | 2070-12-25      | Variable      | 4.99%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2024-NQM1, Class B1                                                                            | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      148000 | PA      | $149341.04    | 0.02%             | 2068-12-25      | Variable      | 7.40%                 | No            | 2                  | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM Trust, Series 2023-AFC1, Class B1                                                                           | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      498000 | PA      | $496372.44    | 0.05%             | 2058-02-25      | Variable      | 7.40%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM2, Class A1                                                                            | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      477176 | PA      | $480849.06    | 0.05%             | 2070-04-25      | Variable      | 5.69%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       59000 | PA      | $44641.77     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      472000 | PA      | $398602.92    | 0.04%             | 2044-02-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      239000 | PA      | $179011.79    | 0.02%             | 2046-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      166000 | PA      | $123585.03    | 0.01%             | 2047-12-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1069000 | PA      | $809182.21    | 0.08%             | 2040-08-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      574000 | PA      | $387048.87    | 0.04%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      923000 | PA      | $780149.27    | 0.08%             | 2050-07-01      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      532000 | PA      | $463850.03    | 0.05%             | 2052-03-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      963000 | PA      | $1024175.92   | 0.11%             | 2053-01-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      148000 | PA      | $157042.11    | 0.02%             | 2033-01-15      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       73000 | PA      | $77030.93     | 0.01%             | 2053-04-01      | Fixed         | 6.70%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      235000 | PA      | $253423.10    | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      295000 | PA      | $282729.57    | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      490000 | PA      | $484743.78    | 0.05%             | 2055-03-01      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KZ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1080000 | PA      | $1059898.77   | 0.11%             | 2055-10-15      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                                  | Palmer Square Loan Funding Ltd., Series 2022-3A, Class BR                                                         | CUSIP: 69690CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250142.78    | 0.03%             | 2031-04-15      | Floating      | 5.90%                 | No            | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                                  | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A2                                                         | CUSIP: 69690EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250613.80    | 0.03%             | 2032-08-08      | Floating      | 5.51%                 | No            | 2                  | On Loan: No      |
| Palmer Square CLO Ltd.                                                           | Palmer Square CLO Ltd., Series 2025-4A, Class A                                                                   | CUSIP: 696916AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250653.75    | 0.03%             | 2038-10-20      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                                  | Palmer Square Loan Funding Ltd., Series 2025-3A, Class A1                                                         | CUSIP: 696918AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      440000 | PA      | $439919.96    | 0.05%             | 2034-01-15      | Floating      | 4.66%                 | No            | 2                  | On Loan: No      |
| Palmer Square CLO Ltd.                                                           | Palmer Square CLO Ltd., Series 2019-1A, Class A1R2                                                                | CUSIP: 69700GAU6<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $701687.21    | 0.07%             | 2038-08-14      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| Republic of Panama                                                               | Republic of Panama                                                                                                | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      347000 | PA      | $340754.00    | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Republic of Panama                                                               | Republic of Panama                                                                                                | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      718000 | PA      | $537782.00    | 0.06%             | 2056-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Panther Escrow Issuer LLC                                                        | Panther Escrow Issuer LLC                                                                                         | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103624.80    | 0.01%             | 2031-06-01      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Park Blue CLO Ltd.                                                               | Park Blue CLO Ltd., Series 2025-9A, Class A1                                                                      | CUSIP: 70019UAA3<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |      910000 | PA      | $912647.65    | 0.09%             | 2038-10-20      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| Park Blue CLO Ltd.                                                               | Park Blue CLO Ltd., Series 2025-9A, Class C                                                                       | CUSIP: 70019UAG0<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251169.58    | 0.03%             | 2038-10-20      | Floating      | 6.08%                 | No            | 2                  | On Loan: No      |
| Park Blue CLO Ltd.                                                               | Park Blue CLO Ltd., Series 2025-10A, Class A1                                                                     | CUSIP: 70019YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.03%             | 2039-01-20      | Floating      | 4.95%                 | No            | 2                  | On Loan: No      |
| Park Intermediate Holdings LLC                                                   | Park Intermediate Holdings LLC                                                                                    | CUSIP: 70052LAC7<br>LEI: 549300HJUVLG7EAGZV92 | Long             | DBT              | CORP              | US        |       92000 | PA      | $89836.43     | 0.01%             | 2029-05-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Park Intermediate Holdings LLC                                                   | Park Intermediate Holdings LLC                                                                                    | CUSIP: 70052LAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $102639.00    | 0.01%             | 2030-02-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| PennyMac Financial Services, Inc.                                                | PennyMac Financial Services, Inc.                                                                                 | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104689.49    | 0.01%             | 2032-05-15      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                                 | Republic of Peru                                                                                                  | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      636000 | PA      | $446790.00    | 0.05%             | 2051-03-10      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |       16000 | PA      | $15954.08     | 0.00%             | 2032-02-16      | Fixed         | 6.70%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      118000 | PA      | $94744.56     | 0.01%             | 2045-01-23      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      152000 | PA      | $154416.80    | 0.02%             | 2030-01-23      | Fixed         | 6.84%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      185000 | PA      | $179061.50    | 0.02%             | 2031-01-28      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |       10000 | PA      | $11559.70     | 0.00%             | 2033-02-07      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Pfizer, Inc.                                                                     | Pfizer, Inc.                                                                                                      | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      312000 | PA      | $194473.91    | 0.02%             | 2050-05-28      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      516000 | PA      | $504390.00    | 0.05%             | 2028-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      829000 | PA      | $594807.50    | 0.06%             | 2046-07-06      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| Pinnacle West Capital Corp.                                                      | Pinnacle West Capital Corp.                                                                                       | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |      853000 | PA      | $878941.87    | 0.09%             | 2030-05-15      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| Pioneer Natural Resources Co.                                                    | Pioneer Natural Resources Co.                                                                                     | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      101000 | PA      | $91601.05     | 0.01%             | 2031-01-15      | Fixed         | 2.15%                 | No            | 2                  | On Loan: No      |
| Planet Fitness Master Issuer LLC                                                 | Planet Fitness Master Issuer LLC, Series 2025-1A, Class A2II                                                      | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |      333000 | PA      | $332874.86    | 0.03%             | 2055-12-06      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| Port Authority of New York & New Jersey                                          | Port Authority of New York & New Jersey, Series 2010-165                                                          | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      120000 | PA      | $127852.31    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| Port Authority of New York & New Jersey                                          | Port Authority of New York & New Jersey, Series 2014-181                                                          | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      195000 | PA      | $181752.58    | 0.02%             | 2046-08-01      | Fixed         | 4.96%                 | No            | 2                  | On Loan: No      |
| Port of Beaumont Navigation District                                             | Port of Beaumont Navigation District, Series 2024B                                                                | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |      310000 | PA      | $311207.67    | 0.03%             | 2026-07-01      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Post CLO Ltd.                                                                    | Post CLO Ltd., Series 2023-1A, Class A1R                                                                          | CUSIP: 73743CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250686.38    | 0.03%             | 2038-10-20      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| Post CLO Ltd.                                                                    | Post CLO Ltd., Series 2023-1A, Class BR                                                                           | CUSIP: 73743CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250919.30    | 0.03%             | 2038-10-20      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| Post Holdings, Inc.                                                              | Post Holdings, Inc.                                                                                               | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100999.99    | 0.01%             | 2033-03-01      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Prime Security Services Borrower LLC                                             | Prime Security Services Borrower LLC                                                                              | CUSIP: 74166MAF3<br>LEI: 549300O6QPZVWXV2DC15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98045.55     | 0.01%             | 2027-08-31      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Prime Investments LLC                                                            | Prime Investments LLC                                                                                             | CUSIP: 74167YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      249878 | PA      | $259573.27    | 0.03%             | 2030-05-01      | Fixed         | 11.00%                | No            | 3                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM1, Class A1                                                                            | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170075 | PA      | $171493.27    | 0.02%             | 2069-11-25      | Variable      | 5.80%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM1, Class M1A                                                                           | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101633.02    | 0.01%             | 2069-11-25      | Variable      | 6.64%                 | No            | 2                  | On Loan: No      |
| Quikrete Holdings, Inc.                                                          | Quikrete Holdings, Inc.                                                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104088.00    | 0.01%             | 2032-03-01      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| RALI Trust                                                                       | RALI Trust, Series 2007-QH9, Class A1                                                                             | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18609 | PA      | $15506.42     | 0.00%             | 2037-11-25      | Variable      | 4.08%                 | No            | 2                  | On Loan: No      |
| RCKT Mortgage Trust                                                              | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                                                                  | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       86637 | PA      | $87262.54     | 0.01%             | 2044-11-25      | Variable      | 5.49%                 | No            | 2                  | On Loan: No      |
| RHP Hotel Properties LP                                                          | RHP Hotel Properties LP                                                                                           | CUSIP: 749571AG0<br>LEI: 549300SJMSMA2471GA96 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99004.08     | 0.01%             | 2029-02-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| RFMSI Trust                                                                      | RFMSI Trust, Series 2006-SA4, Class 2A1                                                                           | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38855 | PA      | $32729.40     | 0.00%             | 2036-11-25      | Variable      | 5.43%                 | No            | 2                  | On Loan: No      |
| ROCK Trust                                                                       | ROCK Trust, Series 2024-CNTR, Class A                                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113000 | PA      | $116093.70    | 0.01%             | 2041-11-13      | Fixed         | 5.39%                 | No            | 2                  | On Loan: No      |
| ROCK Trust                                                                       | ROCK Trust, Series 2024-CNTR, Class E                                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113000 | PA      | $120240.92    | 0.01%             | 2041-11-13      | Fixed         | 8.82%                 | No            | 2                  | On Loan: No      |
| Race Point X CLO Ltd.                                                            | Race Point X CLO Ltd., Series 2016-10A, Class A1R                                                                 | CUSIP: 74983DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        9516 | PA      | $9517.07      | 0.00%             | 2031-07-25      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| RR 24 Ltd.                                                                       | RR 24 Ltd., Series 2022-24A, Class A1A2                                                                           | CUSIP: 75000HBA1<br>LEI: 2549005CH9FMTJFP8I04 | Long             | ABS-CBDO         | CORP              | BM        |      500000 | PA      | $501880.50    | 0.05%             | 2037-01-15      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| Rad CLO 21 Ltd.                                                                  | Rad CLO 21 Ltd., Series 2023-21A, Class A1R                                                                       | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249631.03    | 0.03%             | 2037-01-25      | Floating      | 4.93%                 | No            | 2                  | On Loan: No      |
| Rad CLO 14 Ltd.                                                                  | Rad CLO 14 Ltd., Series 2021-14A, Class A                                                                         | CUSIP: 75009RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250250.15    | 0.03%             | 2035-01-15      | Floating      | 5.34%                 | No            | 2                  | On Loan: No      |
| Rad CLO 15 Ltd.                                                                  | Rad CLO 15 Ltd., Series 2021-15A, Class A1AR                                                                      | CUSIP: 750103AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250924.15    | 0.03%             | 2040-07-20      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| Rain City Mortgage Trust                                                         | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                              | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101181.82    | 0.01%             | 2029-09-25      | Variable      | 6.53%                 | No            | 2                  | On Loan: No      |
| Raizen Fuels Finance SA                                                          | Raizen Fuels Finance SA                                                                                           | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      212000 | PA      | $178186.00    | 0.02%             | 2032-07-08      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Regatta VI Funding Ltd.                                                          | Regatta VI Funding Ltd., Series 2016-1A, Class A1R3                                                               | CUSIP: 75887NBL2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250617.25    | 0.03%             | 2038-10-20      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| Regatta IX Funding Ltd.                                                          | Regatta IX Funding Ltd., Series 2017-1A, Class B1R                                                                | CUSIP: 75887VAN1<br>LEI: 254900JVS76S6N8G1I74 | Long             | ABS-CBDO         | CORP              | KY        |      847000 | PA      | $849082.43    | 0.09%             | 2037-04-17      | Floating      | 5.88%                 | No            | 2                  | On Loan: No      |
| Regatta XI Funding Ltd.                                                          | Regatta XI Funding Ltd., Series 2018-1A, Class AR                                                                 | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250814.00    | 0.03%             | 2037-07-17      | Floating      | 5.28%                 | No            | 2                  | On Loan: No      |
| Regatta XVI Funding Ltd.                                                         | Regatta XVI Funding Ltd., Series 2019-2A, Class CR                                                                | CUSIP: 75888TAS4<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250572.90    | 0.03%             | 2033-01-15      | Floating      | 5.80%                 | No            | 2                  | On Loan: No      |
| Regatta 30 Funding Ltd.                                                          | Regatta 30 Funding Ltd., Series 2024-4A, Class A1                                                                 | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1050000 | PA      | $1053327.77   | 0.11%             | 2038-01-25      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| Regatta 35 Funding Ltd.                                                          | Regatta 35 Funding Ltd., Series 2025-5A, Class A1                                                                 | CUSIP: 75903YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501440.45    | 0.05%             | 2038-10-15      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| Regional Management Issuance Trust                                               | Regional Management Issuance Trust, Series 2024-2, Class A                                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100775.97    | 0.01%             | 2033-12-15      | Fixed         | 5.11%                 | No            | 2                  | On Loan: No      |
| Regional Management Issuance Trust                                               | Regional Management Issuance Trust, Series 2025-2, Class A                                                        | CUSIP: 75908BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      553000 | PA      | $552083.07    | 0.06%             | 2037-11-16      | Fixed         | 4.59%                 | No            | 2                  | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                                | Repsol E&P Capital Markets US LLC                                                                                 | CUSIP: 76026AAA5<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      200000 | PA      | $201861.48    | 0.02%             | 2028-09-16      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                                | Repsol E&P Capital Markets US LLC                                                                                 | CUSIP: 76026AAB3<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202829.81    | 0.02%             | 2030-09-16      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                                | Repsol E&P Capital Markets US LLC                                                                                 | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      385000 | PA      | $392654.06    | 0.04%             | 2035-09-16      | Fixed         | 5.98%                 | No            | 2                  | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust, Series 2025-A, Class A                                                           | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      230000 | PA      | $230741.52    | 0.02%             | 2034-11-20      | Fixed         | 4.59%                 | No            | 2                  | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust, Series 2024-B, Class A                                                           | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      465000 | PA      | $473813.10    | 0.05%             | 2037-11-20      | Fixed         | 5.42%                 | No            | 2                  | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust, Series 2024-B, Class B                                                           | CUSIP: 76042GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      164000 | PA      | $167949.89    | 0.02%             | 2037-11-20      | Fixed         | 5.86%                 | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                                     | Oriental Republic of Uruguay                                                                                      | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      533785 | PA      | $504159.93    | 0.05%             | 2050-06-18      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                                     | Oriental Republic of Uruguay                                                                                      | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      119172 | PA      | $119946.62    | 0.01%             | 2027-10-27      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                         | Retained Vantage Data Centers Issuer LLC, Series 2025-1A, Class A2A                                               | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |      348000 | PA      | $344792.34    | 0.04%             | 2050-08-15      | Fixed         | 5.09%                 | No            | 2                  | On Loan: No      |
| Reynolds American, Inc.                                                          | Reynolds American, Inc.                                                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      951000 | PA      | $935630.10    | 0.10%             | 2045-08-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| Reynolds American, Inc.                                                          | Reynolds American, Inc.                                                                                           | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |       51000 | PA      | $53347.46     | 0.01%             | 2041-08-04      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Rocket Cos., Inc.                                                                | Rocket Cos., Inc.                                                                                                 | CUSIP: 77311WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103138.78    | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Rocket Mortgage LLC                                                              | Rocket Mortgage LLC                                                                                               | CUSIP: 77313LAA1<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98541.35     | 0.01%             | 2026-10-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Rockford Tower CLO Ltd.                                                          | Rockford Tower CLO Ltd., Series 2025-3A, Class A1                                                                 | CUSIP: 77340WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249675.55    | 0.03%             | 2038-03-31      | Floating      | 4.96%                 | No            | 2                  | On Loan: No      |
| Rogers Communications, Inc.                                                      | Rogers Communications, Inc.                                                                                       | CUSIP: 775109BS9<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $99956.34     | 0.01%             | 2082-03-15      | Variable      | 5.25%                 | No            | 2                  | On Loan: No      |
| Romark CLO Ltd.                                                                  | Romark CLO Ltd., Series 2017-1A, Class A1R                                                                        | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        7038 | PA      | $7040.73      | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                     | Royal Caribbean Cruises Ltd.                                                                                      | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      235000 | PA      | $235984.12    | 0.02%             | 2036-01-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Sesac Finance LLC                                                                | Sesac Finance LLC, Series 2025-1, Class A2                                                                        | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      139000 | PA      | $138137.38    | 0.01%             | 2055-07-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| SBA Communications Corp.                                                         | SBA Communications Corp.                                                                                          | CUSIP: 78410GAD6<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99246.60     | 0.01%             | 2027-02-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| SG Mortgage Securities Trust                                                     | SG Mortgage Securities Trust, Series 2006-OPT2, Class A3D                                                         | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $79912.07     | 0.01%             | 2036-10-25      | Floating      | 4.27%                 | No            | 2                  | On Loan: No      |
| SCG Mortgage Trust                                                               | SCG Mortgage Trust, Series 2024-MSP, Class A                                                                      | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99999.99     | 0.01%             | 2041-04-15      | Floating      | 5.49%                 | No            | 2                  | On Loan: No      |
| SCG Commercial Mortgage Trust                                                    | SCG Commercial Mortgage Trust, Series 2025-FLWR, Class A                                                          | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174000 | PA      | $174108.70    | 0.02%             | 2042-08-15      | Floating      | 5.00%                 | No            | 2                  | On Loan: No      |
| SCG Commercial Mortgage Trust                                                    | SCG Commercial Mortgage Trust, Series 2025-FLWR, Class E                                                          | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28000 | PA      | $28069.47     | 0.00%             | 2042-08-15      | Floating      | 6.50%                 | No            | 2                  | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust, Series 2015-B, Class B                                                          | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |        8987 | PA      | $8970.92      | 0.00%             | 2040-12-17      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| SM Energy Co.                                                                    | SM Energy Co.                                                                                                     | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100734.22    | 0.01%             | 2029-08-01      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| SURA Asset Management SA                                                         | SURA Asset Management SA                                                                                          | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |      395000 | PA      | $421200.35    | 0.04%             | 2032-05-13      | Fixed         | 6.35%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      544000 | PA      | $547656.39    | 0.06%             | 2027-03-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      137000 | PA      | $137193.87    | 0.01%             | 2026-06-30      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     1682000 | PA      | $1688809.48   | 0.17%             | 2030-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      581489 | PA      | $610869.56    | 0.06%             | 2037-09-15      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Sagard-Halseypoint CLO 8 Ltd.                                                    | Sagard-Halseypoint CLO 8 Ltd., Series 2024-8A, Class A1                                                           | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250937.63    | 0.03%             | 2038-01-30      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| City of San Antonio Electric & Gas Systems                                       | City of San Antonio Electric & Gas Systems, Series 2010A                                                          | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |      215000 | PA      | $221713.16    | 0.02%             | 2041-02-01      | Fixed         | 5.81%                 | No            | 2                  | On Loan: No      |
| Sandstone Peak IV Ltd.                                                           | Sandstone Peak IV Ltd., Series 2025-1A, Class A1                                                                  | CUSIP: 80012AAA3<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250671.63    | 0.03%             | 2039-01-20      | Floating      | 4.95%                 | No            | 2                  | On Loan: No      |
| Sandstone Peak II Ltd.                                                           | Sandstone Peak II Ltd., Series 2023-1A, Class A1R                                                                 | CUSIP: 80013TAL7<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250990.78    | 0.03%             | 2038-07-20      | Floating      | 5.29%                 | No            | 2                  | On Loan: No      |
| Sandstone Peak II Ltd.                                                           | Sandstone Peak II Ltd., Series 2023-1A, Class BR                                                                  | CUSIP: 80013TAQ6<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250625.73    | 0.03%             | 2038-07-20      | Floating      | 5.63%                 | No            | 2                  | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                        | Santander Mortgage Asset Receivable Trust, Series 2025-NQM2, Class A1                                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123944 | PA      | $125234.57    | 0.01%             | 2065-02-25      | Variable      | 5.73%                 | No            | 2                  | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                        | Santander Mortgage Asset Receivable Trust, Series 2025-NQM6, Class A1                                             | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |      182555 | PA      | $183058.35    | 0.02%             | 2065-11-25      | Variable      | 5.14%                 | No            | 2                  | On Loan: No      |
| Xerox Corp.                                                                      | Xerox Corp., 1st Lien Term Loan                                                                                   | CUSIP: 98415LAY2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       35000 | PA      | $29837.51     | 0.00%             | 2029-11-19      | Variable      | 7.89%                 | No            | 2                  | On Loan: No      |
| Select Medical Corp.                                                             | Select Medical Corp.                                                                                              | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |       29000 | PA      | $28354.80     | 0.00%             | 2032-12-01      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust, Series 2024-STRG, Class A                                                         | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $150093.65    | 0.02%             | 2034-11-15      | Floating      | 5.29%                 | No            | 2                  | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust, Series 2024-STRG, Class E                                                         | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      151000 | PA      | $151377.12    | 0.02%             | 2034-11-15      | Floating      | 7.94%                 | No            | 2                  | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust, Series 2024-STRG, Class F                                                         | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125000 | PA      | $124878.84    | 0.01%             | 2034-11-15      | Floating      | 8.94%                 | No            | 2                  | On Loan: No      |
| Service Corp. International                                                      | Service Corp. International                                                                                       | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93509.87     | 0.01%             | 2030-08-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |       91000 | PA      | $89581.01     | 0.01%             | 2027-12-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 81761LAD4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      262000 | PA      | $263413.49    | 0.03%             | 2029-06-15      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      216000 | PA      | $213073.82    | 0.02%             | 2032-06-15      | Fixed         | 8.88%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 81761LAF9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      118000 | PA      | $106631.43    | 0.01%             | 2027-09-30      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| SG Residential Mortgage Trust                                                    | SG Residential Mortgage Trust, Series 2025-1, Class ALCF                                                          | CUSIP: 81880NAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99996.98     | 0.01%             | 2065-12-25      | Fixed         | 5.23%                 | No            | 2                  | On Loan: No      |
| Signal Peak CLO 14 Ltd.                                                          | Signal Peak CLO 14 Ltd., Series 2024-14A, Class A                                                                 | CUSIP: 82667FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $351151.15    | 0.04%             | 2038-01-22      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| Silver Point CLO 8 Ltd.                                                          | Silver Point CLO 8 Ltd., Series 2025-8A, Class A1                                                                 | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250363.83    | 0.03%             | 2038-04-15      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| Silver Point CLO 1 Ltd.                                                          | Silver Point CLO 1 Ltd., Series 2022-1A, Class A1R                                                                | CUSIP: 828085AN0<br>LEI: 549300UJUGKIKZF7CD63 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250901.00    | 0.03%             | 2038-01-20      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| Silver Point CLO 7 Ltd.                                                          | Silver Point CLO 7 Ltd., Series 2024-7A, Class A1                                                                 | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250891.25    | 0.03%             | 2038-01-15      | Floating      | 5.26%                 | No            | 2                  | On Loan: No      |
| Silver Point CLO 12 Ltd.                                                         | Silver Point CLO 12 Ltd., Series 2025-12A, Class A1                                                               | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250625.00    | 0.03%             | 2038-10-15      | Floating      | 5.29%                 | No            | 2                  | On Loan: No      |
| Silver Point CLO 13 Ltd.                                                         | Silver Point CLO 13 Ltd., Series 2025-13A, Class A1                                                               | CUSIP: 82809RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310573.75    | 0.03%             | 2038-10-15      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| Sirius XM Radio LLC                                                              | Sirius XM Radio LLC                                                                                               | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100243.51    | 0.01%             | 2027-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Six Flags Entertainment Corp.                                                    | Six Flags Entertainment Corp.                                                                                     | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95951.74     | 0.01%             | 2031-05-15      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Six Flags Entertainment Corp.                                                    | Six Flags Entertainment Corp.                                                                                     | CUSIP: 83001C108<br>LEI: 529900AS2CYWYFHRS781 | Long             | EC               | CORP              | US        |        4302 | NS      | $65992.68     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Sixth Street CLO XVIII Ltd.                                                      | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class A1R                                                           | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250476.35    | 0.03%             | 2038-10-17      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| Sixth Street CLO XIV Ltd.                                                        | Sixth Street CLO XIV Ltd., Series 2019-14A, Class A1R2                                                            | CUSIP: 83013NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249855.35    | 0.03%             | 2038-01-20      | Floating      | 5.02%                 | No            | 2                  | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust, Series 2024-A, Class A1B                                                        | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      164803 | PA      | $166321.20    | 0.02%             | 2056-03-15      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                                    | Smyrna Ready Mix Concrete LLC                                                                                     | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106963.28    | 0.01%             | 2031-11-15      | Fixed         | 8.88%                 | No            | 2                  | On Loan: No      |
| SoFi Consumer Loan Program Trust                                                 | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                                          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      532289 | PA      | $534233.09    | 0.06%             | 2034-02-27      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| SoFi Consumer Loan Program Trust                                                 | SoFi Consumer Loan Program Trust, Series 2025-1, Class B                                                          | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $101104.98    | 0.01%             | 2034-02-27      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Solaris Energy Infrastructure, Inc.                                              | Solaris Energy Infrastructure, Inc., Class A                                                                      | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | EC               | CORP              | US        |        2514 | NS      | $115568.58    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Solaris Energy Infrastructure, Inc.                                              | Solaris Energy Infrastructure, Inc.                                                                               | CUSIP: 83419XAA6<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      138000 | PA      | $275130.60    | 0.03%             | 2030-05-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Solaris Energy Infrastructure, Inc.                                              | Solaris Energy Infrastructure, Inc.                                                                               | CUSIP: 83419XAB4<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      300000 | PA      | $324375.00    | 0.03%             | 2031-10-01      | Fixed         | 0.25%                 | No            | 2                  | On Loan: No      |
| Sonic Automotive, Inc.                                                           | Sonic Automotive, Inc.                                                                                            | CUSIP: 83545GBE1<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96581.61     | 0.01%             | 2031-11-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Soundview Home Loan Trust                                                        | Soundview Home Loan Trust, Series 2004-WMC1, Class M2                                                             | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1021 | PA      | $891.73       | 0.00%             | 2035-01-25      | Floating      | 4.64%                 | No            | 2                  | On Loan: No      |
| Southern Co. (The)                                                               | Southern Co. (The)                                                                                                | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      159000 | PA      | $149010.87    | 0.02%             | 2036-07-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Southern Co. (The)                                                               | Southern Co. (The)                                                                                                | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      323000 | PA      | $341857.85    | 0.04%             | 2032-10-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Southern Co. (The)                                                               | Southern Co. (The)                                                                                                | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      274000 | PA      | $270630.49    | 0.03%             | 2035-03-15      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      821000 | PA      | $821016.88    | 0.08%             | 2029-02-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      429000 | PA      | $434829.48    | 0.04%             | 2030-03-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     1044000 | PA      | $1029912.86   | 0.11%             | 2032-02-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Block, Inc.                                                                      | Block, Inc.                                                                                                       | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99402.93     | 0.01%             | 2026-06-01      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Block, Inc.                                                                      | Block, Inc.                                                                                                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      157000 | PA      | $147566.67    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Standard Industries, Inc.                                                        | Standard Industries, Inc.                                                                                         | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96470.54     | 0.01%             | 2030-07-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| STL Holding Co. LLC                                                              | STL Holding Co. LLC                                                                                               | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |       80000 | PA      | $84029.60     | 0.01%             | 2029-02-15      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| Store Capital LLC                                                                | Store Capital LLC                                                                                                 | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      180000 | PA      | $179336.81    | 0.02%             | 2029-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Store Capital LLC                                                                | Store Capital LLC                                                                                                 | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      563000 | PA      | $573483.30    | 0.06%             | 2030-04-30      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Stream Innovations Issuer Trust                                                  | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                                          | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      166693 | PA      | $168318.36    | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A                                           | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33341 | PA      | $17034.17     | 0.00%             | 2036-04-25      | Variable      | 4.06%                 | No            | 2                  | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                   | Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1                                        | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27749 | PA      | $19829.92     | 0.00%             | 2046-05-25      | Floating      | 4.27%                 | No            | 2                  | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                   | Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1                                        | CUSIP: 86360QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47489 | PA      | $42496.40     | 0.00%             | 2036-06-25      | Floating      | 4.23%                 | No            | 2                  | On Loan: No      |
| Summit Issuer LLC                                                                | Summit Issuer LLC, Series 2025-1A, Class A2                                                                       | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      314000 | PA      | $314678.59    | 0.03%             | 2055-11-20      | Fixed         | 5.21%                 | No            | 2                  | On Loan: No      |
| Sunoco LP                                                                        | Sunoco LP                                                                                                         | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |       72000 | PA      | $73963.80     | 0.01%             | 2030-09-18      | Variable      | 7.88%                 | No            | 2                  | On Loan: No      |
| Sunoco LP                                                                        | Sunoco LP                                                                                                         | CUSIP: 86765LAZ0<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97652.50     | 0.01%             | 2030-04-30      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Sycamore Tree CLO Ltd.                                                           | Sycamore Tree CLO Ltd., Series 2021-1A, Class AR                                                                  | CUSIP: 87122VAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250996.68    | 0.03%             | 2038-01-20      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      694000 | PA      | $690692.90    | 0.07%             | 2027-12-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      452000 | PA      | $458066.12    | 0.05%             | 2029-03-19      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      905000 | PA      | $811929.96    | 0.08%             | 2031-10-28      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      876000 | PA      | $941009.11    | 0.10%             | 2033-02-02      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2002000 | PA      | $2086436.67   | 0.22%             | 2030-08-02      | Variable      | 5.93%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1028000 | PA      | $1054008.71   | 0.11%             | 2031-03-06      | Variable      | 5.45%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAX1<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      994000 | PA      | $1006508.26   | 0.10%             | 2029-07-29      | Variable      | 5.02%                 | No            | 2                  | On Loan: No      |
| Symphony CLO XXI Ltd.                                                            | Symphony CLO XXI Ltd., Series 2019-21A, Class AR2                                                                 | CUSIP: 87166RGE1<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |      192791 | PA      | $192726.30    | 0.02%             | 2032-07-15      | Floating      | 4.80%                 | No            | 2                  | On Loan: No      |
| Symphony CLO 46 Ltd.                                                             | Symphony CLO 46 Ltd., Series 2024-46A, Class A2                                                                   | CUSIP: 87170WAC4<br>LEI: 2549003KA6F4T4Q34J34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250576.88    | 0.03%             | 2038-01-20      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| TCO Commercial Mortgage Trust                                                    | TCO Commercial Mortgage Trust, Series 2024-DPM, Class A                                                           | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      439000 | PA      | $439951.66    | 0.05%             | 2039-12-15      | Floating      | 4.99%                 | No            | 2                  | On Loan: No      |
| MIC Trust (The)                                                                  | MIC Trust (The), Series 2023-MIC, Class A                                                                         | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $75729.86     | 0.01%             | 2038-12-05      | Variable      | 8.44%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      664000 | PA      | $652960.95    | 0.07%             | 2030-04-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       56000 | PA      | $49599.27     | 0.01%             | 2031-11-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       67000 | PA      | $44512.21     | 0.00%             | 2060-11-15      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      532000 | PA      | $478280.66    | 0.05%             | 2032-03-15      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      848000 | PA      | $834656.01    | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| TRI Pointe Homes, Inc.                                                           | TRI Pointe Homes, Inc.                                                                                            | CUSIP: 87265H109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        2670 | NS      | $84024.90     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Taco Bell Funding LLC                                                            | Taco Bell Funding LLC, Series 2025-1A, Class A2I                                                                  | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      439000 | PA      | $436537.96    | 0.05%             | 2055-08-25      | Fixed         | 4.82%                 | No            | 2                  | On Loan: No      |
| Talen Energy Supply LLC                                                          | Talen Energy Supply LLC                                                                                           | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105875.43    | 0.01%             | 2030-06-01      | Fixed         | 8.62%                 | No            | 2                  | On Loan: No      |
| Targa Resources Partners LP                                                      | Targa Resources Partners LP                                                                                       | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      566000 | PA      | $569460.37    | 0.06%             | 2031-02-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Targa Resources Corp.                                                            | Targa Resources Corp.                                                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      575000 | PA      | $550481.79    | 0.06%             | 2033-02-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Targa Resources Corp.                                                            | Targa Resources Corp.                                                                                             | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      779000 | PA      | $820063.95    | 0.08%             | 2029-03-01      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Telecom Argentina SA                                                             | Telecom Argentina SA                                                                                              | CUSIP: 879273AV2<br>LEI: 549300MKPIRSJD8SB782 | Long             | DBT              | CORP              | AR        |       26872 | PA      | $28078.55     | 0.00%             | 2033-05-28      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| Telecom Italia Capital SA                                                        | Telecom Italia Capital SA                                                                                         | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      189000 | PA      | $209358.47    | 0.02%             | 2038-06-04      | Fixed         | 7.72%                 | No            | 2                  | On Loan: No      |
| Teleflex, Inc.                                                                   | Teleflex, Inc.                                                                                                    | CUSIP: 879369AF3<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99847.75     | 0.01%             | 2027-11-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Tenet Healthcare Corp.                                                           | Tenet Healthcare Corp.                                                                                            | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100185.74    | 0.01%             | 2028-06-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Tenet Healthcare Corp.                                                           | Tenet Healthcare Corp.                                                                                            | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102329.34    | 0.01%             | 2030-06-15      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Tenneco, Inc.                                                                    | Tenneco, Inc.                                                                                                     | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100319.99    | 0.01%             | 2028-11-17      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                                   | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $98687.50     | 0.01%             | 2026-10-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| State of Texas                                                                   | State of Texas, Series 2009A                                                                                      | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |      323372 | PA      | $331384.39    | 0.03%             | 2039-04-01      | Fixed         | 5.52%                 | No            | 2                  | On Loan: No      |
| Thayer Park CLO Ltd.                                                             | Thayer Park CLO Ltd., Series 2017-1A, Class A1RR                                                                  | CUSIP: 883310AW4<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249676.80    | 0.03%             | 2034-04-20      | Floating      | 4.87%                 | No            | 2                  | On Loan: No      |
| CVR CHC LP                                                                       | CVR CHC LP, 1st Lien Term Loan                                                                                    | CUSIP: 12663SAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      227167 | PA      | $227355.47    | 0.02%             | 2027-12-30      | Variable      | 8.00%                 | No            | 3                  | On Loan: No      |
| Toorak Mortgage Trust                                                            | Toorak Mortgage Trust, Series 2024-2, Class A1                                                                    | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100472.14    | 0.01%             | 2031-10-25      | Variable      | 6.33%                 | No            | 2                  | On Loan: No      |
| Toucan FinCo. Ltd.                                                               | Toucan FinCo. Ltd.                                                                                                | CUSIP: 89157UAA5<br>LEI: 213800YZMUOEIR42JY77 | Long             | DBT              | CORP              | US        |      181000 | PA      | $180747.78    | 0.02%             | 2030-05-15      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                                                        | Towd Point Mortgage Trust, Series 2025-CRM1, Class A1                                                             | CUSIP: 891946AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1454242 | PA      | $1466399.81   | 0.15%             | 2065-01-25      | Variable      | 5.80%                 | No            | 2                  | On Loan: No      |
| TransDigm, Inc.                                                                  | TransDigm, Inc.                                                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105097.00    | 0.01%             | 2031-12-01      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| TransDigm, Inc.                                                                  | TransDigm, Inc.                                                                                                   | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102612.70    | 0.01%             | 2033-05-31      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Transocean International Ltd.                                                    | Transocean International Ltd.                                                                                     | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |       86000 | PA      | $86675.44     | 0.01%             | 2029-05-15      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Transocean Titan Financing Ltd.                                                  | Transocean Titan Financing Ltd.                                                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       67190 | PA      | $68620.43     | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Trestles CLO IX Ltd.                                                             | Trestles CLO IX Ltd., Series 2025-9A, Class A1                                                                    | CUSIP: 894932AC6<br>LEI: 254900TP9ZGKPKCMHR24 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250562.68    | 0.03%             | 2039-01-15      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| Trimaran CAVU Ltd.                                                               | Trimaran CAVU Ltd., Series 2024-1A, Class A                                                                       | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      460000 | PA      | $461658.30    | 0.05%             | 2038-01-25      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| Trimaran CAVU Ltd.                                                               | Trimaran CAVU Ltd., Series 2023-1A, Class A1R                                                                     | CUSIP: 89624WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250556.28    | 0.03%             | 2038-03-20      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| DIRECTV Financing LLC                                                            | DIRECTV Financing LLC, 1st Lien Term Loan B                                                                       | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      169840 | PA      | $169357.65    | 0.02%             | 2031-02-17      | Variable      | 9.34%                 | No            | 2                  | On Loan: No      |
| Tronox, Inc.                                                                     | Tronox, Inc.                                                                                                      | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |       40000 | PA      | $28002.26     | 0.00%             | 2029-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Truist Bank Auto Credit-Linked Notes                                             | Truist Bank Auto Credit-Linked Notes, Series 2025-1, Class B                                                      | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      396367 | PA      | $397007.10    | 0.04%             | 2033-09-26      | Fixed         | 4.73%                 | No            | 2                  | On Loan: No      |
| 245 Park Avenue Trust                                                            | 245 Park Avenue Trust, Series 2017-245P, Class E                                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $191408.72    | 0.02%             | 2037-06-05      | Variable      | 3.66%                 | No            | 2                  | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                                   | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class D                                                         | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99046.10     | 0.01%             | 2034-09-15      | Floating      | 5.61%                 | No            | 2                  | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                                   | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $135366.17    | 0.01%             | 2034-09-15      | Floating      | 6.20%                 | No            | 2                  | On Loan: No      |
| US Foods, Inc.                                                                   | US Foods, Inc.                                                                                                    | CUSIP: 90290MAD3<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99438.42     | 0.01%             | 2029-02-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| UPG HI Issuer Trust                                                              | UPG HI Issuer Trust, Series 2025-2, Class A                                                                       | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      159000 | PA      | $158931.90    | 0.02%             | 2047-09-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| UWM Holdings LLC                                                                 | UWM Holdings LLC                                                                                                  | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       27000 | PA      | $27339.63     | 0.00%             | 2030-02-01      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| UWM Holdings LLC                                                                 | UWM Holdings LLC                                                                                                  | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       22000 | PA      | $21964.93     | 0.00%             | 2031-03-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: 903724BZ4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       43000 | PA      | $32142.50     | 0.00%             | 2029-02-01      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |        9000 | PA      | $5355.00      | 0.00%             | 2035-02-01      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |        6000 | PA      | $3510.00      | 0.00%             | 2036-02-01      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |        2000 | PA      | $1180.00      | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |        5000 | PA      | $2825.00      | 0.00%             | 2035-02-01      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Union Pacific Railroad Co. Pass-Through Trust                                    | Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1                                                      | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70863 | PA      | $70677.81     | 0.01%             | 2026-05-14      | Fixed         | 3.23%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |       48000 | PA      | $47779.20     | 0.00%             | 2040-01-11      | Fixed         | 6.05%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1451000 | PA      | $1097681.50   | 0.11%             | 2050-01-31      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1538000 | PA      | $1370358.00   | 0.14%             | 2031-05-24      | Fixed         | 2.66%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      200000 | PA      | $215200.00    | 0.02%             | 2055-05-13      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| United Rentals North America, Inc.                                               | United Rentals North America, Inc.                                                                                | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95370.54     | 0.01%             | 2031-02-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       81000 | PA      | $79348.36     | 0.01%             | 2039-05-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      786900 | PA      | $788252.48    | 0.08%             | 2039-08-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      126000 | PA      | $124301.95    | 0.01%             | 2039-11-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      372000 | PA      | $376039.69    | 0.04%             | 2040-02-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      372000 | PA      | $344521.41    | 0.04%             | 2040-08-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      662900 | PA      | $639594.92    | 0.07%             | 2040-11-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      690000 | PA      | $621862.50    | 0.06%             | 2041-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1176000 | PA      | $946358.43    | 0.10%             | 2042-05-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      452000 | PA      | $365572.66    | 0.04%             | 2043-02-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2133000 | PA      | $1841212.25   | 0.19%             | 2043-08-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2133000 | PA      | $1869291.22   | 0.19%             | 2043-11-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1681400 | PA      | $1330801.84   | 0.14%             | 2044-08-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3241000 | PA      | $2295286.31   | 0.24%             | 2045-02-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1728100 | PA      | $1297695.09   | 0.13%             | 2047-05-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4241000 | PA      | $3021215.50   | 0.31%             | 2047-11-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1306000 | PA      | $971847.65    | 0.10%             | 2048-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1600000 | PA      | $1215187.50   | 0.13%             | 2048-05-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2410000 | PA      | $1775303.89   | 0.18%             | 2049-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -803000 | PA      | $-576058.40   | -0.06%            | 2049-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2491000 | PA      | $1787000.58   | 0.18%             | 2049-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3634000 | PA      | $2279057.43   | 0.24%             | 2049-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      406000 | PA      | $260775.70    | 0.03%             | 2049-11-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1600000 | PA      | $786687.50    | 0.08%             | 2050-08-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1670000 | PA      | $1048838.29   | 0.11%             | 2040-08-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1670000 | PA      | $1059601.96   | 0.11%             | 2040-05-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1535800 | PA      | $806295.00    | 0.08%             | 2050-11-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1670000 | PA      | $1083934.38   | 0.11%             | 2040-11-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1226000 | PA      | $685123.28    | 0.07%             | 2051-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1249900 | PA      | $873172.33    | 0.09%             | 2041-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2445200 | PA      | $1540953.57   | 0.16%             | 2051-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1600000 | PA      | $916562.50    | 0.09%             | 2051-08-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1825700 | PA      | $1009127.16   | 0.10%             | 2051-11-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      148000 | PA      | $89794.38     | 0.01%             | 2052-02-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1226000 | PA      | $902450.94    | 0.09%             | 2042-02-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2230000 | PA      | $1859785.17   | 0.19%             | 2042-05-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3908800 | PA      | $2799525.32   | 0.29%             | 2052-08-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3272000 | PA      | $2649041.89   | 0.27%             | 2053-02-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4155900 | PA      | $3738686.62   | 0.39%             | 2043-02-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2726000 | PA      | $2205184.92   | 0.23%             | 2053-05-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      572300 | PA      | $506619.64    | 0.05%             | 2053-08-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3125900 | PA      | $3068632.54   | 0.32%             | 2053-11-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      269000 | PA      | $243213.83    | 0.03%             | 2054-08-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2389200 | PA      | $2192744.30   | 0.23%             | 2044-08-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1294000 | PA      | $1268018.91   | 0.13%             | 2044-11-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3228000 | PA      | $3165205.33   | 0.33%             | 2027-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1195000 | PA      | $1176981.65   | 0.12%             | 2027-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      879000 | PA      | $807375.23    | 0.08%             | 2030-02-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2340000 | PA      | $2244480.47   | 0.23%             | 2027-05-31      | Fixed         | 0.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3076300 | PA      | $2929214.41   | 0.30%             | 2027-08-31      | Fixed         | 0.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1673500 | PA      | $1586229.59   | 0.16%             | 2027-09-30      | Fixed         | 0.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1485100 | PA      | $1413455.52   | 0.15%             | 2028-03-31      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3309000 | PA      | $3137345.63   | 0.32%             | 2028-05-31      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1481000 | PA      | $1391272.22   | 0.14%             | 2028-08-31      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4169300 | PA      | $3921910.67   | 0.40%             | 2028-09-30      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       68000 | PA      | $64180.31     | 0.01%             | 2028-11-30      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       62000 | PA      | $58745.00     | 0.01%             | 2029-01-31      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      108000 | PA      | $96318.28     | 0.01%             | 2032-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       69000 | PA      | $65533.83     | 0.01%             | 2029-02-28      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1584300 | PA      | $1526374.03   | 0.16%             | 2029-03-31      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2971000 | PA      | $2905313.03   | 0.30%             | 2029-04-30      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      660500 | PA      | $622779.25    | 0.06%             | 2032-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2309600 | PA      | $2283256.13   | 0.24%             | 2029-06-30      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2532000 | PA      | $2560089.38   | 0.26%             | 2027-10-31      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4557500 | PA      | $4589901.00   | 0.47%             | 2027-11-30      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2978000 | PA      | $2960899.76   | 0.31%             | 2030-01-31      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1201000 | PA      | $1213526.06   | 0.13%             | 2028-02-29      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4396000 | PA      | $4404236.96   | 0.45%             | 2026-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2826500 | PA      | $2833455.85   | 0.29%             | 2030-05-31      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3678000 | PA      | $3696868.43   | 0.38%             | 2026-07-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3708600 | PA      | $3786973.14   | 0.39%             | 2028-08-31      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1730300 | PA      | $1817626.08   | 0.19%             | 2030-10-31      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1982600 | PA      | $1998151.87   | 0.21%             | 2026-12-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3491000 | PA      | $3510773.23   | 0.36%             | 2028-12-31      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2094800 | PA      | $2104845.42   | 0.22%             | 2027-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2647000 | PA      | $2638728.13   | 0.27%             | 2034-02-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      984800 | PA      | $993147.72    | 0.10%             | 2027-03-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2717700 | PA      | $2779272.89   | 0.29%             | 2031-06-30      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3004000 | PA      | $2973960.00   | 0.31%             | 2031-09-30      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2036500 | PA      | $2107459.30   | 0.22%             | 2031-12-31      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5015000 | PA      | $5154479.69   | 0.53%             | 2032-01-31      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Inflation Linked Notes                                                                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10639686 | PA      | $10691847.29  | 1.10%             | 2030-04-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| United Wholesale Mortgage LLC                                                    | United Wholesale Mortgage LLC                                                                                     | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99283.34     | 0.01%             | 2029-04-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Uniti Group LP                                                                   | Uniti Group LP                                                                                                    | CUSIP: 91327BAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99385.19     | 0.01%             | 2028-04-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| UNIV Trust                                                                       | UNIV Trust, Series 2025-APTS, Class A                                                                             | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      388000 | PA      | $388478.56    | 0.04%             | 2042-11-15      | Floating      | 5.40%                 | No            | 2                  | On Loan: No      |
| UNIV Trust                                                                       | UNIV Trust, Series 2025-APTS, Class B                                                                             | CUSIP: 91336XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100124.46    | 0.01%             | 2042-11-15      | Floating      | 6.00%                 | No            | 2                  | On Loan: No      |
| University of California                                                         | University of California, Series 2012AD                                                                           | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       75000 | PA      | $62238.59     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            | 2                  | On Loan: No      |
| Univision Communications, Inc.                                                   | Univision Communications, Inc.                                                                                    | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      100000 | PA      | $107481.30    | 0.01%             | 2032-08-01      | Fixed         | 9.38%                 | No            | 2                  | On Loan: No      |
| Upland CLO Ltd.                                                                  | Upland CLO Ltd., Series 2016-1A, Class A2R                                                                        | CUSIP: 915328AW8<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250129.85    | 0.03%             | 2031-04-20      | Floating      | 5.80%                 | No            | 2                  | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                                   | Upgrade Master Pass-Thru Trust, Series 2025-ST6, Class A                                                          | CUSIP: 91533QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      123492 | PA      | $123711.12    | 0.01%             | 2032-10-15      | Fixed         | 4.61%                 | No            | 2                  | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                                   | Upgrade Master Pass-Thru Trust, Series 2025-ST7, Class A                                                          | CUSIP: 91533RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      328831 | PA      | $328685.58    | 0.03%             | 2032-11-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                                   | Upgrade Master Pass-Thru Trust, Series 2025-ST7, Class B                                                          | CUSIP: 91533RAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      187000 | PA      | $187249.46    | 0.02%             | 2032-11-15      | Fixed         | 4.98%                 | No            | 2                  | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                                   | Upgrade Master Pass-Thru Trust, Series 2025-ST5, Class B                                                          | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100401.92    | 0.01%             | 2032-09-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                                   | Upgrade Master Pass-Thru Trust, Series 2025-ST8, Class C                                                          | CUSIP: 91535UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      139000 | PA      | $139289.94    | 0.01%             | 2033-12-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| UPX HIL Issuer Trust                                                             | UPX HIL Issuer Trust, Series 2025-1, Class A                                                                      | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      424480 | PA      | $427758.43    | 0.04%             | 2047-01-25      | Fixed         | 5.16%                 | No            | 2                  | On Loan: No      |
| USA Compression Partners LP                                                      | USA Compression Partners LP                                                                                       | CUSIP: 91740PAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        8000 | PA      | $8095.92      | 0.00%             | 2033-10-01      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Vale Overseas Ltd.                                                               | Vale Overseas Ltd.                                                                                                | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |       23000 | PA      | $23471.50     | 0.00%             | 2054-06-28      | Fixed         | 6.40%                 | No            | 2                  | On Loan: No      |
| Valley Stream Park CLO Ltd.                                                      | Valley Stream Park CLO Ltd., Series 2022-1A, Class ARR                                                            | CUSIP: 92013AAT6<br>LEI: 213800DEME82SWN32S20 | Long             | ABS-CBDO         | CORP              | JE        |      570000 | PA      | $570250.69    | 0.06%             | 2037-01-20      | Floating      | 5.07%                 | No            | 2                  | On Loan: No      |
| VEGAS Trust                                                                      | VEGAS Trust, Series 2024-TI, Class A                                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32000 | PA      | $32432.94     | 0.00%             | 2039-11-10      | Fixed         | 5.52%                 | No            | 2                  | On Loan: No      |
| VEGAS                                                                            | VEGAS, Series 2024-GCS, Class C                                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $644057.34    | 0.07%             | 2036-07-10      | Variable      | 6.22%                 | No            | 2                  | On Loan: No      |
| VEGAS Trust                                                                      | VEGAS Trust, Series 2024-GCS, Class D                                                                             | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1435143.30   | 0.15%             | 2036-07-10      | Variable      | 6.22%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2017-2, Class M3                                                   | CUSIP: 92258VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51860 | PA      | $49078.09     | 0.01%             | 2047-11-25      | Variable      | 4.24%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2017-2, Class M4                                                   | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26115 | PA      | $23942.01     | 0.00%             | 2047-11-25      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2023-1, Class M5                                                   | CUSIP: 92259VAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73459 | PA      | $70257.86     | 0.01%             | 2053-01-25      | Variable      | 9.62%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-5, Class M3                                                   | CUSIP: 92261AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85232 | PA      | $85476.63     | 0.01%             | 2054-10-25      | Variable      | 6.76%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-5, Class A                                                    | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       77147 | PA      | $77457.17     | 0.01%             | 2054-10-25      | Variable      | 5.49%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M2                                                   | CUSIP: 92261BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99181 | PA      | $99601.17     | 0.01%             | 2054-12-25      | Variable      | 6.55%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M3                                                   | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182494 | PA      | $183325.45    | 0.02%             | 2054-12-25      | Variable      | 6.92%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M4                                                   | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99181 | PA      | $100230.26    | 0.01%             | 2054-12-25      | Variable      | 9.67%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-1, Class A                                                    | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120589 | PA      | $121812.50    | 0.01%             | 2054-01-25      | Variable      | 6.55%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2025-5, Class M2                                                   | CUSIP: 92262KAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100216.95    | 0.01%             | 2055-12-25      | Variable      | 6.31%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2025-5, Class M3                                                   | CUSIP: 92262KAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      223944 | PA      | $223970.29    | 0.02%             | 2055-12-25      | Variable      | 6.70%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M1                                                   | CUSIP: 922955AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      898849 | PA      | $909340.16    | 0.09%             | 2055-02-25      | Variable      | 6.68%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M3                                                   | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105864 | PA      | $107340.74    | 0.01%             | 2055-02-25      | Variable      | 7.33%                 | No            | 2                  | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                               | Venture Global Plaquemines LNG LLC                                                                                | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102178.27    | 0.01%             | 2034-06-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                                | Venture Global Calcasieu Pass LLC                                                                                 | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101241.51    | 0.01%             | 2030-01-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                                                          | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99442.59     | 0.01%             | 2031-06-01      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103307.24    | 0.01%             | 2032-02-01      | Fixed         | 9.88%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      232000 | PA      | $204549.23    | 0.02%             | 2030-09-18      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      450000 | PA      | $443057.52    | 0.05%             | 2035-02-15      | Fixed         | 4.78%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      426000 | PA      | $430562.08    | 0.04%             | 2037-07-02      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      766000 | PA      | $756809.03    | 0.08%             | 2055-11-30      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VHK3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      676000 | PA      | $667179.42    | 0.07%             | 2065-11-30      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2025-12, Class A1LC                                                            | CUSIP: 92490FAE0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |      140000 | PA      | $140334.37    | 0.01%             | 2070-12-25      | Variable      | 5.11%                 | No            | 2                  | On Loan: No      |
| Versant Media Group, Inc.                                                        | Versant Media Group, Inc.                                                                                         | CUSIP: 925283AA1<br>LEI: 254900D2Q5F5F229PU30 | Long             | DBT              | CORP              | US        |        9000 | PA      | $9285.20      | 0.00%             | 2031-01-30      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2021-8, Class A1                                                               | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185352 | PA      | $171933.06    | 0.02%             | 2066-11-25      | Variable      | 2.82%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2023-2, Class B1                                                               | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      289000 | PA      | $289182.62    | 0.03%             | 2068-03-25      | Variable      | 7.42%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2023-3, Class B1                                                               | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100249.63    | 0.01%             | 2068-03-25      | Variable      | 7.71%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2025-5, Class A1                                                               | CUSIP: 92540XAA9<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |      402789 | PA      | $406008.67    | 0.04%             | 2070-06-25      | Variable      | 5.43%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2025-6, Class A1                                                               | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      943982 | PA      | $951908.55    | 0.10%             | 2070-07-25      | Variable      | 5.42%                 | No            | 2                  | On Loan: No      |
| Viasat, Inc.                                                                     | Viasat, Inc.                                                                                                      | CUSIP: 92552VAL4<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99856.07     | 0.01%             | 2027-04-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      137000 | PA      | $95291.38     | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      157000 | PA      | $129261.13    | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       60000 | PA      | $45292.05     | 0.00%             | 2044-04-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      180000 | PA      | $176978.64    | 0.02%             | 2026-10-04      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PBC5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $89691.00     | 0.01%             | 2057-02-28      | Variable      | 6.25%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      490000 | PA      | $471196.36    | 0.05%             | 2031-01-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      187000 | PA      | $186635.05    | 0.02%             | 2029-12-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      651000 | PA      | $646694.32    | 0.07%             | 2027-02-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      919000 | PA      | $920845.67    | 0.10%             | 2028-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1479000 | PA      | $1450251.06   | 0.15%             | 2029-02-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1285000 | PA      | $1300424.07   | 0.13%             | 2030-02-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      860000 | PA      | $865949.74    | 0.09%             | 2032-05-15      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101303.06    | 0.01%             | 2031-11-15      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      693000 | PA      | $697058.58    | 0.07%             | 2029-04-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Viper Energy Partners LLC                                                        | Viper Energy Partners LLC                                                                                         | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      616000 | PA      | $623065.52    | 0.06%             | 2030-08-01      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| Viper Energy Partners LLC                                                        | Viper Energy Partners LLC                                                                                         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      607000 | PA      | $619461.71    | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      526000 | PA      | $586141.79    | 0.06%             | 2033-10-15      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1276000 | PA      | $1342776.91   | 0.14%             | 2034-04-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      235000 | PA      | $236676.49    | 0.02%             | 2026-12-30      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1179000 | PA      | $1216919.00   | 0.13%             | 2034-12-30      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      190000 | PA      | $189923.01    | 0.02%             | 2030-10-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Vista Energy Argentina SAU                                                       | Vista Energy Argentina SAU                                                                                        | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |       32000 | PA      | $31660.16     | 0.00%             | 2035-12-10      | Fixed         | 7.62%                 | No            | 2                  | On Loan: No      |
| Vista Energy Argentina SAU                                                       | Vista Energy Argentina SAU                                                                                        | CUSIP: 92841RAB6<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |       92000 | PA      | $94070.00     | 0.01%             | 2033-06-10      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Vista Point Securitization Trust                                                 | Vista Point Securitization Trust, Series 2025-CES3, Class A1                                                      | CUSIP: 92842MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      377820 | PA      | $378333.89    | 0.04%             | 2055-11-25      | Variable      | 5.30%                 | No            | 2                  | On Loan: No      |
| Vodafone Group plc                                                               | Vodafone Group plc                                                                                                | CUSIP: 92857WBQ2<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |      100000 | PA      | $105931.24    | 0.01%             | 2079-04-04      | Variable      | 7.00%                 | No            | 2                  | On Loan: No      |
| Vmed O2 UK Financing I plc                                                       | Vmed O2 UK Financing I plc                                                                                        | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $184642.70    | 0.02%             | 2031-07-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| VoltaGrid LLC                                                                    | VoltaGrid LLC                                                                                                     | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |      119000 | PA      | $117898.74    | 0.01%             | 2030-11-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Voya CLO Ltd.                                                                    | Voya CLO Ltd., Series 2013-2A, Class A1R                                                                          | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |       17684 | PA      | $17683.76     | 0.00%             | 2031-04-25      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| Voya CLO Ltd.                                                                    | Voya CLO Ltd., Series 2018-1A, Class A1                                                                           | CUSIP: 92917AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       54772 | PA      | $54768.98     | 0.01%             | 2031-04-19      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| ITG Communications LLC                                                           | ITG Communications LLC, 1st Lien Term Loan                                                                        | CUSIP: 45045PAQ9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      236000 | PA      | $227740.00    | 0.02%             | 2031-07-09      | Variable      | 8.95%                 | No            | 2                  | On Loan: No      |
| West Deptford Energy Holdings LLC                                                | West Deptford Energy Holdings LLC, 1st Lien Term Loan                                                             | CUSIP: 95249CAF1<br>LEI: 549300HOEW2V8L64EU07 | Long             | LON              | CORP              | US        |       96515 | PA      | $95690.76     | 0.01%             | 2032-07-26      | Variable      | 7.72%                 | No            | 2                  | On Loan: No      |
| Warwick Capital CLO 5 Ltd.                                                       | Warwick Capital CLO 5 Ltd., Series 2024-5A, Class A1                                                              | CUSIP: 93656FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      679000 | PA      | $681301.81    | 0.07%             | 2038-01-20      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 1A1                        | CUSIP: 939344AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29563 | PA      | $28028.07     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 3A1                        | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19703 | PA      | $17421.31     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Asset-Backed Certificates Trust                                | Washington Mutual Asset-Backed Certificates Trust, Series 2006-HE4, Class 2A2                                     | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      114618 | PA      | $28858.73     | 0.00%             | 2036-09-25      | Floating      | 4.14%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                                 | Washington Mutual Asset-Backed Certificates Trust, Series 2006-HE5, Class 1A                                      | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       92226 | PA      | $71114.30     | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            | 2                  | On Loan: No      |
| ECL Entertainment LLC                                                            | ECL Entertainment LLC, 1st Lien Term Loan B                                                                       | CUSIP: 26826TAM5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      208116 | PA      | $207335.25    | 0.02%             | 2030-08-30      | Variable      | 6.72%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Escrow Bonds                                                   | Washington Mutual Escrow Bonds                                                                                    | CUSIP: 939MMIBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $0.03         | 0.00%             | 2026-07-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Washington Mutual Escrow Bonds                                                   | Washington Mutual Escrow Bonds                                                                                    | CUSIP: 939MMIBF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $0.03         | 0.00%             | 2009-11-06      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| Stakeholder Midstream LLC                                                        | Stakeholder Midstream LLC, 1st Lien Term Loan                                                                     | CUSIP: 85256HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      242392 | PA      | $243151.19    | 0.03%             | 2031-01-02      | Variable      | 8.04%                 | No            | 2                  | On Loan: No      |
| Peninsula Pacific Entertainment LLC                                              | Peninsula Pacific Entertainment LLC, Delayed Draw Facility 1st Lien Term Loan B                                   | CUSIP: 70715SAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       41764 | PA      | $41868.17     | 0.00%             | 2032-10-01      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Peninsula Pacific Entertainment LLC                                              | Peninsula Pacific Entertainment LLC, Facility 1st Lien Term Loan B                                                | CUSIP: 70715SAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      178192 | PA      | $178637.52    | 0.02%             | 2032-10-01      | Variable      | 8.42%                 | No            | 3                  | On Loan: No      |
| Wealthfront Corp.                                                                | Wealthfront Corp.                                                                                                 | CUSIP: 947002101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          30 | NS      | $407.70       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Weekley Homes LLC                                                                | Weekley Homes LLC                                                                                                 | CUSIP: 948565AD8<br>LEI: 5493009MTTQO8ZN53F13 | Long             | DBT              | CORP              | US        |       92000 | PA      | $90729.02     | 0.01%             | 2028-09-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Wellington Management CLO 4 Ltd.                                                 | Wellington Management CLO 4 Ltd., Series 2025-4A, Class A                                                         | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249694.80    | 0.03%             | 2038-04-18      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XD                                                 | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $5552.32      | 0.00%             | 2049-08-15      | Variable      | 1.21%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      738000 | PA      | $688802.58    | 0.07%             | 2033-03-02      | Variable      | 3.35%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       83000 | PA      | $71421.87     | 0.01%             | 2053-04-25      | Variable      | 4.61%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      445000 | PA      | $462992.30    | 0.05%             | 2034-04-24      | Variable      | 5.39%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      174000 | PA      | $181546.41    | 0.02%             | 2035-01-23      | Variable      | 5.50%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1139000 | PA      | $1162575.74   | 0.12%             | 2028-04-22      | Variable      | 5.71%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      778000 | PA      | $805634.51    | 0.08%             | 2031-01-24      | Variable      | 5.24%                 | No            | 2                  | On Loan: No      |
| WESCO Distribution, Inc.                                                         | WESCO Distribution, Inc.                                                                                          | CUSIP: 95081QAQ7<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103266.88    | 0.01%             | 2029-03-15      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| CPV Fairview LLC                                                                 | CPV Fairview LLC, 1st Lien Term Loan B                                                                            | CUSIP: 12620SAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       87780 | PA      | $88081.96     | 0.01%             | 2031-08-14      | Variable      | 6.17%                 | No            | 2                  | On Loan: No      |
| Hunterstown Generation LLC                                                       | Hunterstown Generation LLC, 1st Lien Term Loan                                                                    | CUSIP: 44579UAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       72818 | PA      | $72817.50     | 0.01%             | 2031-11-06      | Variable      | 7.00%                 | No            | 2                  | On Loan: No      |
| OH Partners LLC                                                                  | OH Partners LLC, 1st Lien Term Loan                                                                               | CUSIP: 67742MAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       69825 | PA      | $69650.44     | 0.01%             | 2032-11-12      | Variable      | 6.47%                 | No            | 3                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    16222000 | PA      | $-40611.78    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    16222000 | PA      | $41639.17     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  2836038248 | PA      | $-6284.52     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1158897844 | PA      | $-446.85      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  2627337302 | PA      | $-4488.80     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    12449000 | PA      | $26099.70     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    12449000 | PA      | $-18651.27    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDI                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      543459 | PA      | $5676.17      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Whitebox CLO II Ltd.                                                             | Whitebox CLO II Ltd., Series 2020-2A, Class A1R2                                                                  | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $451591.65    | 0.05%             | 2037-10-24      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Whitebox CLO I Ltd.                                                              | Whitebox CLO I Ltd., Series 2019-1A, Class A1R3                                                                   | CUSIP: 96467FBJ8<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249894.03    | 0.03%             | 2037-01-24      | Floating      | 5.02%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1124830188 | PA      | $25809.38     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1111832151 | PA      | $25651.30     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   887865962 | PA      | $21230.33     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |     2653717 | PA      | $-4256.07     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |     1307250 | PA      | $-2158.74     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |     5665000 | PA      | $-55992.64    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   702945000 | PA      | $-10847.82    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Williams Scotsman, Inc.                                                          | Williams Scotsman, Inc.                                                                                           | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103358.90    | 0.01%             | 2030-04-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDI                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     3770000 | PA      | $54849.32     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1284550750 | PA      | $-8618.87     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    11078466 | PA      | $-7179.86     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     3761344 | PA      | $-812.51      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    14636917 | PA      | $-1099.83     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     3616416 | PA      | $-19.46       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     7804222 | PA      | $-7379.41     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   153310852 | PA      | $2649.30      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     2144489 | PA      | $-3340.03     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    22583191 | PA      | $574.64       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    20073863 | PA      | $3074.10      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       32465 | PA      | $-93.72       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     2387268 | PA      | $-85.76       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     2952772 | PA      | $112.81       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1224000 | PA      | $-2199.27     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      969000 | PA      | $-3560.58     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     5235000 | PA      | $-3460.35     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    10830000 | PA      | $-837.18      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      319696 | PA      | $-2550.25     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    13260000 | PA      | $2626.72      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     1460600 | PA      | $-1256.11     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1090000 | PA      | $-782.46      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      727000 | PA      | $-469.02      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      285000 | PA      | $35.41        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     1146000 | PA      | $-982.47      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     2423591 | PA      | $215.18       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1981000 | PA      | $34.09        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1723000 | PA      | $-73.69       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   381366552 | PA      | $-2454.44     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   160193448 | PA      | $-1082.98     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    23051000 | PA      | $-1927.03     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |       52000 | PA      | $553.59       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      458000 | PA      | $-601.30      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      226000 | PA      | $-696.48      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   383174225 | PA      | $-2876.43     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1360000 | PA      | $-5322.15     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   344862973 | PA      | $-2651.90     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 10110160000 | PA      | $-16693.18    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  4884650000 | PA      | $-2523.86     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   151580000 | PA      | $-28751.90    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    75626000 | PA      | $-3364.44     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      658200 | PA      | $-711.65      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    20431000 | PA      | $8379.75      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | NDIRS                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     6740000 | PA      | $-1287.30     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    76035000 | PA      | $-435.51      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     2249834 | PA      | $810.58       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   149846000 | PA      | $-554.79      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    86809000 | PA      | $2608.96      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Windstream Services LLC                                                          | Windstream Services LLC                                                                                           | CUSIP: 97382BAB5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |        7000 | PA      | $7175.76      | 0.00%             | 2033-10-15      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| WOM Chile Holdco SpA                                                             | WOM Chile Holdco SpA                                                                                              | CUSIP: 97810KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |       46435 | PA      | $42488.03     | 0.00%             | 2032-04-01      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| WOM Mobile SA                                                                    | WOM Mobile SA                                                                                                     | CUSIP: 97810LAA7<br>LEI: 549300T600VUO0QJ3063 | Long             | DBT              | CORP              | CL        |        1928 | PA      | $1899.81      | 0.00%             | 2031-04-01      | Variable      | 11.00%                | No            | 2                  | On Loan: No      |
| XHR LP                                                                           | XHR LP                                                                                                            | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |       92000 | PA      | $90706.68     | 0.01%             | 2029-06-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| XPLR Infrastructure Operating Partners LP                                        | XPLR Infrastructure Operating Partners LP                                                                         | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104963.10    | 0.01%             | 2031-01-15      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Xerox Corp.                                                                      | Xerox Corp.                                                                                                       | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |      131000 | PA      | $125334.07    | 0.01%             | 2030-10-15      | Fixed         | 10.25%                | No            | 2                  | On Loan: No      |
| Xerox Corp.                                                                      | Xerox Corp.                                                                                                       | CUSIP: 984121CT8<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |       36000 | PA      | $29317.50     | 0.00%             | 2031-04-15      | Fixed         | 13.50%                | No            | 2                  | On Loan: No      |
| YPF SA                                                                           | YPF SA                                                                                                            | CUSIP: 984245AX8<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | NUSS              | AR        |       45000 | PA      | $47938.95     | 0.00%             | 2031-01-17      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Yale Mortgage Loan Trust                                                         | Yale Mortgage Loan Trust, Series 2007-1, Class A                                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       70576 | PA      | $21600.33     | 0.00%             | 2037-06-25      | Floating      | 4.25%                 | No            | 2                  | On Loan: No      |
| Yum! Brands, Inc.                                                                | Yum! Brands, Inc.                                                                                                 | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94594.16     | 0.01%             | 2031-03-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| EURO Parfums Fze                                                                 | EURO Parfums Fze, 1st Lien Term Loan                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |       48018 | PA      | $47778.24     | 0.00%             | 2030-01-01      | Variable      | 9.12%                 | No            | 3                  | On Loan: No      |
| Usavflow II Ltd.                                                                 | Usavflow II Ltd., 1st Lien Term Loan B                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |       87188 | PA      | $87736.78     | 0.01%             | 2031-06-30      | Variable      | 10.27%                | No            | 3                  | On Loan: No      |
| Cirkul Sr Sec                                                                    | Cirkul Sr Sec, 1st Lien Term Loan                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      196896 | PA      | $153145.74    | 0.02%             | 2028-04-23      | Variable      | 15.09%                | No            | 3                  | On Loan: No      |
| Euro Parfums Fze                                                                 | Euro Parfums Fze Upsize, 1st Lien Term Loan                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |       31687 | PA      | $31528.57     | 0.00%             | 2032-07-01      | Variable      | 9.12%                 | No            | 3                  | On Loan: No      |
| Washington Mutual Escrow Bonds                                                   | Washington Mutual Escrow Bonds                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      500000 | PA      | $0.05         | 0.00%             | 2026-07-15      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| Ballyrock CLO 32 Ltd.                                                            | Ballyrock CLO 32 Ltd.                                                                                             | CUSIP: N/A<br>LEI: 254900RL3S1UBVHQYH63       | Long             | ABS-O            | CORP              | KY        |      250000 | PA      | $249655.92    | 0.03%             | 2039-01-25      | Floating      | 4.88%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                                   | Lehman Brothers Holdings, Inc., Capital Trust VII                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | JP        |      185000 | PA      | $0.02         | 0.00%             | 2049-11-29      | Fixed         | 5.88%                 | No            | 3                  | On Loan: No      |
| AP Grange Holdings LLC                                                           | AP Grange Holdings LLC                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |      560000 | PA      | $598528.00    | 0.06%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           | 3                  | On Loan: No      |
| N/A                                                                              | Cirkul, Inc.                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         520 | NS      | $0.01         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| N/A                                                                              | Cirkul, Inc.                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         534 | NS      | $0.01         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Aethon I LP                                                                      | Aethon I LP                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      166405 | PA      | $165572.55    | 0.02%             | 2027-01-10      | Floating      | 0.00%                 | No            | 3                  | On Loan: No      |
| Elstree 1st plc                                                                  | Elstree 1st plc, Series 252-1ST, Class E                                                                          | CUSIP: N/A<br>LEI: 2138008Y99GI8Q29TP62       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $133572.21    | 0.01%             | 2065-10-21      | Floating      | 6.61%                 | No            | 2                  | On Loan: No      |
| Australian Dollar                                                                | Australian Dollar                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AU        |       37341 | OU      | $24919.55     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Czech Republic                                                                   | Czech Republic                                                                                                    | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |     1450000 | PA      | $68068.15     | 0.01%             | 2036-12-04      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| DP World Ltd.                                                                    | DP World Ltd.                                                                                                     | CUSIP: N/A<br>LEI: 549300M3U2DNF4QVSS04       | Long             | DBT              | CORP              | AE        |      270000 | PA      | $305353.80    | 0.03%             | 2037-07-02      | Fixed         | 6.85%                 | No            | 2                  | On Loan: No      |
| Republic of Poland                                                               | Republic of Poland                                                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     1016000 | PA      | $296779.54    | 0.03%             | 2029-04-25      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  4022000000 | PA      | $247762.44    | 0.03%             | 2027-05-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Federative Republic of Brazil                                                    | Notas do Tesouro Nacional                                                                                         | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |         595 | PA      | $477603.51    | 0.05%             | 2030-08-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |        1213 | PA      | $6797.06      | 0.00%             | 2029-05-31      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |   276000000 | PA      | $18577.66     | 0.00%             | 2032-06-15      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  1454000000 | PA      | $89915.30     | 0.01%             | 2033-05-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa                                                                                          | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    14973090 | PA      | $883996.50    | 0.09%             | 2031-02-28      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                               | GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A                                                     | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84854 | PA      | $74415.77     | 0.01%             | 2034-05-10      | Fixed         | 2.86%                 | No            | 2                  | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa                                                                                          | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     9477206 | PA      | $568530.03    | 0.06%             | 2037-01-31      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Czech Republic                                                                   | Czech Republic                                                                                                    | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |     4660000 | PA      | $218097.30    | 0.02%             | 2029-07-23      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa                                                                                          | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    10948176 | PA      | $675812.33    | 0.07%             | 2030-01-31      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Fantasia Holdings Group Co. Ltd.                                                 | Fantasia Holdings Group Co. Ltd.                                                                                  | CUSIP: N/A<br>LEI: 5493005JQNLB3I01JW62       | Long             | DBT              | CORP              | KY        |      200000 | PA      | $2000.00      | 0.00%             | 2024-04-17      | Fixed         | 11.75%                | No            | 2                  | On Loan: No      |
| Republic of Colombia                                                             | Republic of Colombia                                                                                              | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  2052100000 | PA      | $490770.40    | 0.05%             | 2027-11-03      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Federation of Malaysia                                                           | Malaysia Government Bond                                                                                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |      100000 | PA      | $24458.72     | 0.00%             | 2040-05-22      | Fixed         | 3.76%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: N/A<br>LEI: 6354001WLTJXOMEXPY07       | Long             | DBT              | NUSS              | UA        |       37000 | PA      | $27657.50     | 0.00%             | 2029-02-01      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: N/A<br>LEI: 6354001WLTJXOMEXPY07       | Long             | DBT              | NUSS              | UA        |       40000 | PA      | $23400.00     | 0.00%             | 2036-02-01      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Ukraine                                                                          | Ukraine Government Bond                                                                                           | CUSIP: N/A<br>LEI: 6354001WLTJXOMEXPY07       | Long             | DBT              | NUSS              | UA        |       49000 | PA      | $27562.50     | 0.00%             | 2036-02-01      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  2008000000 | PA      | $123285.78    | 0.01%             | 2032-04-15      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Vmed O2 UK Financing I plc                                                       | Vmed O2 UK Financing I plc                                                                                        | CUSIP: N/A<br>LEI: 213800MRR46ECNGZ7L69       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $118158.45    | 0.01%             | 2032-04-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Volkswagen International Finance NV                                              | Volkswagen International Finance NV                                                                               | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $115289.33    | 0.01%             | 2031-03-28      | Variable      | 4.38%                 | No            | 2                  | On Loan: No      |
| Becton Dickinson Euro Finance SARL                                               | Becton Dickinson Euro Finance SARL                                                                                | CUSIP: N/A<br>LEI: 549300W40NLZ25XUTH09       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $91333.01     | 0.01%             | 2036-02-12      | Fixed         | 1.21%                 | No            | 2                  | On Loan: No      |
| ContourGlobal Power Holdings SA                                                  | ContourGlobal Power Holdings SA                                                                                   | CUSIP: N/A<br>LEI: 549300O5AGIFK0PQ1516       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $120319.73    | 0.01%             | 2030-02-28      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Grand City Properties SA                                                         | Grand City Properties SA                                                                                          | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $115691.14    | 0.01%             | 2026-03-09      | Variable      | 1.50%                 | No            | 2                  | On Loan: No      |
| Worldline SA                                                                     | Worldline SA                                                                                                      | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $106538.99    | 0.01%             | 2027-06-30      | Fixed         | 0.88%                 | No            | 2                  | On Loan: No      |
| BCP V Modular Services Finance II plc                                            | BCP V Modular Services Finance II plc                                                                             | CUSIP: N/A<br>LEI: 213800227GGD6UI7PI97       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $126529.18    | 0.01%             | 2028-11-30      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Hungary                                                                          | Hungary Government Bond                                                                                           | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |    42450000 | PA      | $131507.67    | 0.01%             | 2035-10-24      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Czech Republic                                                                   | Czech Republic                                                                                                    | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |     3910000 | PA      | $192113.02    | 0.02%             | 2032-11-11      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Albion Financing 1 SARL                                                          | Albion Financing 1 SARL                                                                                           | CUSIP: N/A<br>LEI: 259400W9CABUZBRDLP97       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $121209.70    | 0.01%             | 2030-05-21      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Republic of Ecuador                                                              | Republic of Ecuador                                                                                               | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |       30000 | PA      | $26430.00     | 0.00%             | 2035-07-31      | Variable      | 6.90%                 | No            | 2                  | On Loan: No      |
| Republic of Ecuador                                                              | Republic of Ecuador                                                                                               | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |       59000 | PA      | $45826.42     | 0.00%             | 2040-07-31      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Hungary                                                                          | Hungary Government Bond                                                                                           | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |       34000 | PA      | $40895.19     | 0.00%             | 2029-07-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                                     | Oriental Republic of Uruguay                                                                                      | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1233720 | PA      | $35486.63     | 0.00%             | 2033-07-20      | Fixed         | 9.75%                 | No            | 2                  | On Loan: No      |
| Kingdom of Thailand                                                              | Kingdom of Thailand                                                                                               | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |      137000 | PA      | $5746.67      | 0.00%             | 2055-06-17      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Bayer AG                                                                         | Bayer AG                                                                                                          | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $361795.51    | 0.04%             | 2082-03-25      | Variable      | 5.38%                 | No            | 2                  | On Loan: No      |
| Ardonagh Finco Ltd.                                                              | Ardonagh Finco Ltd.                                                                                               | CUSIP: N/A<br>LEI: 254900D2T84O1K03BA28       | Long             | DBT              | CORP              | JE        |      200000 | PA      | $242249.23    | 0.02%             | 2031-02-15      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| Energean Israel Finance Ltd.                                                     | Energean Israel Finance Ltd.                                                                                      | CUSIP: 29290WAA5<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |       44964 | PA      | $48069.33     | 0.00%             | 2033-09-30      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Kapla Holding SAS                                                                | Kapla Holding SAS                                                                                                 | CUSIP: N/A<br>LEI: 894500PJ28XTH66K4X83       | Long             | DBT              | CORP              | FR        |      110000 | PA      | $131096.00    | 0.01%             | 2031-04-30      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| La Poste SA                                                                      | La Poste SA                                                                                                       | CUSIP: N/A<br>LEI: 9695000YG7TR7PAP0L59       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $121368.39    | 0.01%             | 2031-04-16      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Amber Finco plc                                                                  | Amber Finco plc                                                                                                   | CUSIP: N/A<br>LEI: 9845004C0870D380O790       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $123407.54    | 0.01%             | 2029-07-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| UK Logistics DAC                                                                 | UK Logistics DAC, Series 2024-1X, Class A                                                                         | CUSIP: N/A<br>LEI: 635400H22JMICKOJRJ36       | Long             | ABS-MBS          | CORP              | IE        |       64336 | PA      | $86743.52     | 0.01%             | 2034-05-17      | Floating      | 5.39%                 | No            | 2                  | On Loan: No      |
| Kingdom of Thailand                                                              | Kingdom of Thailand                                                                                               | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |     5912000 | PA      | $200309.93    | 0.02%             | 2035-03-17      | Fixed         | 2.41%                 | No            | 2                  | On Loan: No      |
| Cedacri SpA                                                                      | Cedacri SpA                                                                                                       | CUSIP: N/A<br>LEI: 815600E85FCD78B3EE61       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $118591.31    | 0.01%             | 2028-05-15      | Floating      | 6.69%                 | No            | 2                  | On Loan: No      |
| Heimstaden Bostad AB                                                             | Heimstaden Bostad AB                                                                                              | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |      100000 | PA      | $122822.66    | 0.01%             | 2029-12-04      | Variable      | 6.25%                 | No            | 2                  | On Loan: No      |
| Dolcetto Holdco SpA                                                              | Dolcetto Holdco SpA                                                                                               | CUSIP: N/A<br>LEI: 81560029E819F2CE4A42       | Long             | DBT              | CORP              | IT        |      200000 | PA      | $238561.73    | 0.02%             | 2032-07-14      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| EP Infrastructure A/S                                                            | EP Infrastructure A/S                                                                                             | CUSIP: N/A<br>LEI: 315700I4J1M1NKGWWY89       | Long             | DBT              | CORP              | CZ        |      265000 | PA      | $307338.95    | 0.03%             | 2033-02-27      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Turk Telekomunikasyon A/S                                                        | Turk Telekomunikasyon A/S                                                                                         | CUSIP: N/A<br>LEI: 789000A2TXOI10JZLF90       | Long             | DBT              | CORP              | TR        |      324000 | PA      | $337465.44    | 0.03%             | 2029-05-20      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Worldline SA                                                                     | Worldline SA                                                                                                      | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $105856.19    | 0.01%             | 2028-09-12      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Trident Energy Finance plc                                                       | Trident Energy Finance plc                                                                                        | CUSIP: N/A<br>LEI: 9845004ECK3FYO64I382       | Long             | DBT              | CORP              | GB        |      328000 | PA      | $333228.32    | 0.03%             | 2029-11-30      | Fixed         | 12.50%                | No            | 2                  | On Loan: No      |
| Air France-KLM                                                                   | Air France-KLM                                                                                                    | CUSIP: N/A<br>LEI: 969500AQW31GYO8JZD66       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $119044.93    | 0.01%             | 2030-05-21      | Variable      | 5.75%                 | No            | 2                  | On Loan: No      |
| Multiversity SpA                                                                 | Multiversity SpA                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | IT        |      100000 | PA      | $125503.97    | 0.01%             | 2031-05-17      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Republic of Turkiye (The)                                                        | Republic of Turkiye (The)                                                                                         | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     1466303 | PA      | $33807.61     | 0.00%             | 2028-11-08      | Fixed         | 31.08%                | No            | 2                  | On Loan: No      |
| ZF Europe Finance BV                                                             | ZF Europe Finance BV                                                                                              | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $121927.67    | 0.01%             | 2029-03-13      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Japan                                                                            | Japan Government Bond                                                                                             | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    37000000 | PA      | $154325.72    | 0.02%             | 2052-09-20      | Fixed         | 1.40%                 | No            | 2                  | On Loan: No      |
| Republic of Turkiye (The)                                                        | Republic of Turkiye (The)                                                                                         | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     2110000 | PA      | $47481.39     | 0.00%             | 2033-10-05      | Fixed         | 26.20%                | No            | 2                  | On Loan: No      |
| Adler Financing SARL                                                             | ADLER Financing SARL                                                                                              | CUSIP: N/A<br>LEI: 213800BAQB59IVKP7S93       | Long             | DBT              | CORP              | LU        |      171814 | PA      | $221155.56    | 0.02%             | 2028-12-31      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Japan                                                                            | Japan Government Bond                                                                                             | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   202750000 | PA      | $1063104.30   | 0.11%             | 2055-03-20      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                            | NextEra Energy Capital Holdings, Inc.                                                                             | CUSIP: 65339KDU1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      800000 | PA      | $936963.46    | 0.10%             | 2056-05-15      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| Tabcorp Finance Pty. Ltd.                                                        | Tabcorp Finance Pty. Ltd.                                                                                         | CUSIP: N/A<br>LEI: 213800DP7KVM374ANX97       | Long             | DBT              | CORP              | AU        |      250000 | PA      | $164700.31    | 0.02%             | 2031-05-28      | Fixed         | 5.99%                 | No            | 2                  | On Loan: No      |
| Vivion Investments SARL                                                          | Vivion Investments Sarl                                                                                           | CUSIP: N/A<br>LEI: 529900SJ7X71ESJK9N76       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $113186.32    | 0.01%             | 2030-06-08      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Puma International Financing SA                                                  | Puma International Financing SA                                                                                   | CUSIP: N/A<br>LEI: 222100YFBPO7IDRUBR17       | Long             | DBT              | CORP              | LU        |      400000 | PA      | $411408.00    | 0.04%             | 2029-04-25      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| Vivion Investments SARL                                                          | Vivion Investments Sarl                                                                                           | CUSIP: N/A<br>LEI: 529900SJ7X71ESJK9N76       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $108773.10    | 0.01%             | 2031-03-08      | Variable      | 8.12%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                                 | Republic of Peru                                                                                                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      133000 | PA      | $43121.82     | 0.00%             | 2039-08-12      | Fixed         | 7.60%                 | No            | 2                  | On Loan: No      |
| New Immo Holding SA                                                              | New Immo Holding SA                                                                                               | CUSIP: N/A<br>LEI: 5493007LOTJ0I8E94R81       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $121563.08    | 0.01%             | 2028-04-17      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| MVM Energetika Zrt.                                                              | MVM Energetika Zrt.                                                                                               | CUSIP: N/A<br>LEI: 529900ELI5AQ9F74PF85       | Long             | DBT              | NUSS              | HU        |      396000 | PA      | $417780.00    | 0.04%             | 2031-03-13      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Ephios Subco 3 SARL                                                              | Ephios Subco 3 SARL                                                                                               | CUSIP: N/A<br>LEI: 213800E4EG6VFUFVEH64       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $125229.57    | 0.01%             | 2031-01-31      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Republic of Poland                                                               | Republic of Poland                                                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |      300039 | PA      | $75910.43     | 0.01%             | 2036-08-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Wintershall Dea Finance 2 BV                                                     | Wintershall Dea Finance 2 BV                                                                                      | CUSIP: N/A<br>LEI: 529900DV88FUQZSVVL48       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $119888.97    | 0.01%             | 2030-05-08      | Variable      | 6.12%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  3983000000 | PA      | $252117.33    | 0.03%             | 2033-02-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Democratic Socialist Republic of Sri Lanka                                       | Sri Lanka Government Bond                                                                                         | CUSIP: N/A<br>LEI: 254900IG6Y30I2QE2R92       | Long             | DBT              | NUSS              | LK        |       32000 | PA      | $24273.43     | 0.00%             | 2035-06-15      | Variable      | 3.60%                 | No            | 2                  | On Loan: No      |
| Democratic Socialist Republic of Sri Lanka                                       | Sri Lanka Government Bond                                                                                         | CUSIP: N/A<br>LEI: 254900IG6Y30I2QE2R92       | Long             | DBT              | NUSS              | LK        |        7300 | PA      | $6989.75      | 0.00%             | 2028-04-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| EMRLD Borrower LP                                                                | EMRLD Borrower LP                                                                                                 | CUSIP: N/A<br>LEI: 5493000GJYE7GAQCUC61       | Long             | DBT              | CORP              | US        |      100000 | PA      | $122445.19    | 0.01%             | 2030-12-15      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Fibercop SpA                                                                     | Fibercop SpA                                                                                                      | CUSIP: N/A<br>LEI: 8156007022402E114A31       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $119415.68    | 0.01%             | 2030-06-30      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  2485000000 | PA      | $159181.16    | 0.02%             | 2038-06-15      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Bellis Acquisition Co. plc                                                       | Bellis Acquisition Co. plc                                                                                        | CUSIP: N/A<br>LEI: 259400CYE2267UB4A481       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $113888.91    | 0.01%             | 2031-07-01      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Biffa Group Holdings Ltd.                                                        | Biffa Group Holdings Ltd.                                                                                         | CUSIP: N/A<br>LEI: 21380012LWLXNMXB8I44       | Long             | DBT              | CORP              | JE        |      100000 | PA      | $117180.31    | 0.01%             | 2031-06-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Republic of India                                                                | Republic of India                                                                                                 | CUSIP: N/A<br>LEI: 335800IV7VCDQGIOI391       | Long             | DBT              | NUSS              | IN        |     4000000 | PA      | $44542.86     | 0.00%             | 2053-06-19      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| Republic of Ghana                                                                | Republic of Ghana                                                                                                 | CUSIP: N/A<br>LEI: 213800PP4399SNNXZ126       | Long             | DBT              | NUSS              | GH        |       28000 | PA      | $25556.42     | 0.00%             | 2035-07-03      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |       92931 | PA      | $515345.81    | 0.05%             | 2026-09-03      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| VF Corp.                                                                         | VF Corp.                                                                                                          | CUSIP: 918204BE7<br>LEI: CWAJJ9DJ5Z7P057HV541 | Long             | DBT              | CORP              | US        |      100000 | PA      | $117915.37    | 0.01%             | 2029-03-07      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| TAV Havalimanlari Holding A/S                                                    | TAV Havalimanlari Holding A/S                                                                                     | CUSIP: N/A<br>LEI: 789000PBM9TT5D88M597       | Long             | DBT              | CORP              | TR        |      317000 | PA      | $330472.50    | 0.03%             | 2028-12-07      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Iliad Holding SAS                                                                | Iliad Holding SAS                                                                                                 | CUSIP: N/A<br>LEI: 9695009BGMXB527HV965       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $125358.69    | 0.01%             | 2031-04-15      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| Ithaca Energy North Sea plc                                                      | Ithaca Energy North Sea plc                                                                                       | CUSIP: N/A<br>LEI: 213800BMMUN3AKWBIO91       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $118123.45    | 0.01%             | 2031-10-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Progroup AG                                                                      | Progroup AG                                                                                                       | CUSIP: N/A<br>LEI: 529900YI5W5TQ8F2FP82       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $240259.65    | 0.02%             | 2031-04-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      114628 | PA      | $592301.96    | 0.06%             | 2033-05-26      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| CD&R Firefly Bidco plc                                                           | CD&R Firefly Bidco plc                                                                                            | CUSIP: N/A<br>LEI: 213800OAU5VX61DYZ558       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $141035.08    | 0.01%             | 2029-04-30      | Fixed         | 8.62%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                                 | Republic of Peru                                                                                                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      410000 | PA      | $131384.26    | 0.01%             | 2035-08-12      | Fixed         | 6.85%                 | No            | 2                  | On Loan: No      |
| Federative Republic of Brazil                                                    | Letras do Tesouro Nacional                                                                                        | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |         804 | PA      | $137242.90    | 0.01%             | 2026-07-01      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Picard Groupe SAS                                                                | Picard Groupe SAS                                                                                                 | CUSIP: N/A<br>LEI: 969500C0PA29TV19CT55       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $122558.35    | 0.01%             | 2029-07-01      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Worldline SA                                                                     | Worldline SA                                                                                                      | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $103719.67    | 0.01%             | 2029-11-27      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Telefonica Europe BV                                                             | Telefonica Europe BV                                                                                              | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $129850.13    | 0.01%             | 2031-06-07      | Variable      | 6.75%                 | No            | 2                  | On Loan: No      |
| Electricite de France SA                                                         | Electricite de France SA                                                                                          | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | NUSS              | FR        |      200000 | PA      | $244681.33    | 0.03%             | 2032-06-17      | Variable      | 5.62%                 | No            | 2                  | On Loan: No      |
| Aramark International Finance SARL                                               | Aramark International Finance SARL                                                                                | CUSIP: N/A<br>LEI: 5493006HLPNGDDC12P30       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $117427.16    | 0.01%             | 2033-04-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Virgin Media O2 Vendor Financing Notes V DAC                                     | Virgin Media O2 Vendor Financing Notes V DAC                                                                      | CUSIP: N/A<br>LEI: 635400ASSEVCXAPVGC36       | Long             | DBT              | CORP              | IE        |      100000 | PA      | $135216.18    | 0.01%             | 2032-03-15      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Republic of Poland                                                               | Republic of Poland                                                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |      572000 | PA      | $162107.03    | 0.02%             | 2029-07-25      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| IRB Infrastructure Developers Ltd.                                               | IRB Infrastructure Developers Ltd.                                                                                | CUSIP: N/A<br>LEI: 335800XGO3AITGW6AK27       | Long             | DBT              | CORP              | IN        |      700000 | PA      | $723625.00    | 0.07%             | 2032-03-11      | Fixed         | 7.11%                 | No            | 2                  | On Loan: No      |
| OEG Finance plc                                                                  | OEG Finance plc                                                                                                   | CUSIP: N/A<br>LEI: 254900KMBHWF9UK63G44       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $122844.76    | 0.01%             | 2029-09-27      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Vivion Investments SARL                                                          | Vivion Investments SARL                                                                                           | CUSIP: N/A<br>LEI: 529900SJ7X71ESJK9N76       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $117179.70    | 0.01%             | 2029-02-28      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Republic of Poland                                                               | Republic of Poland                                                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |      654000 | PA      | $181480.45    | 0.02%             | 2034-10-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Summer BC Holdco B SARL                                                          | Summer BC Holdco B SARL                                                                                           | CUSIP: N/A<br>LEI: 984500NRF59D5DB9B654       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $110164.07    | 0.01%             | 2030-02-15      | Floating      | 6.31%                 | No            | 2                  | On Loan: No      |
| Romania                                                                          | Romania Government Bond                                                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |       42000 | PA      | $50435.13     | 0.01%             | 2032-05-30      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| FTA Consumo Santander                                                            | FTA Consumo Santander, Series 7, Class B                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | ES        |       71375 | PA      | $84127.68     | 0.01%             | 2038-07-20      | Floating      | 3.30%                 | No            | 2                  | On Loan: No      |
| FTA Consumo Santander                                                            | FTA Consumo Santander, Series 7, Class C                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | ES        |       71375 | PA      | $84064.35     | 0.01%             | 2038-07-20      | Floating      | 3.65%                 | No            | 2                  | On Loan: No      |
| Brazilian Real                                                                   | Brazilian Real                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | BR        |       17035 | OU      | $3108.68      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: N/A<br>LEI: 5493006ORUSIL88JOE18       | Long             | DBT              | CORP              | US        |      400000 | PA      | $500184.09    | 0.05%             | 2031-05-16      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| APCOA Group GmbH                                                                 | APCOA Group GmbH                                                                                                  | CUSIP: N/A<br>LEI: 529900H8FIYAOV5FUW68       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $119609.20    | 0.01%             | 2031-04-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Dynamo Newco II GmbH                                                             | Dynamo Newco II GmbH                                                                                              | CUSIP: N/A<br>LEI: 391200FDSPYB8FKV7F97       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $119699.34    | 0.01%             | 2031-10-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| ZF Europe Finance BV                                                             | ZF Europe Finance BV                                                                                              | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $123805.97    | 0.01%             | 2030-06-12      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Allwyn Entertainment Financing UK plc                                            | Allwyn Entertainment Financing UK plc                                                                             | CUSIP: N/A<br>LEI: 315700J7ZTIN8XGCX365       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $115756.85    | 0.01%             | 2031-02-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Booking Holdings, Inc.                                                           | Booking Holdings, Inc.                                                                                            | CUSIP: 09857LBE7<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |      266000 | PA      | $308573.74    | 0.03%             | 2032-11-21      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Credit Agricole SA                                                               | Credit Agricole SA                                                                                                | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $120550.84    | 0.01%             | 2035-03-23      | Variable      | 5.88%                 | No            | 2                  | On Loan: No      |
| Boots Group Finco LP                                                             | Boots Group Finco LP                                                                                              | CUSIP: N/A<br>LEI: 254900YVLYOVF1PF1N93       | Long             | DBT              | CORP              | US        |      100000 | PA      | $139401.27    | 0.01%             | 2032-08-31      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Grifols SA                                                                       | Grifols SA                                                                                                        | CUSIP: N/A<br>LEI: 959800HSSNXWRKBK4N60       | Long             | DBT              | CORP              | ES        |      100000 | PA      | $123432.09    | 0.01%             | 2030-05-01      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| Kingdom of Thailand                                                              | Kingdom of Thailand                                                                                               | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |     6300000 | PA      | $221609.82    | 0.02%             | 2045-06-17      | Fixed         | 2.98%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: N/A<br>LEI: 529900RAHBALMYIJ3T08       | Long             | DBT              | NUSS              | PH        |    27800000 | PA      | $483466.35    | 0.05%             | 2035-04-28      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| OCP SA                                                                           | OCP SA                                                                                                            | CUSIP: N/A<br>LEI: 213800D26TAPVTCVWG40       | Long             | DBT              | NUSS              | MA        |      321000 | PA      | $346182.45    | 0.04%             | 2034-05-02      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Mahle GmbH                                                                       | Mahle GmbH                                                                                                        | CUSIP: N/A<br>LEI: 52990098TR1QJBWIYG58       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $122196.66    | 0.01%             | 2031-05-02      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: N/A<br>LEI: 529900RAHBALMYIJ3T08       | Long             | DBT              | NUSS              | PH        |    10260000 | PA      | $178253.81    | 0.02%             | 2030-07-27      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Kingdom of Thailand                                                              | Kingdom of Thailand                                                                                               | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    19264000 | PA      | $639218.71    | 0.07%             | 2029-11-17      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| People's Republic of China                                                       | People's Republic of China                                                                                        | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |      940000 | PA      | $137495.17    | 0.01%             | 2034-08-25      | Fixed         | 2.11%                 | No            | 2                  | On Loan: No      |
| Republic of Turkiye (The)                                                        | Republic of Turkiye (The)                                                                                         | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     1852677 | PA      | $42068.53     | 0.00%             | 2029-09-12      | Fixed         | 30.00%                | No            | 2                  | On Loan: No      |
| Goldstory SAS                                                                    | Goldstory SAS                                                                                                     | CUSIP: N/A<br>LEI: 969500NWR67ONUJD4A26       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $121907.01    | 0.01%             | 2030-02-01      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Cirsa Finance International SARL                                                 | Cirsa Finance International SARL                                                                                  | CUSIP: N/A<br>LEI: 254900KUJN6DHWH2K029       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $118562.61    | 0.01%             | 2032-10-15      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| Deuce Finco plc                                                                  | Deuce Finco plc                                                                                                   | CUSIP: N/A<br>LEI: 9845007DA2BC863E8437       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $136137.53    | 0.01%             | 2031-11-20      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Schaeffler AG                                                                    | Schaeffler AG                                                                                                     | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $123906.33    | 0.01%             | 2031-04-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Heathrow Finance plc                                                             | Heathrow Finance plc                                                                                              | CUSIP: N/A<br>LEI: 549300F740QSGMPHQJ60       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $135538.97    | 0.01%             | 2031-03-01      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| Ardagh Group SA                                                                  | Ardagh Group SA                                                                                                   | CUSIP: N/A<br>LEI: 6354006L1NWUUOPYX274       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $107742.28    | 0.01%             | 2030-12-01      | Floating      | 12.00%                | No            | 2                  | On Loan: No      |
| Alstria Office AG                                                                | Alstria Office AG                                                                                                 | CUSIP: N/A<br>LEI: 529900QIJIGPI0DRL085       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $120292.06    | 0.01%             | 2031-03-20      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Republic of India                                                                | Republic of India                                                                                                 | CUSIP: N/A<br>LEI: 335800IV7VCDQGIOI391       | Long             | DBT              | NUSS              | IN        |    15790000 | PA      | $177258.39    | 0.02%             | 2034-10-07      | Fixed         | 6.79%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: N/A<br>LEI: 529900RAHBALMYIJ3T08       | Long             | DBT              | NUSS              | PH        |     7350000 | PA      | $127334.29    | 0.01%             | 2029-02-28      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| GLP Pte. Ltd.                                                                    | GLP Pte. Ltd.                                                                                                     | CUSIP: N/A<br>LEI: 254900PC2NNG9BLIJO15       | Long             | DBT              | CORP              | SG        |      200000 | PA      | $204250.00    | 0.02%             | 2028-05-20      | Fixed         | 9.75%                 | No            | 2                  | On Loan: No      |
| Federation of Malaysia                                                           | Malaysia Government Bond                                                                                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     1200000 | PA      | $304216.86    | 0.03%             | 2039-04-18      | Fixed         | 4.05%                 | No            | 2                  | On Loan: No      |
| Republic of India                                                                | Republic of India                                                                                                 | CUSIP: N/A<br>LEI: 335800IV7VCDQGIOI391       | Long             | DBT              | NUSS              | IN        |     7700000 | PA      | $83314.42     | 0.01%             | 2054-08-05      | Fixed         | 7.09%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                                 | Republic of Peru                                                                                                  | CUSIP: 715638EA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      132000 | PA      | $42797.60     | 0.00%             | 2039-08-12      | Fixed         | 7.60%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |   768000000 | PA      | $48339.56     | 0.00%             | 2035-07-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Gruenenthal GmbH                                                                 | Gruenenthal GmbH                                                                                                  | CUSIP: N/A<br>LEI: 529900SH895E31PGLA72       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $118752.36    | 0.01%             | 2031-11-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |      199000 | PA      | $237690.31    | 0.02%             | 2036-04-29      | Variable      | 4.11%                 | No            | 2                  | On Loan: No      |
| Dominican Republic                                                               | Dominican Republic Government Bond                                                                                | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     8000000 | PA      | $135915.00    | 0.01%             | 2037-03-15      | Fixed         | 10.50%                | No            | 2                  | On Loan: No      |
| Ocado Group plc                                                                  | Ocado Group plc                                                                                                   | CUSIP: N/A<br>LEI: 213800LO8F61YB8MBC74       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $135251.78    | 0.01%             | 2029-08-08      | Fixed         | 10.50%                | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |      300000 | PA      | $360942.24    | 0.04%             | 2032-07-22      | Variable      | 3.90%                 | No            | 2                  | On Loan: No      |
| Federative Republic of Brazil                                                    | Letras do Tesouro Nacional Treasury Bills                                                                         | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |        3463 | PA      | $610464.08    | 0.06%             | 2026-04-01      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Republic of Poland                                                               | Republic of Poland                                                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |      640000 | PA      | $182447.69    | 0.02%             | 2030-01-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| California Buyer Ltd.                                                            | California Buyer Ltd.                                                                                             | CUSIP: N/A<br>LEI: 254900V5SMQ1UP1CLC26       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $120049.02    | 0.01%             | 2032-02-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Almaviva-The Italian Innovation Co. SpA                                          | Almaviva-The Italian Innovation Co. SpA                                                                           | CUSIP: N/A<br>LEI: 815600A862DA4DD9E211       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $118494.90    | 0.01%             | 2030-10-30      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Forvia SE                                                                        | Forvia SE                                                                                                         | CUSIP: N/A<br>LEI: 969500F0VMZLK2IULV85       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $122473.47    | 0.01%             | 2030-06-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Romania                                                                          | Romania Government Bond                                                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |       10000 | PA      | $11869.52     | 0.00%             | 2033-06-07      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Romania                                                                          | Romania Government Bond                                                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |       10000 | PA      | $11814.40     | 0.00%             | 2037-10-07      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa                                                                                          | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |      200000 | PA      | $214588.00    | 0.02%             | 2036-11-19      | Fixed         | 7.10%                 | No            | 2                  | On Loan: No      |
| Romania                                                                          | Romania Government Bond                                                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |        9000 | PA      | $10506.98     | 0.00%             | 2045-10-07      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Edge Finco plc                                                                   | Edge Finco plc                                                                                                    | CUSIP: N/A<br>LEI: 648835NI8LJE5190NT73       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $143221.59    | 0.01%             | 2031-08-15      | Fixed         | 8.12%                 | No            | 2                  | On Loan: No      |
| IHO Verwaltungs GmbH                                                             | IHO Verwaltungs GmbH                                                                                              | CUSIP: N/A<br>LEI: 529900JL0HDVGZMUJF32       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $253756.61    | 0.03%             | 2031-11-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Bubbles Bidco SpA                                                                | Bubbles Bidco SpA                                                                                                 | CUSIP: N/A<br>LEI: 815600073942740CEB24       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $120565.91    | 0.01%             | 2031-09-30      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| MPT Operating Partnership LP                                                     | MPT Operating Partnership LP                                                                                      | CUSIP: N/A<br>LEI: WUQXXXF7PXTUPGROE843       | Long             | DBT              | CORP              | US        |      100000 | PA      | $122120.14    | 0.01%             | 2032-02-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Atos SE                                                                          | Atos SE                                                                                                           | CUSIP: N/A<br>LEI: 5493001EZOOA66PTBR68       | Long             | SN               | CORP              | FR        |      205520 | PA      | $276716.09    | 0.03%             | 2029-12-18      | Variable      | 9.36%                 | No            | 2                  | On Loan: No      |
| Deutsche Lufthansa AG                                                            | Deutsche Lufthansa AG                                                                                             | CUSIP: N/A<br>LEI: 529900PH63HYJ86ASW55       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $121960.49    | 0.01%             | 2055-01-15      | Variable      | 5.25%                 | No            | 2                  | On Loan: No      |
| WPP Finance 2013                                                                 | WPP Finance 2013                                                                                                  | CUSIP: N/A<br>LEI: 549300L84EKSLWWPGI24       | Long             | DBT              | CORP              | GB        |      300000 | PA      | $348041.94    | 0.04%             | 2031-06-09      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Japan                                                                            | Japan Government Bond                                                                                             | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   349850000 | PA      | $1793427.94   | 0.19%             | 2054-12-20      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| IPD 3 BV                                                                         | IPD 3 BV                                                                                                          | CUSIP: N/A<br>LEI: 724500RBP2J59JMQB629       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $118867.27    | 0.01%             | 2031-06-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Nidda Healthcare Holding GmbH                                                    | Nidda Healthcare Holding GmbH                                                                                     | CUSIP: N/A<br>LEI: 549300Q89C4WAO6L0L19       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $120093.58    | 0.01%             | 2030-10-23      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |       20700 | PA      | $106481.57    | 0.01%             | 2036-02-21      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| RCI Banque SA                                                                    | RCI Banque SA                                                                                                     | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $119768.67    | 0.01%             | 2037-03-24      | Variable      | 4.75%                 | No            | 2                  | On Loan: No      |
| Clarios Global LP                                                                | Clarios Global LP                                                                                                 | CUSIP: N/A<br>LEI: 549300474L1ZLXZY2P98       | Long             | DBT              | CORP              | US        |      100000 | PA      | $119193.39    | 0.01%             | 2031-06-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| People's Republic of China                                                       | People's Republic of China                                                                                        | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |      560000 | PA      | $75134.49     | 0.01%             | 2045-07-15      | Fixed         | 1.92%                 | No            | 2                  | On Loan: No      |
| Itelyum Regeneration SpA                                                         | Itelyum Regeneration Spa                                                                                          | CUSIP: N/A<br>LEI: 815600051FBC23AA8A45       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $117135.90    | 0.01%             | 2030-04-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Iron Mountain, Inc.                                                              | Iron Mountain, Inc.                                                                                               | CUSIP: N/A<br>LEI: SQL3F6CKNNBM3SQGHX24       | Long             | DBT              | CORP              | US        |      100000 | PA      | $114279.27    | 0.01%             | 2034-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Beach Acquisition Bidco LLC                                                      | Beach Acquisition Bidco LLC                                                                                       | CUSIP: N/A<br>LEI: 254900F2FNX3GBTB6202       | Long             | DBT              | CORP              | US        |      100000 | PA      | $119641.54    | 0.01%             | 2032-07-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Maxam Prill SARL                                                                 | Maxam Prill SARL                                                                                                  | CUSIP: N/A<br>LEI: 984500C4C5B820A6B691       | Long             | DBT              | CORP              | LU        |      200000 | PA      | $240136.42    | 0.02%             | 2030-07-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Arab Republic of Egypt                                                           | Arab Republic of Egypt                                                                                            | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     1300000 | PA      | $28067.19     | 0.00%             | 2028-08-05      | Fixed         | 24.44%                | No            | 2                  | On Loan: No      |
| Hill FL BV                                                                       | Hill FL BV, Series 2025-1FL, Class E                                                                              | CUSIP: N/A<br>LEI: 72450069R7MTUFTXDC59       | Long             | ABS-O            | CORP              | NL        |      138000 | PA      | $162236.79    | 0.02%             | 2032-10-18      | Floating      | 4.58%                 | No            | 2                  | On Loan: No      |
| Vonovia SE                                                                       | Vonovia SE, Series B                                                                                              | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $113583.08    | 0.01%             | 2032-05-20      | Fixed         | 0.88%                 | No            | 2                  | On Loan: No      |
| ION Platform Finance SARL                                                        | ION Platform Finance SARL                                                                                         | CUSIP: N/A<br>LEI: 6488IU1F9M51Z3P60R77       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $112412.11    | 0.01%             | 2032-09-30      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| ION Platform Finance SARL                                                        | ION Platform Finance SARL                                                                                         | CUSIP: N/A<br>LEI: 6488IU1F9M51Z3P60R77       | Long             | DBT              | CORP              | LU        |      104000 | PA      | $118272.59    | 0.01%             | 2030-09-30      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Republic of Poland                                                               | Republic of Poland                                                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     1222000 | PA      | $336224.45    | 0.03%             | 2035-10-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Household Capital RMBS                                                           | Household Capital RMBS, Series 2025-1, Class A                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AU        |      167601 | PA      | $111661.77    | 0.01%             | 2087-07-21      | Floating      | 5.39%                 | No            | 2                  | On Loan: No      |
| Paprec Holding SA                                                                | Paprec Holding SA                                                                                                 | CUSIP: N/A<br>LEI: 969500ASAFSVN9KVC873       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $118080.43    | 0.01%             | 2030-07-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      368000 | PA      | $439824.38    | 0.05%             | 2036-05-22      | Variable      | 4.10%                 | No            | 2                  | On Loan: No      |
| Arab Republic of Egypt                                                           | Arab Republic of Egypt                                                                                            | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     4911000 | PA      | $104366.80    | 0.01%             | 2027-10-01      | Fixed         | 24.46%                | No            | 2                  | On Loan: No      |
| Deepocean Ltd.                                                                   | Deepocean Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 213800OYKN2J6ZFIFU40       | Long             | DBT              | CORP              | JE        |      100000 | PA      | $120573.38    | 0.01%             | 2031-04-08      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Opal Bidco SAS                                                                   | Opal Bidco SAS                                                                                                    | CUSIP: N/A<br>LEI: 969500R96XT7XY2UJ564       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $121231.73    | 0.01%             | 2032-03-31      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Brenntag Finance BV                                                              | Brenntag Finance BV                                                                                               | CUSIP: N/A<br>LEI: 724500LOJA6NM43PH951       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $116041.63    | 0.01%             | 2031-10-02      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: N/A<br>LEI: 529900RAHBALMYIJ3T08       | Long             | DBT              | NUSS              | PH        |    76800000 | PA      | $1313262.31   | 0.14%             | 2030-08-20      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Sunrise FinCo. I BV                                                              | Sunrise FinCo. I BV                                                                                               | CUSIP: N/A<br>LEI: 213800MNFBDEQRS6HZ22       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $118698.70    | 0.01%             | 2032-05-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Republic of Colombia                                                             | Republic of Colombia                                                                                              | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  2356500000 | PA      | $510935.66    | 0.05%             | 2030-09-18      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| Essendi SA                                                                       | Essendi SA                                                                                                        | CUSIP: N/A<br>LEI: 2221000MD2YP7WLTNC52       | Long             | DBT              | CORP              | LU        |      200000 | PA      | $240908.67    | 0.02%             | 2032-05-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Shift4 Payments LLC                                                              | Shift4 Payments LLC                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      100000 | PA      | $120349.72    | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| VZ Secured Financing BV                                                          | VZ Secured Financing BV                                                                                           | CUSIP: N/A<br>LEI: 549300MG611MYCOWY949       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $115216.61    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Mehilainen Yhtiot Oy                                                             | Mehilainen Yhtiot Oy                                                                                              | CUSIP: N/A<br>LEI: 2138006X78HGYRHS5865       | Long             | DBT              | CORP              | FI        |      100000 | PA      | $119303.92    | 0.01%             | 2032-06-30      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| BCP V Modular Services Finance II plc                                            | BCP V Modular Services Finance II plc                                                                             | CUSIP: N/A<br>LEI: 213800227GGD6UI7PI97       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $109569.22    | 0.01%             | 2031-07-10      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| SoftBank Group Corp.                                                             | SoftBank Group Corp.                                                                                              | CUSIP: N/A<br>LEI: 5493003BZYYYCDIO0R13       | Long             | DBT              | CORP              | JP        |      200000 | PA      | $241051.09    | 0.02%             | 2033-07-10      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| SoftBank Group Corp.                                                             | SoftBank Group Corp.                                                                                              | CUSIP: N/A<br>LEI: 5493003BZYYYCDIO0R13       | Long             | DBT              | CORP              | JP        |      100000 | PA      | $119304.98    | 0.01%             | 2029-10-10      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| SRC Sukuk Ltd.                                                                   | SRC Sukuk Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 254900F2OG3526JLAV10       | Long             | DBT              | NUSS              | KY        |      200000 | PA      | $199920.50    | 0.02%             | 2029-04-02      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Market Bidco Finco plc                                                           | Market Bidco Finco plc                                                                                            | CUSIP: N/A<br>LEI: 549300UGYX6EBVHRVG53       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $116238.17    | 0.01%             | 2031-01-31      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Garfunkelux Holdco 3 SA                                                          | Garfunkelux Holdco 3 SA                                                                                           | CUSIP: N/A<br>LEI: 2221007QVSNJV7EWBX69       | Long             | DBT              | CORP              | LU        |       14262 | PA      | $16045.23     | 0.00%             | 2028-09-01      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| E.ON International Finance BV                                                    | E.ON International Finance BV                                                                                     | CUSIP: N/A<br>LEI: 549300TG53AWJ719M814       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $346982.50    | 0.04%             | 2035-09-03      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Froneri Lux FinCo. SARL                                                          | Froneri Lux FinCo. SARL                                                                                           | CUSIP: N/A<br>LEI: 9845005YBZ75E5AA3B94       | Long             | DBT              | CORP              | LU        |      200000 | PA      | $236805.01    | 0.02%             | 2032-08-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Loxam SAS                                                                        | Loxam SAS                                                                                                         | CUSIP: N/A<br>LEI: 969500BNA2YRNE1R5K91       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $117567.45    | 0.01%             | 2031-02-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Nissan Motor Co. Ltd.                                                            | Nissan Motor Co. Ltd.                                                                                             | CUSIP: N/A<br>LEI: 353800DRBDH1LUTNAY26       | Long             | DBT              | CORP              | JP        |      300000 | PA      | $361576.87    | 0.04%             | 2033-07-17      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Alphabet, Inc.                                                                   | Alphabet, Inc.                                                                                                    | CUSIP: 02079KBG1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      300000 | PA      | $335804.23    | 0.03%             | 2064-11-06      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Unibail-Rodamco-Westfield SE                                                     | Unibail-Rodamco-Westfield SE                                                                                      | CUSIP: N/A<br>LEI: 969500SHQITWXSIS7N89       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $119641.24    | 0.01%             | 2031-06-11      | Variable      | 4.75%                 | No            | 2                  | On Loan: No      |
| Japan                                                                            | Japan Government Bond                                                                                             | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    42900000 | PA      | $265627.25    | 0.03%             | 2055-09-20      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| Arab Republic of Egypt                                                           | Arab Republic of Egypt                                                                                            | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     3774000 | PA      | $79826.03     | 0.01%             | 2028-08-26      | Fixed         | 23.38%                | No            | 2                  | On Loan: No      |
| SC Germany SA Compartment Consumer                                               | SC Germany SA Compartment Consumer, Series 2025-2, Class D                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117542.80    | 0.01%             | 2038-12-15      | Floating      | 3.44%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | CORP              | MX        |      906000 | PA      | $908265.00    | 0.09%             | 2026-03-20      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| Andiron Financing LLC                                                            | Andiron Financing LLC                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |       40000 | PA      | $40000.00     | 0.00%             | 2030-01-21      | Floating      | 7.33%                 | No            | 3                  | On Loan: No      |
| Wom New Holdco                                                                   | WOM New Holdco                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |          86 | NS      | $1978.00      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Duke Energy Kentucky, Inc.                                                       | Duke Energy Kentucky, Inc.                                                                                        | CUSIP: N/A<br>LEI: 8DFCA0P2BKMHOESX4E68       | Long             | DBT              | CORP              | US        |      458000 | PA      | $469450.00    | 0.05%             | 2035-09-15      | Fixed         | 5.90%                 | Yes           | 3                  | On Loan: No      |
| Resurgent Trade and Investments Ltd.                                             | Resurgent Trade and Investments Ltd.                                                                              | CUSIP: N/A<br>LEI: 89450041TCNTI3YL5A08       | Long             | DBT              | CORP              | MU        |      718000 | PA      | $718000.00    | 0.07%             | 2027-12-05      | Fixed         | 9.51%                 | No            | 2                  | On Loan: No      |
| Lebanese Republic                                                                | Lebanese Republic                                                                                                 | CUSIP: N/A<br>LEI: 529900QPC4K9S1KHL354       | Long             | DBT              | NUSS              | LB        |       36000 | PA      | $8280.00      | 0.00%             | 2027-03-23      | Fixed         | 6.85%                 | No            | 2                  | On Loan: No      |
| Federative Republic of Brazil                                                    | Federative Republic of Brazil                                                                                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |        2569 | PA      | $453977.14    | 0.05%             | 2027-01-01      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Lebanese Republic                                                                | Lebanese Republic                                                                                                 | CUSIP: N/A<br>LEI: 529900QPC4K9S1KHL354       | Long             | DBT              | NUSS              | LB        |       90000 | PA      | $20700.00     | 0.00%             | 2028-11-03      | Fixed         | 6.65%                 | No            | 2                  | On Loan: No      |
| Canadian Dollar                                                                  | Canadian Dollar                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CA        |      514842 | OU      | $375098.56    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Swiss Franc                                                                      | Swiss Franc                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CH        |       49652 | OU      | $62683.63     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Yuan Renminbi                                                                    | Yuan Renminbi                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CN        |      118540 | OU      | $16993.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Colombian Peso                                                                   | Colombian Peso                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CO        |   353943432 | OU      | $93694.82     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Czech Koruna                                                                     | Czech Koruna                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CZ        |     2002010 | OU      | $97386.56     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Egyptian Pound                                                                   | Egyptian Pound                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | EG        |    18530317 | OU      | $388476.24    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | S&P 500 E-Mini Index                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          -1 | NC      | $-190.68      | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO                                                                             | EURO                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |       98214 | OU      | $115421.59    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | 30 Day Federal Funds                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |           1 | NC      | $227.72       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury 5-Year Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         929 | NC      | $-151742.93   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| Genius Sports Ltd.                                                               | Genius Sports Ltd.                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | GG        |       28152 | NS      | $310235.04    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Melco Resorts Finance Ltd.                                                       | Melco Resorts Finance Ltd.                                                                                        | CUSIP: N/A<br>LEI: 5493000FQDBWKDBZEF60       | Long             | DBT              | CORP              | KY        |      341000 | PA      | $336955.74    | 0.03%             | 2029-12-04      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Melco Resorts Finance Ltd.                                                       | Melco Resorts Finance Ltd.                                                                                        | CUSIP: N/A<br>LEI: 5493000FQDBWKDBZEF60       | Long             | DBT              | CORP              | KY        |      400000 | PA      | $399532.00    | 0.04%             | 2028-07-21      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| MGM China Holdings Ltd.                                                          | MGM China Holdings Ltd.                                                                                           | CUSIP: N/A<br>LEI: 529900VZFN87OS7WJM66       | Long             | DBT              | CORP              | KY        |      350000 | PA      | $370125.00    | 0.04%             | 2031-06-26      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Star Energy Geothermal Wayang Windu Ltd.                                         | Star Energy Geothermal Wayang Windu Ltd.                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | VG        |      127500 | PA      | $131405.33    | 0.01%             | 2033-04-24      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Studio City Co. Ltd.                                                             | Studio City Co. Ltd.                                                                                              | CUSIP: N/A<br>LEI: 984500V5401EFT095A58       | Long             | DBT              | CORP              | VG        |      200000 | PA      | $200200.00    | 0.02%             | 2027-02-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Wynn Macau Ltd.                                                                  | Wynn Macau Ltd.                                                                                                   | CUSIP: N/A<br>LEI: 254900NMDQ8ENTHU1I31       | Long             | DBT              | CORP              | KY        |      400000 | PA      | $399208.00    | 0.04%             | 2028-08-26      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Vedanta Resources Finance II plc                                                 | Vedanta Resources Finance II plc                                                                                  | CUSIP: N/A<br>LEI: 8945002DGA3BBXO3N634       | Long             | DBT              | CORP              | GB        |      319000 | PA      | $336245.94    | 0.03%             | 2029-09-17      | Fixed         | 10.88%                | No            | 2                  | On Loan: No      |
| Pound Sterling                                                                   | Pound Sterling                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | GB        |       90149 | OU      | $121515.71    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Forint                                                                           | Forint                                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | HU        |     9902680 | OU      | $30280.70     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Rupiah                                                                           | Rupiah                                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | ID        | 13572006029 | OU      | $813913.41    | 0.08%             |  |  |  | No            | 1                  | On Loan: No      |
| Indian Rupee                                                                     | Indian Rupee                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | IN        |   137903377 | OU      | $1534315.72   | 0.16%             |  |  |  | No            | 1                  | On Loan: No      |
| Rakuten Group, Inc.                                                              | Rakuten Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: 529900IMXUCQKUL1H943       | Long             | DBT              | CORP              | JP        |      700000 | PA      | $782922.28    | 0.08%             | 2029-04-15      | Fixed         | 9.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Japan 10 Year Bond                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |           1 | NC      | $-7063.92     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Yen                                                                              | Yen                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | JP        |     8674433 | OU      | $55378.15     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Raizen Fuels Finance SA                                                          | Raizen Fuels Finance SA                                                                                           | CUSIP: N/A<br>LEI: 52990010NH26VC32Q522       | Long             | DBT              | CORP              | LU        |      200000 | PA      | $164750.00    | 0.02%             | 2034-03-05      | Fixed         | 6.45%                 | No            | 2                  | On Loan: No      |
| Mexican Peso                                                                     | Mexican Peso                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | MX        |     2337251 | OU      | $129793.20    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Minejesa Capital BV                                                              | Minejesa Capital BV                                                                                               | CUSIP: N/A<br>LEI: 549300KS7ERCP10BKC35       | Long             | DBT              | CORP              | NL        |      500000 | PA      | $495625.00    | 0.05%             | 2037-08-10      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Mong Duong Finance Holdings BV                                                   | Mong Duong Finance Holdings BV                                                                                    | CUSIP: N/A<br>LEI: 549300995KGQFMWSV879       | Long             | DBT              | CORP              | NL        |      434536 | PA      | $430598.83    | 0.04%             | 2029-05-07      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Naira                                                                            | Naira                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NG        |      158505 | OU      | $109.56       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Norwegian Krone                                                                  | Norwegian Krone                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NO        |     1847003 | OU      | $183234.42    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| New Zealand Dollar                                                               | New Zealand Dollar                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NZ        |       14149 | OU      | $8146.55      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Taurus UK DAC                                                                    | Taurus UK DAC, Series 2025-UK2X, Class C                                                                          | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |       94175 | PA      | $126939.09    | 0.01%             | 2035-02-18      | Floating      | 6.24%                 | No            | 2                  | On Loan: No      |
| Taurus UK DAC                                                                    | Taurus UK DAC, Series 2025-UK2X, Class B                                                                          | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |       88828 | PA      | $119733.03    | 0.01%             | 2035-02-18      | Floating      | 5.74%                 | No            | 2                  | On Loan: No      |
| Taurus UK DAC                                                                    | Taurus UK DAC, Series 2025-UK2X, Class D                                                                          | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |      197402 | PA      | $266077.75    | 0.03%             | 2035-02-18      | Floating      | 6.94%                 | No            | 2                  | On Loan: No      |
| UK Logistics DAC                                                                 | UK Logistics DAC, Series 2025-1X, Class D                                                                         | CUSIP: N/A<br>LEI: 635400LLQ82YFJBFFU27       | Long             | ABS-MBS          | CORP              | IE        |      173008 | PA      | $233383.50    | 0.02%             | 2035-05-17      | Floating      | 7.74%                 | No            | 2                  | On Loan: No      |
| Arab Republic of Egypt                                                           | Arab Republic of Egypt Treasury Bills                                                                             | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | STIV             | NUSS              | EG        |     7800000 | PA      | $150599.69    | 0.02%             | 2026-05-05      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Sage AR Funding                                                                  | Sage AR Funding, Series 2025-1X, Class D                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | GB        |       97105 | PA      | $131031.70    | 0.01%             | 2037-05-17      | Floating      | 7.64%                 | No            | 2                  | On Loan: No      |
| Sage AR Funding                                                                  | Sage AR Funding, Series 2025-1X, Class C                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | GB        |       97105 | PA      | $130769.51    | 0.01%             | 2037-05-17      | Floating      | 6.14%                 | No            | 2                  | On Loan: No      |
| Bletchley Park Funding plc                                                       | Bletchley Park Funding plc, Series 2025-1, Class D                                                                | CUSIP: N/A<br>LEI: 635400OJVL3HJJTKNB05       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135335.39    | 0.01%             | 2070-01-27      | Floating      | 5.60%                 | No            | 2                  | On Loan: No      |
| Bletchley Park Funding plc                                                       | Bletchley Park Funding plc, Series 2025-1, Class E                                                                | CUSIP: N/A<br>LEI: 635400OJVL3HJJTKNB05       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134934.24    | 0.01%             | 2070-01-27      | Floating      | 7.10%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                                 | Republic of Peru                                                                                                  | CUSIP: 715638FB3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      280000 | PA      | $89725.83     | 0.01%             | 2035-08-12      | Fixed         | 6.85%                 | No            | 2                  | On Loan: No      |
| Lagarino European Loan Conduit No. 40 DAC                                        | Lagarino European Loan Conduit No. 40 DAC, Series 40X, Class B                                                    | CUSIP: N/A<br>LEI: 984500F6BB6D4DUA7796       | Long             | ABS-MBS          | CORP              | IE        |      159083 | PA      | $186943.34    | 0.02%             | 2037-06-22      | Floating      | 4.15%                 | No            | 2                  | On Loan: No      |
| Lagarino European Loan Conduit No. 40 DAC                                        | Lagarino European Loan Conduit No. 40 DAC, Series 40X, Class C                                                    | CUSIP: N/A<br>LEI: 984500F6BB6D4DUA7796       | Long             | ABS-MBS          | CORP              | IE        |      101234 | PA      | $118965.14    | 0.01%             | 2037-06-22      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| Lagarino European Loan Conduit No. 40 DAC                                        | Lagarino European Loan Conduit No. 40 DAC, Series 40X, Class D                                                    | CUSIP: N/A<br>LEI: 984500F6BB6D4DUA7796       | Long             | ABS-MBS          | CORP              | IE        |      257606 | PA      | $302728.34    | 0.03%             | 2037-06-22      | Floating      | 5.55%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Euro-Bobl                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -19 | NC      | $7692.38      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Bolivarian Republic of Venezuela                                                 | Bolivarian Republic of Venezuela                                                                                  | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |       64000 | PA      | $20352.00     | 0.00%             | 2031-08-05      | Fixed         | 11.95%                | No            | 2                  | On Loan: No      |
| Mila BV                                                                          | Mila BV, Series 2025-1, Class E                                                                                   | CUSIP: N/A<br>LEI: 72450098VTA940FX5997       | Long             | ABS-O            | CORP              | NL        |      100000 | PA      | $117142.06    | 0.01%             | 2042-10-12      | Floating      | 4.63%                 | No            | 2                  | On Loan: No      |
| Republic of Costa Rica                                                           | Republic of Costa Rica                                                                                            | CUSIP: N/A<br>LEI: 549300S1EK2VN6XVJP58       | Long             | DBT              | NUSS              | CR        |      200000 | PA      | $221626.00    | 0.02%             | 2045-03-12      | Fixed         | 7.16%                 | No            | 2                  | On Loan: No      |
| Secucor Finance DAC                                                              | Secucor Finance DAC, Series 2025-1, Class F                                                                       | CUSIP: N/A<br>LEI: 2138001E8BAK3OXZGG87       | Long             | ABS-O            | CORP              | IE        |      100000 | PA      | $118231.54    | 0.01%             | 2036-09-20      | Floating      | 8.13%                 | No            | 2                  | On Loan: No      |
| Secucor Finance DAC                                                              | Secucor Finance DAC, Series 2025-1, Class D                                                                       | CUSIP: N/A<br>LEI: 2138001E8BAK3OXZGG87       | Long             | ABS-O            | CORP              | IE        |      100000 | PA      | $117004.91    | 0.01%             | 2036-09-20      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| Arab Republic of Egypt                                                           | Egypt Treasury Bill                                                                                               | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | STIV             | NUSS              | EG        |     7975000 | PA      | $149506.17    | 0.02%             | 2026-06-23      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Brenntag Finance BV                                                              | Brenntag Finance BV                                                                                               | CUSIP: N/A<br>LEI: 724500LOJA6NM43PH951       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $348124.90    | 0.04%             | 2031-10-02      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Heineken NV                                                                      | Heineken NV                                                                                                       | CUSIP: N/A<br>LEI: 724500K5PTPSST86UQ23       | Long             | DBT              | CORP              | NL        |      430000 | PA      | $502421.22    | 0.05%             | 2034-05-03      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Petroleos de Venezuela SA                                                        | Petroleos de Venezuela SA                                                                                         | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | NUSS              | VE        |       57000 | PA      | $14763.00     | 0.00%             | 2035-05-17      | Fixed         | 9.75%                 | No            | 2                  | On Loan: No      |
| Petroleos de Venezuela SA                                                        | Petroleos de Venezuela SA                                                                                         | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | NUSS              | VE        |       50000 | PA      | $11625.00     | 0.00%             | 2026-11-15      | Variable      | 6.00%                 | No            | 2                  | On Loan: No      |
| Samarco Mineracao SA                                                             | Samarco Mineracao SA                                                                                              | CUSIP: N/A<br>LEI: 529900U8HKV15GJC4O60       | Long             | DBT              | CORP              | BR        |       74471 | PA      | $75750.97     | 0.01%             | 2031-06-30      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Trust Fibra Uno                                                                  | Trust Fibra Uno                                                                                                   | CUSIP: N/A<br>LEI: 54930011BLQ0JPRBAL73       | Long             | DBT              | CORP              | MX        |      389000 | PA      | $427771.63    | 0.04%             | 2032-01-23      | Fixed         | 7.70%                 | No            | 2                  | On Loan: No      |
| Zloty                                                                            | Zloty                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | PL        |        4766 | OU      | $1327.47      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Cassia SRL                                                                       | Cassia SRL, Series 2022-1A, Class A                                                                               | CUSIP: N/A<br>LEI: 815600A9D6ADF4638276       | Long             | ABS-MBS          | CORP              | IT        |      345909 | PA      | $407494.95    | 0.04%             | 2034-05-22      | Floating      | 4.55%                 | No            | 2                  | On Loan: No      |
| Romania New Leu                                                                  | Romania New Leu                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | RO        |          58 | OU      | $13.43        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | Russell 2000 E-Mini Index                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          -7 | NC      | $26320.70     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | Euro-Bund                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          35 | NC      | $4578.79      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Swedish Krona                                                                    | Swedish Krona                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SE        |      248667 | OU      | $27009.97     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | 3-mo. SOFR                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          16 | NC      | $1043.02      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | 3-mo. SOFR                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         402 | NC      | $37320.24     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Singapore Dollar                                                                 | Singapore Dollar                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SG        |        2900 | OU      | $2255.79      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Baht                                                                             | Baht                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | TH        |      191872 | OU      | $6090.21      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury 2-Year Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         317 | NC      | $11109.82     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury 10-Year Note                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          61 | NC      | $-20116.08    | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Stillwater Mining Co.                                                            | Stillwater Mining Co.                                                                                             | CUSIP: N/A<br>LEI: 6354007DPCY4ZN2MRR73       | Long             | DBT              | CORP              | US        |      374000 | PA      | $352495.00    | 0.04%             | 2029-11-16      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Euro-Buxl                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          -3 | NC      | $5883.97      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury Long Bond                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         155 | NC      | $-130146.72   | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury 10-Year Ultra Note                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -31 | NC      | $-11140.45    | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Diamond II Ltd.                                                                  | Diamond II Ltd.                                                                                                   | CUSIP: N/A<br>LEI: 254900KL4GQ2XC50XL44       | Long             | DBT              | CORP              | MU        |      750000 | PA      | $751642.50    | 0.08%             | 2026-07-28      | Fixed         | 7.95%                 | No            | 2                  | On Loan: No      |
| India Clean Energy Holdings                                                      | India Clean Energy Holdings                                                                                       | CUSIP: N/A<br>LEI: 254900XQFJ9593DCY022       | Long             | DBT              | CORP              | MU        |      700000 | PA      | $679000.00    | 0.07%             | 2027-04-18      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| India Green Power Holdings                                                       | India Green Power Holdings                                                                                        | CUSIP: N/A<br>LEI: 254900I7N0GT4VVL6V29       | Long             | DBT              | CORP              | MU        |      346640 | PA      | $337974.00    | 0.03%             | 2027-02-22      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury Ultra Bond                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          33 | NC      | $-94070.80    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| Miltonia Mortgage Finance SRL                                                    | Miltonia Mortgage Finance SRL, Series 1, Class B                                                                  | CUSIP: N/A<br>LEI: 815600BC278905BA4594       | Long             | ABS-MBS          | CORP              | IT        |      100000 | PA      | $117729.42    | 0.01%             | 2062-04-28      | Floating      | 3.36%                 | No            | 2                  | On Loan: No      |
| Newday Funding Master Issuer plc                                                 | Newday Funding Master Issuer plc, Series 2024-2X, Class D                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $135718.48    | 0.01%             | 2032-07-15      | Floating      | 6.38%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | Mex Bonos Desarr Fix Rt                                                                                           | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |       53548 | PA      | $300251.66    | 0.03%             | 2029-03-01      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Edenbrook Mortgage Funding plc                                                   | Edenbrook Mortgage Funding plc, Series 2024-1, Class C                                                            | CUSIP: N/A<br>LEI: 635400URO7UOS6PWLH17       | Long             | ABS-MBS          | CORP              | GB        |       99231 | PA      | $135450.21    | 0.01%             | 2057-03-22      | Floating      | 5.68%                 | No            | 2                  | On Loan: No      |
| Cardiff Auto Receivables Securitisation plc                                      | Cardiff Auto Receivables Securitisation plc, Series 2024-1, Class C                                               | CUSIP: N/A<br>LEI: 6354006GQBBANLIO8R45       | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $135375.43    | 0.01%             | 2031-08-20      | Floating      | 5.63%                 | No            | 2                  | On Loan: No      |
| Cardiff Auto Receivables Securitisation plc                                      | Cardiff Auto Receivables Securitisation plc, Series 2024-1, Class D                                               | CUSIP: N/A<br>LEI: 6354006GQBBANLIO8R45       | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $135710.53    | 0.01%             | 2031-08-20      | Floating      | 6.33%                 | No            | 2                  | On Loan: No      |
| Fortuna Consumer Loan ABS DAC                                                    | Fortuna Consumer Loan ABS DAC, Series 2024-2, Class E                                                             | CUSIP: N/A<br>LEI: 635400WJJIABFKEPEL72       | Long             | ABS-O            | CORP              | IE        |       88418 | PA      | $105603.77    | 0.01%             | 2034-10-18      | Floating      | 6.04%                 | No            | 2                  | On Loan: No      |
| Golden Bar Securitisation SRL                                                    | Golden Bar Securitisation SRL, Series 2024-1, Class B                                                             | CUSIP: N/A<br>LEI: 549300GESLGUWWGJRM09       | Long             | ABS-O            | CORP              | IT        |       61073 | PA      | $72123.18     | 0.01%             | 2043-09-22      | Floating      | 3.53%                 | No            | 2                  | On Loan: No      |
| TAGUS-Sociedade de Titularizacao de Creditos SA                                  | TAGUS - Sociedade de Titularizacao de Creditos SA, Series 2, Class D                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | PT        |       77102 | PA      | $91701.20     | 0.01%             | 2042-10-27      | Floating      | 5.89%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-PURE, Class A                                                           | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57555 | PA      | $42035.41     | 0.00%             | 2041-11-15      | Floating      | 4.15%                 | No            | 2                  | On Loan: No      |
| Dowson plc                                                                       | Dowson plc, Series 2024-1, Class E                                                                                | CUSIP: N/A<br>LEI: 635400IRBWDPWKGK1C24       | Long             | ABS-O            | CORP              | GB        |      246000 | PA      | $330090.59    | 0.03%             | 2031-08-20      | Floating      | 7.68%                 | No            | 2                  | On Loan: No      |
| Dowson plc                                                                       | Dowson plc, Series 2024-1, Class F                                                                                | CUSIP: N/A<br>LEI: 635400IRBWDPWKGK1C24       | Long             | ABS-O            | CORP              | GB        |      360000 | PA      | $478505.70    | 0.05%             | 2031-08-20      | Floating      | 10.68%                | No            | 2                  | On Loan: No      |
| UK Logistics DAC                                                                 | UK Logistics DAC, Series 2024-2X, Class D                                                                         | CUSIP: N/A<br>LEI: 635400FRZQXRDV2SLM12       | Long             | ABS-MBS          | CORP              | GB        |       85043 | PA      | $113675.97    | 0.01%             | 2035-02-17      | Floating      | 6.84%                 | No            | 2                  | On Loan: No      |
| Last Mile Securities PE DAC                                                      | Last Mile Securities PE DAC, Series 2021-1X, Class D                                                              | CUSIP: N/A<br>LEI: 635400UJZKP57EXKMQ33       | Long             | ABS-MBS          | CORP              | IE        |      202958 | PA      | $238529.15    | 0.02%             | 2031-08-17      | Floating      | 4.41%                 | No            | 2                  | On Loan: No      |
| Last Mile Logistics Pan Euro Finance DAC                                         | Last Mile Logistics Pan Euro Finance DAC, Series 1X, Class E                                                      | CUSIP: N/A<br>LEI: 635400NOPX1IKIAX7N90       | Long             | ABS-MBS          | CORP              | IE        |      114877 | PA      | $134756.88    | 0.01%             | 2033-08-17      | Floating      | 4.76%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Australia 10 Year Bonds                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          58 | NC      | $-5370.49     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Glencore Capital Finance DAC                                                     | Glencore Capital Finance DAC                                                                                      | CUSIP: N/A<br>LEI: 213800HCUCI1HC7X6Q34       | Long             | DBT              | CORP              | IE        |      220000 | PA      | $256879.75    | 0.03%             | 2032-10-06      | Fixed         | 3.67%                 | No            | 2                  | On Loan: No      |
| Nidda Healthcare Holding GmbH                                                    | Nidda Healthcare Holding GmbH                                                                                     | CUSIP: N/A<br>LEI: 549300Q89C4WAO6L0L19       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $118580.98    | 0.01%             | 2032-10-15      | Floating      | 5.28%                 | No            | 2                  | On Loan: No      |
| London Cards No3 plc                                                             | London Cards No3 plc, Series 3X, Class C                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $134833.82    | 0.01%             | 2035-12-15      | Floating      | 5.73%                 | No            | 2                  | On Loan: No      |
| Public Power Corp. SA                                                            | Public Power Corp. SA                                                                                             | CUSIP: N/A<br>LEI: 213800T9Y5XCOVRZ4Y57       | Long             | DBT              | CORP              | GR        |      100000 | PA      | $119103.59    | 0.01%             | 2030-10-31      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| UK Logistics DAC                                                                 | UK Logistics DAC, Series 2025-2X, Class B                                                                         | CUSIP: N/A<br>LEI: 635400CRV6HKMHJF8S64       | Long             | ABS-MBS          | CORP              | IE        |      100000 | PA      | $134846.36    | 0.01%             | 2035-08-17      | Floating      | 5.39%                 | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                                     | Oriental Republic of Uruguay                                                                                      | CUSIP: 760942BJ0<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     3976464 | PA      | $104917.36    | 0.01%             | 2035-10-29      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Aroundtown Finance SARL                                                          | Aroundtown Finance SARL                                                                                           | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $114550.45    | 0.01%             | 2031-04-30      | Variable      | 5.25%                 | No            | 2                  | On Loan: No      |
| SC Austria SARL                                                                  | SC Austria Sarl, Series 2025-1, Class D                                                                           | CUSIP: N/A<br>LEI: 81560007AFE688B7A894       | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117918.86    | 0.01%             | 2041-07-25      | Floating      | 3.79%                 | No            | 2                  | On Loan: No      |
| Atlas Funding plc                                                                | Atlas Funding plc, Series 2025-2, Class E                                                                         | CUSIP: N/A<br>LEI: 213800W2FS9Z1VKVEA38       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134604.36    | 0.01%             | 2067-07-20      | Floating      | 6.81%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      180000 | PA      | $208108.51    | 0.02%             | 2036-11-07      | Variable      | 3.75%                 | No            | 2                  | On Loan: No      |
| JSW Hydro Energy Ltd.                                                            | JSW Hydro Energy Ltd.                                                                                             | CUSIP: N/A<br>LEI: 3358006ZP5KO7VUH2790       | Long             | DBT              | CORP              | IN        |      625500 | PA      | $582887.81    | 0.06%             | 2031-05-18      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Medco Laurel Tree Pte. Ltd.                                                      | Medco Laurel Tree Pte. Ltd.                                                                                       | CUSIP: N/A<br>LEI: 254900SX7FFGRREZD046       | Long             | DBT              | CORP              | SG        |      400000 | PA      | $401228.00    | 0.04%             | 2028-11-12      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| RTE Reseau de Transport d'Electricite SADIR                                      | RTE Reseau de Transport d'Electricite SADIR                                                                       | CUSIP: N/A<br>LEI: 969500JRJW0K2ET1UP76       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $116853.66    | 0.01%             | 2037-11-24      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Duomo Bidco SpA                                                                  | Duomo Bidco SpA                                                                                                   | CUSIP: N/A<br>LEI: 8156008BEDB552B30829       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $118419.83    | 0.01%             | 2032-01-15      | Floating      | 5.31%                 | No            | 2                  | On Loan: No      |
| ReNew Pvt Ltd.                                                                   | ReNew Pvt Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 335800BITJZHVZ1CN475       | Long             | DBT              | CORP              | IN        |      700000 | PA      | $695492.00    | 0.07%             | 2027-03-05      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| WPP Finance 2013                                                                 | WPP Finance 2013                                                                                                  | CUSIP: N/A<br>LEI: 549300L84EKSLWWPGI24       | Long             | DBT              | CORP              | GB        |      530000 | PA      | $614874.10    | 0.06%             | 2031-06-09      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Biffa Group Holdings Ltd.                                                        | Biffa Group Holdings Ltd.                                                                                         | CUSIP: N/A<br>LEI: 21380012LWLXNMXB8I44       | Long             | DBT              | CORP              | JE        |      100000 | PA      | $135956.66    | 0.01%             | 2031-06-15      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Continuum Green Energy India Pvt                                                 | Continuum Green Energy India Pvt                                                                                  | CUSIP: N/A<br>LEI: 335800ZNO2SOIWFPSQ56       | Long             | DBT              | CORP              | IN        |      658525 | PA      | $679103.91    | 0.07%             | 2033-06-26      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Australia 3 Year Bond                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         145 | NC      | $-6966.01     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Rand                                                                             | Rand                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | ZA        |     7060463 | OU      | $426356.46    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |

### Signature

**Date Signed:** 2025-12-31

**Name of Applicant:** BlackRock Variable Series Funds II, Inc.

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer