# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-26-009314
**Filing Date:** 2026-4
**Character Count:** 330156
**Document Hash:** d6588da17a3d087f57b68c6db4b6babe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009314.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009314

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** J.P. Morgan Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001485894

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 26912559

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** (800) 480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

## Series and Classes Contracts Data

### JPMorgan Inflation Managed Bond ETF (Series ID: S000074053)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000231436 | JPMorgan Inflation Managed Bond ETF | JCPI            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** J.P. Morgan Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22903

- **c. CIK number of Registrant:** 0001485894

- **d. LEI of Registrant:** 5493001E1K1DVWDV2464

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

  - **Street Address 1:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 844-457-6383

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

- **a. Name of Series:** JPMorgan Inflation Managed Bond ETF

- **b. EDGAR series identifier (if any):** S000074053

- **c. LEI of Series:** 5493001Z7M5V3WTBX559

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**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:** $800629945.38

**Total Liabilities:** $4688300.50

**Net Assets:** $795941644.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -286992.13936000 | **1-Year:** 26440.13275000 | **5-Year:** 85659.81955000 | **10-Year:** 36723.16440000 | **30-Year:** 0.00000000

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

- **3-Month:** -18107.29139000 | **1-Year:** 4.35863000 | **5-Year:** 36.78623000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000231436 | -0.31%               | 0.60%                | 0.92%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-14850.29               | $-2723268.60                               |
| Month 2  | $-22895.09               | $3115048.32                                |
| Month 3  | $341322.88               | $4508621.53                                |

**Designated Index Information**

- **Index Name:** U.S. Treasury Inflation Notes: 1-10 Year

- **Index Identifier:** 63TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                     | ABN AMRO Bank NV                                                                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $860929.62    | 0.11%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                   | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    264000 | PA      | $279430.83    | 0.04%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                   | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1200000 | PA      | $1278741.59   | 0.16%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                           | AT&T, Inc.                                                                      | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1181000 | PA      | $1132526.04   | 0.14%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                         | AbbVie, Inc.                                                                    | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1367491.80   | 0.17%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                         | AbbVie, Inc.                                                                    | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    245000 | PA      | $254352.06    | 0.03%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                      | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1554000 | PA      | $1538960.73   | 0.19%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                      | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1835000 | PA      | $1785123.18   | 0.22%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                        | Air Canada Pass-Through Trust, Series 2017-1, Class AA                          | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    304304 | PA      | $294689.30    | 0.04%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                       | Aircastle Ltd.                                                                  | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    459000 | PA      | $473809.79    | 0.06%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Alabama Power Co.                                    | Alabama Power Co.                                                               | CUSIP: 010392GB8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    500000 | PA      | $541200.57    | 0.07%             | 2033-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                | Alexandria Real Estate Equities, Inc.                                           | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    883000 | PA      | $831504.78    | 0.10%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                      | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2                       | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1966000 | PA      | $1942817.52   | 0.24%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Alphabet, Inc.                                       | Alphabet, Inc.                                                                  | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1057082.30   | 0.13%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                   | Altria Group, Inc.                                                              | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    832000 | PA      | $746689.87    | 0.09%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                         | Ameren Corp.                                                                    | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    650000 | PA      | $668313.49    | 0.08%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                 | American Airlines Pass-Through Trust, Series 2021-1, Class B                    | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762405 | PA      | $740748.89    | 0.09%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                 | American Airlines Pass-Through Trust, Series 2016-3, Class AA                   | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63105 | PA      | $61570.45     | 0.01%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust             | AmeriCredit Automobile Receivables Trust, Series 2024-1, Class B                | CUSIP: 023947AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $1038215.36   | 0.13%             | 2029-06-18      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2026-1, Class D            | CUSIP: 02531FAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1110000 | PA      | $1120761.56   | 0.14%             | 2033-01-12      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                    | American Electric Power Co., Inc.                                               | CUSIP: 025537AX9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106077.53    | 0.01%             | 2033-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                            | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    125000 | PA      | $126953.45    | 0.02%             | 2028-07-26      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                            | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    155000 | PA      | $160140.91    | 0.02%             | 2031-01-30      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                            | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128046.46    | 0.02%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                            | CUSIP: 025816EP0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1211759.47   | 0.15%             | 2032-02-10      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                 | American Tower Corp.                                                            | CUSIP: 03027XBR0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1678000 | PA      | $1655267.92   | 0.21%             | 2026-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                         | American Water Capital Corp.                                                    | CUSIP: 03040WBF1<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    800000 | PA      | $831260.02    | 0.10%             | 2035-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                        | Cencora, Inc.                                                                   | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    651000 | PA      | $673399.54    | 0.08%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                          | Amgen, Inc.                                                                     | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    200000 | PA      | $208710.58    | 0.03%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                          | Amgen, Inc.                                                                     | CUSIP: 031162DW7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    285000 | PA      | $286541.61    | 0.04%             | 2036-02-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                              | Aon North America, Inc.                                                         | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $834680.56    | 0.10%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                           | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1054000 | PA      | $1000791.56   | 0.13%             | 2029-01-07      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Atlantic City Electric Co.                           | Atlantic City Electric Co.                                                      | CUSIP: 048303CH2<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20080.72     | 0.00%             | 2028-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.           | Australia & New Zealand Banking Group Ltd.                                      | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   1550000 | PA      | $1551329.11   | 0.19%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| AutoZone, Inc.                                       | AutoZone, Inc.                                                                  | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    565000 | PA      | $500842.68    | 0.06%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                           | Aviation Capital Group LLC                                                      | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    385000 | PA      | $395550.44    | 0.05%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2024-2A, Class A               | CUSIP: 05377RJG0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    467000 | PA      | $474056.88    | 0.06%             | 2028-10-20      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                    | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1063000 | PA      | $1063276.38   | 0.13%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                    | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    832000 | PA      | $831625.60    | 0.10%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    678000 | PA      | $658731.24    | 0.08%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                      | BAE Systems plc                                                                 | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $390723.79    | 0.05%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                    | BAT Capital Corp.                                                               | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1016000 | PA      | $982804.20    | 0.12%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                         | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2194000 | PA      | $1975815.76   | 0.25%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                         | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2214000 | PA      | $2187101.65   | 0.27%             | 2027-10-19      | Variable      | 2.04%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                            | BXP Trust, Series 2017-GM, Class A                                              | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1478966.40   | 0.19%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                       | Baltimore Gas and Electric Co.                                                  | CUSIP: 059165ER7<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    650000 | PA      | $680549.64    | 0.09%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $197607.43    | 0.02%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                              | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2200000 | PA      | $2021692.24   | 0.25%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                           | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    937000 | PA      | $935816.05    | 0.12%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                           | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3627000 | PA      | $3293567.02   | 0.41%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series N                                                 | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    178000 | PA      | $177899.82    | 0.02%             | 2027-03-11      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                           | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3454000 | PA      | $3619779.05   | 0.45%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                            | Bank of Ireland Group plc                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1725000 | PA      | $1704499.93   | 0.21%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                                | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $39577.03     | 0.00%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    850000 | PA      | $889821.96    | 0.11%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $324585.92    | 0.04%             | 2034-05-09      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                    | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $625500.81    | 0.08%             | 2030-03-12      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1160000 | PA      | $1204113.22   | 0.15%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                             | Bimbo Bakeries USA, Inc.                                                        | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    700000 | PA      | $734321.00    | 0.09%             | 2029-01-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $296272.91    | 0.04%             | 2028-01-20      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    750000 | PA      | $776966.06    | 0.10%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    450000 | PA      | $476616.30    | 0.06%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                  | CUSIP: 09659W3E2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $1004800.68   | 0.13%             | 2034-01-15      | Variable      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                     | Boeing Co. (The)                                                                | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    931000 | PA      | $929482.77    | 0.12%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                     | Boeing Co. (The)                                                                | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    414000 | PA      | $452531.37    | 0.06%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                     | Boeing Co. (The)                                                                | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     88000 | PA      | $98663.56     | 0.01%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-3, Class C           | CUSIP: 107920AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390000 | PA      | $393876.02    | 0.05%             | 2031-05-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2026-1, Class C           | CUSIP: 107927AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $427736.28    | 0.05%             | 2031-11-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class C           | CUSIP: 10807HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632000 | PA      | $642052.72    | 0.08%             | 2031-03-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                             | Bristol-Myers Squibb Co.                                                        | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    787000 | PA      | $823719.11    | 0.10%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                     | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    386000 | PA      | $372579.11    | 0.05%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                     | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    440000 | PA      | $400014.63    | 0.05%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                       | Broadcom, Inc.                                                                  | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    200000 | PA      | $174870.89    | 0.02%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                       | Broadcom, Inc.                                                                  | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    304000 | PA      | $314544.40    | 0.04%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                       | Broadcom, Inc.                                                                  | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    108000 | PA      | $113086.85    | 0.01%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                       | Broadcom, Inc.                                                                  | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90222.19     | 0.01%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                             | Brookfield Finance, Inc.                                                        | CUSIP: 11271LAA0<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    362000 | PA      | $362081.78    | 0.05%             | 2026-06-02      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                             | Bunge Ltd. Finance Corp.                                                        | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    550000 | PA      | $553563.02    | 0.07%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                             | Bunge Ltd. Finance Corp.                                                        | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    350000 | PA      | $359135.26    | 0.05%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2024-2A, Class A                            | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    677792 | PA      | $687661.72    | 0.09%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2022-1A, Class A                            | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513016 | PA      | $511630.68    | 0.06%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| Cigna Group (The)                                    | Cigna Group (The)                                                               | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    144000 | PA      | $115087.29    | 0.01%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                    | Cigna Group (The)                                                               | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    554000 | PA      | $569008.05    | 0.07%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                     | CMS Energy Corp.                                                                | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    170000 | PA      | $168435.32    | 0.02%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class A                  | CUSIP: 12630SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274502 | PA      | $275175.65    | 0.03%             | 2029-02-15      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2023-A, Class C                              | CUSIP: 12664LAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80372 | PA      | $80460.00     | 0.01%             | 2029-04-16      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                                | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    781000 | PA      | $696225.21    | 0.09%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                 | Coterra Energy, Inc.                                                            | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    724000 | PA      | $723162.39    | 0.09%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   2065000 | PA      | $2142513.55   | 0.27%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Cameron LNG LLC                                      | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    146000 | PA      | $137038.65    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                         | Canadian Pacific Railway Co.                                                    | CUSIP: 13648TAA5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $185673.51    | 0.02%             | 2030-03-05      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                     | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    709000 | PA      | $642021.03    | 0.08%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                     | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518582.23    | 0.07%             | 2030-07-26      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A3                        | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276000 | PA      | $277510.82    | 0.03%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                              | Carmax Auto Owner Trust, Series 2025-3, Class A3                                | CUSIP: 14290FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $373459.17    | 0.05%             | 2030-07-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                              | CarMax Auto Owner Trust, Series 2023-4, Class A3                                | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151819 | PA      | $153563.02    | 0.02%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                              | CarMax Auto Owner Trust, Series 2025-2, Class A3                                | CUSIP: 14320AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    464000 | PA      | $469320.27    | 0.06%             | 2030-03-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2022-P3, Class A3                        | CUSIP: 14686MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22502 | PA      | $22517.00     | 0.00%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-P4, Class A4                        | CUSIP: 14687KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1116021 | PA      | $1109162.87   | 0.14%             | 2027-12-10      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2025-P3, Class A3                        | CUSIP: 14688AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005637.90   | 0.13%             | 2030-11-11      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy, Inc.                             | CenterPoint Energy, Inc.                                                        | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    288000 | PA      | $286127.21    | 0.04%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC              | CenterPoint Energy Houston Electric LLC, Series AA                              | CUSIP: 15189XAR9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    310000 | PA      | $307800.68    | 0.04%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                          | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     65000 | PA      | $67452.45     | 0.01%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                | Cheniere Energy, Inc.                                                           | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    500000 | PA      | $525779.06    | 0.07%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                 | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    272000 | PA      | $273642.28    | 0.03%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                 | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89875.09     | 0.01%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                 | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1373007.17   | 0.17%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3A4                   | CUSIP: 17307GBT4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      2547 | PA      | $2548.50      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                        | Citigroup Mortgage Loan Trust, Series 2004-HYB4, Class WA                       | CUSIP: 17307GMJ4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      2516 | PA      | $2517.30      | 0.00%             | 2034-12-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                          | Citibank NA                                                                     | CUSIP: 17325FBB3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1570981.01   | 0.20%             | 2028-09-29      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                 | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1155879.84   | 0.15%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)            | Cleveland Electric Illuminating Co. (The)                                       | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    586000 | PA      | $577321.68    | 0.07%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)            | Cleveland Electric Illuminating Co. (The)                                       | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $292100.61    | 0.04%             | 2030-11-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                   | CNO Global Funding                                                              | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    681000 | PA      | $671670.38    | 0.08%             | 2026-10-07      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                   | CNO Global Funding                                                              | CUSIP: 18977W2C3<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191263.58    | 0.02%             | 2029-01-06      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                   | Columbia Pipelines Holding Co. LLC                                              | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    584000 | PA      | $610963.73    | 0.08%             | 2034-01-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                   | Columbia Pipelines Holding Co. LLC                                              | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    690000 | PA      | $709834.97    | 0.09%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                 | Columbia Pipelines Operating Co. LLC                                            | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $833260.28    | 0.10%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                        | Comcast Corp.                                                                   | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1674000 | PA      | $1685492.19   | 0.21%             | 2037-01-15      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                  | CommonSpirit Health                                                             | CUSIP: 20268JAB9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    455000 | PA      | $443009.14    | 0.06%             | 2029-10-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                  | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    171000 | PA      | $160607.71    | 0.02%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.            | Consolidated Edison Co. of New York, Inc.                                       | CUSIP: 209111FP3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10003.83     | 0.00%             | 2028-05-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                           | Constellation Brands, Inc.                                                      | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    500000 | PA      | $475242.93    | 0.06%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                  | Constellation Energy Generation LLC                                             | CUSIP: 210385AQ3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    115000 | PA      | $115785.64    | 0.01%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                 | Consumers Energy Co.                                                            | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304063.82    | 0.04%             | 2033-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                           | Corebridge Financial, Inc.                                                      | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298425.54    | 0.04%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                      | CoreVest American Finance Trust, Series 2019-3, Class A                         | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13401 | PA      | $13375.56     | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                      | CoreVest American Finance Trust, Series 2022-1, Class A                         | CUSIP: 21873EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    256738 | PA      | $257860.35    | 0.03%             | 2055-06-17      | Variable      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                           | COPT Defense Properties LP                                                      | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    457000 | PA      | $431436.22    | 0.05%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2024-D, Class C                              | CUSIP: 22411JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $235904.05    | 0.03%             | 2031-01-15      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                      | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1695686 | PA      | $1703855.40   | 0.21%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class A                      | CUSIP: 224940AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1413726.30   | 0.18%             | 2035-11-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class A                      | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1066000 | PA      | $1072075.77   | 0.13%             | 2034-09-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                              | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    377000 | PA      | $389085.51    | 0.05%             | 2030-01-10      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    673000 | PA      | $687084.09    | 0.09%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    380000 | PA      | $382867.37    | 0.05%             | 2033-09-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class A                      | CUSIP: 22536KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957000 | PA      | $969655.27    | 0.12%             | 2035-03-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A                      | CUSIP: 22536VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1522623.60   | 0.19%             | 2034-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                      | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    797000 | PA      | $802242.11    | 0.10%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    800000 | PA      | $802275.48    | 0.10%             | 2031-09-23      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                    | CUSIP: 225401BS6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    800000 | PA      | $803297.82    | 0.10%             | 2032-08-10      | Variable      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2025-A, Class A2                                 | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265478 | PA      | $267395.50    | 0.03%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| DTE Energy Co.                                       | DTE Energy Co.                                                                  | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    700000 | PA      | $727862.93    | 0.09%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-1A, Class C                                    | CUSIP: 23346KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396767 | PA      | $397455.49    | 0.05%             | 2028-10-16      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                      | Danske Bank A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    407000 | PA      | $424764.50    | 0.05%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                      | Danske Bank A/S                                                                 | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    320000 | PA      | $328978.84    | 0.04%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                               | Dell International LLC                                                          | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    382000 | PA      | $396727.51    | 0.05%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                         | Dell Equipment Finance Trust, Series 2025-1, Class A3                           | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232000 | PA      | $234778.69    | 0.03%             | 2031-02-24      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $144080.04    | 0.02%             | 2031-09-18      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1126000 | PA      | $1043744.37   | 0.13%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1450000 | PA      | $1431826.28   | 0.18%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    190000 | PA      | $192148.30    | 0.02%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Capital One NA                                       | Capital One NA                                                                  | CUSIP: 25466AAJ0<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |    447000 | PA      | $446163.48    | 0.06%             | 2026-07-27      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                         | DNB Bank ASA                                                                    | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   1000000 | PA      | $975721.05    | 0.12%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class A3                           | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    262270 | PA      | $262505.14    | 0.03%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class C                            | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376000 | PA      | $379195.89    | 0.05%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-1, Class C                            | CUSIP: 262102AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264000 | PA      | $268302.49    | 0.03%             | 2032-09-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-2, Class C                            | CUSIP: 262103AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $497736.06    | 0.06%             | 2032-09-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2021-4A, Class D                                    | CUSIP: 26253WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301025 | PA      | $299670.03    | 0.04%             | 2027-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                            | Duke Energy Carolinas LLC                                                       | CUSIP: 264399ED4<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     50000 | PA      | $55837.51     | 0.01%             | 2032-10-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                    | Duke Energy Corp.                                                               | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    550000 | PA      | $577178.61    | 0.07%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                               | Duke Energy Ohio, Inc.                                                          | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     73000 | PA      | $76467.13     | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                              | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    550000 | PA      | $577460.12    | 0.07%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                        | Duquesne Light Holdings, Inc.                                                   | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    421000 | PA      | $389696.43    | 0.05%             | 2030-10-01      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                        | Duquesne Light Holdings, Inc.                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    554000 | PA      | $502365.89    | 0.06%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                              | Eni SpA                                                                         | CUSIP: 26874RAJ7<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    850000 | PA      | $855638.87    | 0.11%             | 2029-05-09      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Edison International                                 | Edison International                                                            | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1273978.23   | 0.16%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                       | Enbridge, Inc.                                                                  | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    799000 | PA      | $849201.95    | 0.11%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                   | Energy Transfer LP                                                              | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    362000 | PA      | $375359.42    | 0.05%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                   | Energy Transfer LP                                                              | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1155568.36   | 0.15%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                        | Enel Finance International NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    360000 | PA      | $359626.05    | 0.05%             | 2035-09-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                | Entergy Louisiana LLC                                                           | CUSIP: 29364WBE7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89155.61     | 0.01%             | 2030-12-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                 | Entergy Arkansas LLC                                                            | CUSIP: 29366MAH1<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1211285.24   | 0.15%             | 2036-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    392000 | PA      | $392177.23    | 0.05%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    135000 | PA      | $139179.25    | 0.02%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                        | Equinix, Inc.                                                                   | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    605000 | PA      | $600218.91    | 0.08%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                   | Essex Portfolio LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    879000 | PA      | $775859.34    | 0.10%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                         | Evergy, Inc.                                                                    | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    329000 | PA      | $316207.43    | 0.04%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                   | Evergy Metro, Inc.                                                              | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    289000 | PA      | $304861.49    | 0.04%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2024-3A, Class C                    | CUSIP: 30165AAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284000 | PA      | $288084.26    | 0.04%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-5A, Class C                    | CUSIP: 30166VAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $324372.45    | 0.04%             | 2032-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                    | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427000 | PA      | $435563.87    | 0.05%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-4A, Class C                    | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730000 | PA      | $737563.09    | 0.09%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-1A, Class D                    | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217350 | PA      | $220694.64    | 0.03%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2026-1A, Class C                    | CUSIP: 30168HAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $412825.80    | 0.05%             | 2032-05-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                  | Expedia Group, Inc.                                                             | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1204272.12   | 0.15%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                               | Extra Space Storage LP                                                          | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    467000 | PA      | $412636.94    | 0.05%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                               | Extra Space Storage LP                                                          | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $923283.28    | 0.12%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                 | Meta Platforms, Inc.                                                            | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    170000 | PA      | $172851.39    | 0.02%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                 | Meta Platforms, Inc.                                                            | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    365000 | PA      | $368634.40    | 0.05%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                   | F&G Global Funding                                                              | CUSIP: 30321L2D3<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1204000 | PA      | $1179079.15   | 0.15%             | 2027-04-11      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class A                                                | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2118000 | PA      | $2083442.71   | 0.26%             | 2038-09-17      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                            | FHF Trust, Series 2023-1A, Class A2                                             | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71804 | PA      | $72139.15     | 0.01%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 262, Class 35                                             | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333474 | PA      | $318904.88    | 0.04%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                       | CUSIP: 3128KLRA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       435 | PA      | $460.04       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                       | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312894 | PA      | $317296.24    | 0.04%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                       | CUSIP: 3128P7EB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4692 | PA      | $4771.18      | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                       | CUSIP: 3128P8AB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1318286 | PA      | $1299308.18   | 0.16%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                       | CUSIP: 31296PY55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65433 | PA      | $65938.43     | 0.01%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3131Y1WR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    630677 | PA      | $635409.75    | 0.08%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3132DQ4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1574933 | PA      | $1607409.58   | 0.20%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3132DTFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2396835 | PA      | $2441807.81   | 0.31%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1482034 | PA      | $1511234.69   | 0.19%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3132E0KM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1280126 | PA      | $1305638.05   | 0.16%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                         | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316810 | PA      | $305373.11    | 0.04%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                         | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $952067.99    | 0.12%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3133CWEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2101431 | PA      | $2158706.87   | 0.27%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3133CYRG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2193111 | PA      | $2265445.27   | 0.28%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3133KPZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000955 | PA      | $3038645.42   | 0.38%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2110, Class PG                                             | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13363 | PA      | $13505.03     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2441, Class GF                                             | CUSIP: 3133TVJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6007 | PA      | $6324.70      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2436, Class MC                                             | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1920 | PA      | $1963.09      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3133WASU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2067288 | PA      | $2105594.92   | 0.26%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 1997-57, Class PN                                           | CUSIP: 31359QJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6384 | PA      | $6371.62      | 0.00%             | 2027-09-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-14, Class DE                                           | CUSIP: 3136A4VC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451369 | PA      | $437610.26    | 0.05%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-103, Class DA                                          | CUSIP: 3136A8ZR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       863 | PA      | $860.52       | 0.00%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-137, Class CF                                          | CUSIP: 3136AAJ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12271 | PA      | $12263.38     | 0.00%             | 2041-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-139, Class JA                                          | CUSIP: 3136AALT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214718 | PA      | $208703.81    | 0.03%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-104, Class CY                                          | CUSIP: 3136AGSP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2250000 | PA      | $2350977.98   | 0.30%             | 2043-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2015-M10, Class A2                                            | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622129 | PA      | $617708.29    | 0.08%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2017-M8, Class A2                                             | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948688 | PA      | $940601.83    | 0.12%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2017-M5, Class A2                                             | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1546243 | PA      | $1520392.06   | 0.19%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2017-M12, Class A2                                            | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1994646 | PA      | $1975388.00   | 0.25%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2017-M13, Class A2                                            | CUSIP: 3136AY2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311848 | PA      | $308266.86    | 0.04%             | 2027-09-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2018-M2, Class A2                                             | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2602043 | PA      | $2562317.52   | 0.32%             | 2028-01-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2018-M3, Class A2                                             | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790536 | PA      | $773551.18    | 0.10%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2018-M4, Class A2                                             | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462997 | PA      | $1446877.32   | 0.18%             | 2028-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2018-M14, Class A2                                            | CUSIP: 3136B27L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363413 | PA      | $362733.53    | 0.05%             | 2028-08-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2018-M9, Class APT2                                           | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1988630 | PA      | $1960926.65   | 0.25%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-7, Class CA                                            | CUSIP: 3136B32G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1821760 | PA      | $1791654.12   | 0.23%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-65, Class PA                                           | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148239 | PA      | $139473.26    | 0.02%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2020-M50, Class A2                                            | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330893 | PA      | $320230.63    | 0.04%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2020-M50, Class X1                                            | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5284492 | PA      | $171318.46    | 0.02%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2021-M3, Class X1                                             | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253568 | PA      | $15108.67     | 0.00%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2021-M11, Class A2                                            | CUSIP: 3136BF4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1517000 | PA      | $1353322.22   | 0.17%             | 2031-03-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2022-M1G, Class A2                                            | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4472504.00   | 0.56%             | 2031-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 314, Class 1                                               | CUSIP: 3136FABE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12810 | PA      | $11657.74     | 0.00%             | 2031-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3677, Class KB                                             | CUSIP: 3137A04H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477918 | PA      | $484438.01    | 0.06%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3677, Class PB                                             | CUSIP: 3137A05F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209466 | PA      | $212477.22    | 0.03%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3688, Class GT                                             | CUSIP: 3137A0ML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11204 | PA      | $12056.07     | 0.00%             | 2046-11-15      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3715, Class PC                                             | CUSIP: 3137A0TC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77476 | PA      | $78423.76     | 0.01%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3824, Class EY                                             | CUSIP: 3137A7SN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78856 | PA      | $78270.25     | 0.01%             | 2031-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3828, Class PU                                             | CUSIP: 3137A7V98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34440 | PA      | $35204.15     | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3819, Class ZQ                                             | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241296 | PA      | $256093.44    | 0.03%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3852, Class TP                                             | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97212 | PA      | $96780.25     | 0.01%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3898, Class KH                                             | CUSIP: 3137ADXN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        85 | PA      | $84.50        | 0.00%             | 2026-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3911, Class B                                              | CUSIP: 3137ADZD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9831 | PA      | $9798.53      | 0.00%             | 2026-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3956, Class EB                                             | CUSIP: 3137AHEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544376 | PA      | $521642.05    | 0.07%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3959, Class PB                                             | CUSIP: 3137AHH68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144249 | PA      | $143538.16    | 0.02%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3963, Class JB                                             | CUSIP: 3137AHVU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    776869 | PA      | $787207.31    | 0.10%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3955, Class HB                                             | CUSIP: 3137AJ7E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14507 | PA      | $14445.54     | 0.00%             | 2040-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4026, Class MQ                                             | CUSIP: 3137AP4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29743 | PA      | $29745.03     | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4238, Class UY                                             | CUSIP: 3137B4FJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1344620 | PA      | $1317989.75   | 0.17%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4616, Class HP                                             | CUSIP: 3137BS3J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749337 | PA      | $697130.37    | 0.09%             | 2046-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class A2 | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473000 | PA      | $470628.00    | 0.06%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K083, Class A2 | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594000 | PA      | $599046.62    | 0.08%             | 2028-09-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K737, Class AM | CUSIP: 3137FQXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3110000 | PA      | $3071080.84   | 0.39%             | 2026-10-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K145, Class AM | CUSIP: 3137H7YZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    880000 | PA      | $809051.14    | 0.10%             | 2032-06-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ44, Class A2 | CUSIP: 3137H9QU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1946766.60   | 0.24%             | 2033-02-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80755 | PA      | $83888.80     | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3138LDL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1576000 | PA      | $1566758.98   | 0.20%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3138LEJP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314859 | PA      | $1276899.27   | 0.16%             | 2028-08-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3138LKPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1133090 | PA      | $1119134.34   | 0.14%             | 2027-05-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3138LLEL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    907231 | PA      | $898015.96    | 0.11%             | 2027-11-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3138LLZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2271251 | PA      | $2246942.28   | 0.28%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3564137 | PA      | $3551470.45   | 0.45%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                              | CUSIP: 3138MDUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    846982 | PA      | $829428.70    | 0.10%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-63, Class TC                                           | CUSIP: 31392AUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16734 | PA      | $17356.69     | 0.00%             | 2031-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-81, Class HE                                           | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43847 | PA      | $46033.57     | 0.01%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-75, Class GB                                           | CUSIP: 31392FNE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7064 | PA      | $7038.45      | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-85, Class PE                                           | CUSIP: 31392FYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15336 | PA      | $15884.37     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-21, Class OU                                           | CUSIP: 31392J3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13743 | PA      | $14137.17     | 0.00%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-23, Class CH                                           | CUSIP: 31392J6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11783 | PA      | $12122.78     | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2505, Class D                                              | CUSIP: 31392UBG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25884 | PA      | $26742.18     | 0.00%             | 2032-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2525, Class AM                                             | CUSIP: 31392XUX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185943 | PA      | $188357.34    | 0.02%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-26, Class EB                                           | CUSIP: 31393AKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313036 | PA      | $309642.53    | 0.04%             | 2033-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-69, Class N                                            | CUSIP: 31393DHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80375 | PA      | $82240.97     | 0.01%             | 2033-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-80, Class QG                                           | CUSIP: 31393DK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90765 | PA      | $92858.25     | 0.01%             | 2033-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-63, Class YB                                           | CUSIP: 31393DRM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45432 | PA      | $46437.41     | 0.01%             | 2033-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-85, Class QD                                           | CUSIP: 31393EX87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44713 | PA      | $46477.59     | 0.01%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2544, Class KE                                             | CUSIP: 31393FPW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17926 | PA      | $18602.73     | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2557, Class HL                                             | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41989 | PA      | $42726.46     | 0.01%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2575, Class PE                                             | CUSIP: 31393KTB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15103 | PA      | $15663.62     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2586, Class WG                                             | CUSIP: 31393MW98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53109 | PA      | $53017.25     | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2596, Class QD                                             | CUSIP: 31393NXS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48045 | PA      | $47351.72     | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2621, Class QH                                             | CUSIP: 31393QB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63141 | PA      | $65020.24     | 0.01%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2624, Class QH                                             | CUSIP: 31393RJ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70416 | PA      | $72512.23     | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-5, Class CK                                            | CUSIP: 31394B4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35510 | PA      | $35371.19     | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-48, Class TD                                           | CUSIP: 31394DA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108242 | PA      | $112510.01    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-53, Class MJ                                           | CUSIP: 31394DE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105098 | PA      | $109153.08    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-29, Class WC                                           | CUSIP: 31394DGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69948 | PA      | $69592.87     | 0.01%             | 2035-04-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-68, Class BE                                           | CUSIP: 31394E4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84560 | PA      | $86849.37     | 0.01%             | 2035-08-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-68, Class PG                                           | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33497 | PA      | $34529.55     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-58, Class EP                                           | CUSIP: 31394ECS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4815 | PA      | $4973.42      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2648, Class BK                                             | CUSIP: 31394G4Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6918 | PA      | $7104.32      | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2673, Class PE                                             | CUSIP: 31394JKA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107651 | PA      | $112140.77    | 0.01%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2696, Class DG                                             | CUSIP: 31394KR89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97561 | PA      | $102112.84    | 0.01%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2725, Class TA                                             | CUSIP: 31394MWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190062 | PA      | $192501.48    | 0.02%             | 2033-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2733, Class ME                                             | CUSIP: 31394NUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94082 | PA      | $96511.30     | 0.01%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2760, Class KT                                             | CUSIP: 31394T5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22957 | PA      | $23228.31     | 0.00%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2768, Class PK                                             | CUSIP: 31394TAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104886 | PA      | $106997.46    | 0.01%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-102, Class PG                                          | CUSIP: 31394UKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148768 | PA      | $152427.55    | 0.02%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-110, Class GL                                          | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190184 | PA      | $197983.96    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-49, Class PA                                           | CUSIP: 31395DXA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20638 | PA      | $21762.40     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2934, Class KG                                             | CUSIP: 31395MDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81155 | PA      | $83391.70     | 0.01%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2960, Class JH                                             | CUSIP: 31395RD62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212290 | PA      | $221441.07    | 0.03%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3082, Class PW                                             | CUSIP: 31396G3K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15896 | PA      | $16554.00     | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3084, Class BH                                             | CUSIP: 31396GCR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330094 | PA      | $344023.54    | 0.04%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3098, Class KG                                             | CUSIP: 31396GS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357219 | PA      | $372533.09    | 0.05%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3121, Class JD                                             | CUSIP: 31396JG66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         7 | PA      | $7.05         | 0.00%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-114, Class HE                                          | CUSIP: 31396L3T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151108 | PA      | $156865.88    | 0.02%             | 2036-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3145, Class AJ                                             | CUSIP: 31396NCK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14448 | PA      | $15085.90     | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3136, Class CO                                             | CUSIP: 31396NGH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4082 | PA      | $3604.46      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-37, Class KI                                           | CUSIP: 31396QAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2335 | PA      | $167.77       | 0.00%             | 2039-06-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3150, Class EQ                                             | CUSIP: 31396RBY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       285 | PA      | $284.93       | 0.00%             | 2026-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-33, Class HE                                           | CUSIP: 31396VGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11423 | PA      | $11971.91     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-65, Class KI                                           | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2724 | PA      | $276.45       | 0.00%             | 2037-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-71, Class KP                                           | CUSIP: 31396WNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6777 | PA      | $6752.00      | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-71, Class GB                                           | CUSIP: 31396WNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88643 | PA      | $94360.93     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3200                                                       | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27034 | PA      | $23541.36     | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3270, Class AT                                             | CUSIP: 31397EQH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8762 | PA      | $9134.90      | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3272, Class PA                                             | CUSIP: 31397FAG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2621 | PA      | $2817.79      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3337, Class MD                                             | CUSIP: 31397HN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2159 | PA      | $2160.58      | 0.00%             | 2027-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3348, Class HT                                             | CUSIP: 31397JLW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23422 | PA      | $25019.59     | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-72, Class BX                                           | CUSIP: 31397MJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7174 | PA      | $7495.67      | 0.00%             | 2038-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-74, Class B                                            | CUSIP: 31397MNW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2991 | PA      | $3145.76      | 0.00%             | 2038-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-39, Class LB                                           | CUSIP: 31397NG90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16989 | PA      | $16976.33     | 0.00%             | 2029-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-19, Class PW                                           | CUSIP: 31397NUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117237 | PA      | $119057.43    | 0.01%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-50, Class LP                                           | CUSIP: 31397S7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266485 | PA      | $266153.23    | 0.03%             | 2041-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-41, Class KL                                           | CUSIP: 31397SU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713053 | PA      | $707377.27    | 0.09%             | 2041-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-39, Class ZA                                           | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194181 | PA      | $203288.93    | 0.03%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3501, Class A                                              | CUSIP: 31397YS36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78834 | PA      | $78361.54     | 0.01%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3513, Class A                                              | CUSIP: 31397YVP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5217 | PA      | $5311.18      | 0.00%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3508, Class PK                                             | CUSIP: 31397YWZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1446 | PA      | $1407.57      | 0.00%             | 2039-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-86, Class OT                                           | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14841 | PA      | $12910.76     | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-86, Class IP                                           | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5175 | PA      | $841.21       | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-92, Class AD                                           | CUSIP: 31398FVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23215 | PA      | $23200.78     | 0.00%             | 2039-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-96, Class CB                                           | CUSIP: 31398FXJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12519 | PA      | $11934.51     | 0.00%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-96, Class DB                                           | CUSIP: 31398FXL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17298 | PA      | $17259.44     | 0.00%             | 2029-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-112, Class ST                                          | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36583 | PA      | $3924.65      | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3563, Class LB                                             | CUSIP: 31398JGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1869 | PA      | $1859.65      | 0.00%             | 2029-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-28, Class DE                                           | CUSIP: 31398MG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66931 | PA      | $67864.84     | 0.01%             | 2030-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-22, Class PE                                           | CUSIP: 31398MHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774364 | PA      | $796034.75    | 0.10%             | 2040-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-37, Class CY                                           | CUSIP: 31398MJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436799 | PA      | $448856.22    | 0.06%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-123, Class BP                                          | CUSIP: 31398NU85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093783 | PA      | $1110788.23   | 0.14%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-35, Class SB                                           | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12788 | PA      | $876.09       | 0.00%             | 2040-04-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-64, Class DM                                           | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1275 | PA      | $1298.72      | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-54, Class EA                                           | CUSIP: 31398RUH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7935 | PA      | $7942.56      | 0.00%             | 2040-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-71, Class HJ                                           | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47373 | PA      | $49359.27     | 0.01%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3653, Class B                                              | CUSIP: 31398VWE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24814 | PA      | $24959.83     | 0.00%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3653, Class HJ                                             | CUSIP: 31398VXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237502 | PA      | $245882.00    | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24150 | PA      | $25356.03     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140A4N98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461166 | PA      | $480642.18    | 0.06%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140ABE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2430277 | PA      | $2443327.17   | 0.31%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140ABUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3027911 | PA      | $3078785.88   | 0.39%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140ADA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2704576 | PA      | $2783294.23   | 0.35%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140FUH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396434 | PA      | $390873.40    | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2623682 | PA      | $2749636.67   | 0.35%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140FXW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656526 | PA      | $1617270.41   | 0.20%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140FXZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2044420 | PA      | $1963235.44   | 0.25%             | 2063-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    698470 | PA      | $699321.44    | 0.09%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082344 | PA      | $1038631.89   | 0.13%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140J73H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777060 | PA      | $766202.89    | 0.10%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623389 | PA      | $625510.09    | 0.08%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140J8TU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105457 | PA      | $104084.92    | 0.01%             | 2029-10-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2927695 | PA      | $2839640.31   | 0.36%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993693 | PA      | $884104.24    | 0.11%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140JCBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1929224 | PA      | $1726743.83   | 0.22%             | 2059-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140LDHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $2907116.42   | 0.37%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140LFVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2393690 | PA      | $2228840.23   | 0.28%             | 2032-03-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140LKD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3775000 | PA      | $3805267.38   | 0.48%             | 2028-05-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 3140LKNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1034336.79   | 0.13%             | 2033-05-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140M6SP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1726532 | PA      | $1759895.60   | 0.22%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140QUBV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976386 | PA      | $2014574.14   | 0.25%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140XD2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873986 | PA      | $1714549.33   | 0.22%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140XNMS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082341 | PA      | $1101969.54   | 0.14%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140XPTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946421 | PA      | $865298.63    | 0.11%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140XRJG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1786706 | PA      | $1819776.47   | 0.23%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 3140XRTH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1269349 | PA      | $1298047.42   | 0.16%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31410GB51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155392 | PA      | $165344.58    | 0.02%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3686 | PA      | $3927.04      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31413MDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17495 | PA      | $18455.50     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31416AVB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74881 | PA      | $79530.64     | 0.01%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8910 | PA      | $9486.68      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397812 | PA      | $394715.03    | 0.05%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                              | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194995 | PA      | $193592.42    | 0.02%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568093 | PA      | $546968.98    | 0.07%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                     | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548855 | PA      | $528444.85    | 0.07%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145794 | PA      | $150381.81    | 0.02%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                              | CUSIP: 31419AXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326026 | PA      | $330244.00    | 0.04%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                             | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3114131 | PA      | $3183259.07   | 0.40%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                            | Fells Point Funding Trust                                                       | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    864000 | PA      | $856219.01    | 0.11%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Fifth Third Bancorp                                  | Fifth Third Bancorp                                                             | CUSIP: 316773CV0<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    800000 | PA      | $800297.09    | 0.10%             | 2028-03-14      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                  | Fifth Third Bancorp                                                             | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     66000 | PA      | $69618.92     | 0.01%             | 2032-01-29      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bank NA                                  | Fifth Third Bank NA                                                             | CUSIP: 31677QBR9<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246454.80    | 0.03%             | 2027-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Wachovia Corp.                                       | Wachovia Corp.                                                                  | CUSIP: 337358BH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    366000 | PA      | $371001.29    | 0.05%             | 2026-08-01      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR2, Class D                                 | CUSIP: 33767TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2855926.96   | 0.36%             | 2038-09-17      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $592037.82    | 0.07%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                         | Fiserv, Inc.                                                                    | CUSIP: 337738BK3<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    850000 | PA      | $874999.21    | 0.11%             | 2031-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust II                        | Five Corners Funding Trust II                                                   | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $379388.85    | 0.05%             | 2030-05-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                         | Flex Intermediate Holdco LLC                                                    | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1425080.14   | 0.18%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                            | Florida Power & Light Co.                                                       | CUSIP: 341081GU5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1054234.44   | 0.13%             | 2034-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                         | Ford Credit Auto Owner Trust, Series 2026-1, Class A                            | CUSIP: 34532XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1095000 | PA      | $1112829.12   | 0.14%             | 2038-08-15      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Fortis, Inc.                                         | Fortis, Inc.                                                                    | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |   1021000 | PA      | $1014615.02   | 0.13%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT              | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    295100 | PA      | $275667.66    | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C            | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1094417 | PA      | $1033614.95   | 0.13%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C            | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100713 | PA      | $1040784.97   | 0.13%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D            | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1143963 | PA      | $1096521.34   | 0.14%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D            | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    260026 | PA      | $248900.82    | 0.03%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G            | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2628017 | PA      | $2408096.39   | 0.30%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction                | Seasoned Loans Structured Transaction, Series 2018-2, Class A1                  | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    287622 | PA      | $285082.48    | 0.04%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542419 | PA      | $535164.61    | 0.07%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                | CUSIP: 3617H9N97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61547 | PA      | $61307.83     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                | CUSIP: 3617K1XV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192299 | PA      | $190732.23    | 0.02%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47388 | PA      | $51113.80     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                              | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                              | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27920 | PA      | $28035.54     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                | GM Financial Automobile Leasing Trust, Series 2024-2, Class A3                  | CUSIP: 36269WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315322 | PA      | $316540.13    | 0.04%             | 2027-07-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2025-1A, Class A2                     | CUSIP: 36271FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258733 | PA      | $260362.79    | 0.03%             | 2030-04-15      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-4A, Class C                      | CUSIP: 36273HAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $679376.05    | 0.09%             | 2031-08-15      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| General Mills, Inc.                                  | General Mills, Inc.                                                             | CUSIP: 370334CT9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    151000 | PA      | $154404.49    | 0.02%             | 2033-03-29      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                   | General Motors Financial Co., Inc.                                              | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    940000 | PA      | $855488.39    | 0.11%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                   | General Motors Financial Co., Inc.                                              | CUSIP: 37045XEZ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511290.96    | 0.06%             | 2029-10-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                    | Georgia Power Co.                                                               | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    550000 | PA      | $568378.17    | 0.07%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                 | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    460000 | PA      | $426465.00    | 0.05%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                 | Glencore Funding LLC                                                            | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    650000 | PA      | $606576.24    | 0.08%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                           | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    400000 | PA      | $383593.74    | 0.05%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                           | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    901000 | PA      | $886582.39    | 0.11%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                 | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1512000 | PA      | $1352895.14   | 0.17%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                 | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2158216.48   | 0.27%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                 | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1781360.69   | 0.22%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                 | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    170000 | PA      | $171195.71    | 0.02%             | 2037-01-21      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                         | Goodman US Finance Three LLC                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    363000 | PA      | $360249.49    | 0.05%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-72, Class SM                                                  | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68467 | PA      | $5414.36      | 0.00%             | 2039-08-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-29, Class PD                                                  | CUSIP: 38373S7F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89597 | PA      | $89446.41     | 0.01%             | 2033-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-35, Class NF                                                  | CUSIP: 3837422X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45118 | PA      | $45021.14     | 0.01%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-56, Class PX                                                  | CUSIP: 3837426V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152733 | PA      | $152392.39    | 0.02%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2007-79, Class BL                                                  | CUSIP: 383742DX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61996 | PA      | $61872.75     | 0.01%             | 2037-08-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-34, Class PG                                                  | CUSIP: 383742M34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52167 | PA      | $52055.58     | 0.01%             | 2038-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-23, Class YA                                                  | CUSIP: 383742WE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44814 | PA      | $45095.77     | 0.01%             | 2038-03-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-65, Class AP                                                  | CUSIP: 38374BQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30193 | PA      | $30144.90     | 0.00%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2004-16, Class GC                                                  | CUSIP: 38374FHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326526 | PA      | $328075.30    | 0.04%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2004-54, Class BG                                                  | CUSIP: 38374HQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7137 | PA      | $7244.96      | 0.00%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2004-93, Class PD                                                  | CUSIP: 38374J6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190597 | PA      | $190298.21    | 0.02%             | 2034-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2004-101, Class BE                                                 | CUSIP: 38374JB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167103 | PA      | $167277.39    | 0.02%             | 2034-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2005-33, Class AY                                                  | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74603 | PA      | $74496.72     | 0.01%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2005-26, Class XY                                                  | CUSIP: 38374KP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302032 | PA      | $308600.99    | 0.04%             | 2035-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2005-11, Class PL                                                  | CUSIP: 38374KZV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82738 | PA      | $83208.68     | 0.01%             | 2035-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2005-49, Class B                                                   | CUSIP: 38374LKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27260 | PA      | $27720.91     | 0.00%             | 2035-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2005-56, Class BD                                                  | CUSIP: 38374LRM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10192 | PA      | $10665.06     | 0.00%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2005-51, Class DC                                                  | CUSIP: 38374LXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65970 | PA      | $66403.17     | 0.01%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2006-7, Class ND                                                   | CUSIP: 38374MXA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9954 | PA      | $10146.37     | 0.00%             | 2035-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class AG                                                  | CUSIP: 38374XAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55288 | PA      | $55587.45     | 0.01%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-58, Class PE                                                  | CUSIP: 38375DKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374621 | PA      | $378730.37    | 0.05%             | 2038-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-76, Class US                                                  | CUSIP: 38375DUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34483 | PA      | $685.80       | 0.00%             | 2038-09-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-95, Class DS                                                  | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31957 | PA      | $256.86       | 0.00%             | 2038-12-20      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2007-37, Class LB                                                  | CUSIP: 38375KLC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79532 | PA      | $80354.02     | 0.01%             | 2037-06-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-7, Class PQ                                                   | CUSIP: 38375PK59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184295 | PA      | $183818.69    | 0.02%             | 2038-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-9, Class PW                                                   | CUSIP: 38375PKJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192092 | PA      | $192596.22    | 0.02%             | 2038-02-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-33, Class PB                                                  | CUSIP: 38375QEY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156345 | PA      | $157404.01    | 0.02%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-38, Class BG                                                  | CUSIP: 38375QGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234862 | PA      | $236559.52    | 0.03%             | 2038-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-43, Class NB                                                  | CUSIP: 38375QQM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78644 | PA      | $78938.43     | 0.01%             | 2038-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H11, Class VA                                                 | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369969 | PA      | $370048.81    | 0.05%             | 2064-06-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-62, Class SA                                                  | CUSIP: 38375XHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1010 | PA      | $5.62         | 0.00%             | 2038-07-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-61, Class AP                                                  | CUSIP: 38376FFN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4871 | PA      | $4821.83      | 0.00%             | 2039-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-106, Class ST                                                 | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55180 | PA      | $709.89       | 0.00%             | 2038-02-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-97, Class WA                                                  | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240993 | PA      | $246112.08    | 0.03%             | 2038-11-20      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H20, Class FA                                                 | CUSIP: 38376RFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316181 | PA      | $316109.61    | 0.04%             | 2065-08-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H26, Class FG                                                 | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271349 | PA      | $271489.31    | 0.03%             | 2065-10-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-130, Class BD                                                 | CUSIP: 38377LQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172182 | PA      | $171455.53    | 0.02%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-157, Class OP                                                 | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55584 | PA      | $48642.50     | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Graphic Packaging International LLC                  | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    453000 | PA      | $451177.34    | 0.06%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2025-3A, Class A2                | CUSIP: 39571WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345000 | PA      | $348932.17    | 0.04%             | 2060-12-27      | Fixed         | 4.59%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                       | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    964000 | PA      | $964945.67    | 0.12%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                       | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $484382.40    | 0.06%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                       | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    700000 | PA      | $632195.56    | 0.08%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                       | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    510000 | PA      | $510829.63    | 0.06%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1040000 | PA      | $1034378.20   | 0.13%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1641000 | PA      | $1549610.05   | 0.19%             | 2031-06-04      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                               | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $291014.99    | 0.04%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                               | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    695000 | PA      | $702963.00    | 0.09%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                      | Halliburton Co.                                                                 | CUSIP: 406216BL4<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    400000 | PA      | $383193.07    | 0.05%             | 2030-03-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                         | Hasbro, Inc.                                                                    | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    592000 | PA      | $586914.12    | 0.07%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Healthpeak OP LLC                                    | Healthpeak OP LLC                                                               | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    470000 | PA      | $447062.54    | 0.06%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                         | HERO Funding, Series 2017-3A, Class A2                                          | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |     83547 | PA      | $79275.15     | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                          | Hertz Vehicle Financing LLC, Series 2025-2A, Class A                            | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $267877.87    | 0.03%             | 2031-09-25      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2025-3A, Class A                            | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1330000 | PA      | $1359630.94   | 0.17%             | 2029-12-26      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                       | Hewlett Packard Enterprise Co.                                                  | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     42000 | PA      | $41618.83     | 0.01%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2025-3EXT, Class B                         | CUSIP: 43283DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327059 | PA      | $330315.58    | 0.04%             | 2044-10-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2025-2A, Class A                           | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310909 | PA      | $313451.70    | 0.04%             | 2044-05-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2025-2A, Class B                           | CUSIP: 43285JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265958 | PA      | $268164.82    | 0.03%             | 2044-05-25      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2022-1, Class D                          | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144620 | PA      | $1136138.45   | 0.14%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Humana, Inc.                                         | Humana, Inc.                                                                    | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    492000 | PA      | $491440.31    | 0.06%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                          | Huntington Bancshares, Inc.                                                     | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    900000 | PA      | $931676.02    | 0.12%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    903000 | PA      | $895072.66    | 0.11%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    919000 | PA      | $896016.79    | 0.11%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    300000 | PA      | $288303.54    | 0.04%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2026-A, Class A3                | CUSIP: 448970AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $471997.08    | 0.06%             | 2028-12-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                       | Hyundai Auto Receivables Trust, Series 2025-A, Class A3                         | CUSIP: 44935CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    714000 | PA      | $719697.72    | 0.09%             | 2029-10-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A3                | CUSIP: 44935DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497000 | PA      | $501342.49    | 0.06%             | 2028-04-17      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-A, Class A3                | CUSIP: 44935WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497000 | PA      | $501195.72    | 0.06%             | 2028-01-18      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| ING Groep NV                                         | ING Groep NV                                                                    | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    880000 | PA      | $878332.80    | 0.11%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Interstate Power and Light Co.                       | Interstate Power and Light Co.                                                  | CUSIP: 461070AP9<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30112.16     | 0.00%             | 2028-09-26      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Interstate Power and Light Co.                       | Interstate Power and Light Co.                                                  | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    142000 | PA      | $143725.99    | 0.02%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                   | ITC Holdings Corp.                                                              | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    451000 | PA      | $429175.72    | 0.05%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                              | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36645 | PA      | $36570.09     | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A5                              | CUSIP: 46630GAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10383 | PA      | $10392.02     | 0.00%             | 2035-07-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                     | JPMorgan Prime Money Market Fund, Class IM                                      | CUSIP: 46637K844<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |  11493229 | NS      | $11497826.14  | 1.44%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS NV                                               | JBS NV                                                                          | CUSIP: 472140AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    710000 | PA      | $728594.62    | 0.09%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                         | KBC Group NV                                                                    | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    380000 | PA      | $382918.45    | 0.05%             | 2031-09-23      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                              | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    526000 | PA      | $539602.99    | 0.07%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                     | Kilroy Realty LP                                                                | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $894809.48    | 0.11%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                | Kraft Heinz Foods Co.                                                           | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    600000 | PA      | $602215.58    | 0.08%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                     | Kroger Co. (The)                                                                | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    485000 | PA      | $493137.55    | 0.06%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                            | Kubota Credit Owner Trust, Series 2023-1A, Class A3                             | CUSIP: 50117KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348170 | PA      | $349249.26    | 0.04%             | 2027-06-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2026-RTL1, Class A1                                | CUSIP: 50206JAA3<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $296235.96    | 0.04%             | 2041-01-25      | Variable      | 4.91%                 | Yes           |                  3 | On Loan: No      |
| LSEG Finance plc                                     | LSEG Finance plc                                                                | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    890000 | PA      | $854293.16    | 0.11%             | 2028-04-06      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                          | L3Harris Technologies, Inc.                                                     | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    625000 | PA      | $624562.19    | 0.08%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                         | Leidos, Inc.                                                                    | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    767000 | PA      | $696781.75    | 0.09%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2025-1A, Class A                                 | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    733000 | PA      | $743775.39    | 0.09%             | 2034-09-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                        | CUSIP: 53944YAD5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    469000 | PA      | $468866.16    | 0.06%             | 2027-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                        | CUSIP: 53944YBG7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $587707.51    | 0.07%             | 2030-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| M&T Bank RV Trust                                    | M&T Bank RV Trust, Series 2026-1A, Class A                                      | CUSIP: 551923AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $312735.32    | 0.04%             | 2046-01-15      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| M&T Bank Corp.                                       | M&T Bank Corp.                                                                  | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    620000 | PA      | $640294.13    | 0.08%             | 2031-07-08      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                         | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    458000 | PA      | $458272.96    | 0.06%             | 2027-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                         | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    300000 | PA      | $281118.48    | 0.04%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                             | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $267000.00    | 0.03%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2021-1WA, Class A                                               | CUSIP: 55389TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50357 | PA      | $48922.13     | 0.01%             | 2041-01-22      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2021-2A, Class A                                                | CUSIP: 55400KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274649 | PA      | $261986.44    | 0.03%             | 2039-05-20      | Fixed         | 1.43%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                 | Macquarie Group Ltd.                                                            | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    300000 | PA      | $275908.84    | 0.03%             | 2032-06-23      | Variable      | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                 | Macquarie Group Ltd.                                                            | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $205123.90    | 0.03%             | 2030-01-15      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                   | Macquarie Airfinance Holdings Ltd.                                              | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   1037000 | PA      | $1093562.77   | 0.14%             | 2029-03-26      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                   | Macquarie Airfinance Holdings Ltd.                                              | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $647395.24    | 0.08%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | OIS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  23480000 | PA      | $237289.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  17135000 | PA      | $221375.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Mars, Inc.                                           | Mars, Inc.                                                                      | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    217000 | PA      | $224782.52    | 0.03%             | 2032-03-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                      | Martin Marietta Materials, Inc., Series CB                                      | CUSIP: 573284AV8<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37708.67     | 0.00%             | 2030-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                        | CUSIP: 573874AJ3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1048701.45   | 0.13%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                        | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |     42000 | PA      | $43723.46     | 0.01%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19139 | PA      | $18891.59     | 0.00%             | 2034-04-21      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CDI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        | 109235000 | PA      | $-68482.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust                       | Mercedes-Benz Auto Lease Trust, Series 2025-A, Class A4                         | CUSIP: 58768YAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $260023.53    | 0.03%             | 2031-02-18      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust               | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                 | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6379 | PA      | $6290.96      | 0.00%             | 2028-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust               | Merrill Lynch Mortgage Investors Trust, Series 2004-B, Class A1                 | CUSIP: 59020UBU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20678 | PA      | $20352.29     | 0.00%             | 2029-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  78380000 | PA      | $-562136.79   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   7975000 | PA      | $-50334.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  11780000 | PA      | $-114172.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  30795000 | PA      | $-215612.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4570000 | PA      | $-43788.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  21360000 | PA      | $-125247.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  11665000 | PA      | $-92475.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14935000 | PA      | $-127056.19   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                            | Mid-America Apartments LP                                                       | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    687000 | PA      | $610339.37    | 0.08%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6885000 | PA      | $-37634.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14970000 | PA      | $-51729.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  71145000 | PA      | $-406726.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  56595000 | PA      | $-426921.26   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3955000 | PA      | $-6811.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  27645000 | PA      | $-130280.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi HC Finance America LLC                    | Mitsubishi HC Finance America LLC                                               | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207860.59    | 0.03%             | 2028-09-12      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                 | Mitsubishi UFJ Financial Group, Inc.                                            | CUSIP: 606822CC6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $591774.41    | 0.07%             | 2028-01-19      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                 | Mitsubishi UFJ Financial Group, Inc.                                            | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $207492.75    | 0.03%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Mitsui Fudosan Co. Ltd.                              | Mitsui Fudosan Co. Ltd.                                                         | CUSIP: 60683MAA7<br>LEI: 353800ND4ZKNZDYKMF33 | Long             | DBT              | CORP              | JP        |    519000 | PA      | $516345.21    | 0.06%             | 2027-07-20      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                         | Mizuho Financial Group, Inc.                                                    | CUSIP: 60687YDD8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1950000 | PA      | $2024714.78   | 0.25%             | 2030-05-26      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   8370000 | PA      | $-62733.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  11990000 | PA      | $-123709.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   8310000 | PA      | $-47959.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                  | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    963000 | PA      | $965195.84    | 0.12%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    910000 | PA      | $807598.93    | 0.10%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                   | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                     | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11396 | PA      | $11381.32     | 0.00%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3740000 | PA      | $3844605.93   | 0.48%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                  | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    800000 | PA      | $806819.37    | 0.10%             | 2037-01-30      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust, Series 2021-PLZA, Class A                       | CUSIP: 61773PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1958000 | PA      | $1722026.54   | 0.22%             | 2043-11-09      | Fixed         | 2.57%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5050000 | PA      | $-8434.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  21720000 | PA      | $19814.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | USCPI                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  11750000 | PA      | $-4192.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2025-1A, Class B                                                | CUSIP: 627924AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295456 | PA      | $301391.91    | 0.04%             | 2042-09-22      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2024-1A, Class A                                                | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425417 | PA      | $435697.17    | 0.05%             | 2043-02-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| NBN Co. Ltd.                                         | NBN Co. Ltd.                                                                    | CUSIP: 62878U2B7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | NUSS              | AU        |    700000 | PA      | $651972.03    | 0.08%             | 2031-05-05      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                      | NGPL PipeCo LLC                                                                 | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    471000 | PA      | $441751.43    | 0.06%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                     | NRG Energy, Inc.                                                                | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    805000 | PA      | $779913.70    | 0.10%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                               | NXP BV                                                                          | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1058000 | PA      | $968990.46    | 0.12%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                         | Nasdaq, Inc.                                                                    | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    321000 | PA      | $338311.09    | 0.04%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                       | NNN REIT, Inc.                                                                  | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    247000 | PA      | $246275.76    | 0.03%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                       | NNN REIT, Inc.                                                                  | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    870000 | PA      | $875909.29    | 0.11%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                     | CUSIP: 63861VAH0<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $507285.74    | 0.06%             | 2027-07-27      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                     | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    445000 | PA      | $459844.84    | 0.06%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                               | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    486000 | PA      | $482724.69    | 0.06%             | 2027-06-14      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                               | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1320000 | PA      | $1404058.68   | 0.18%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                | NextEra Energy Capital Holdings, Inc.                                           | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185585.08    | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                | NextEra Energy Capital Holdings, Inc.                                           | CUSIP: 65339KDK3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    600000 | PA      | $628940.81    | 0.08%             | 2032-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                           | Niagara Mohawk Power Corp.                                                      | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    500000 | PA      | $458134.86    | 0.06%             | 2030-06-27      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                           | Niagara Mohawk Power Corp.                                                      | CUSIP: 65364UAV8<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608464.19    | 0.08%             | 2036-01-12      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                       | NiSource, Inc.                                                                  | CUSIP: 65473PAN5<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    566000 | PA      | $580346.41    | 0.07%             | 2028-03-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Lease Trust                              | Nissan Auto Lease Trust, Series 2025-A, Class A3                                | CUSIP: 65479XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1145000 | PA      | $1158032.16   | 0.15%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                | Nomura Holdings, Inc.                                                           | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $985939.63    | 0.12%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                            | O'Reilly Automotive, Inc.                                                       | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    403000 | PA      | $401043.25    | 0.05%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                            | O'Reilly Automotive, Inc.                                                       | CUSIP: 67103HAK3<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    200000 | PA      | $177640.11    | 0.02%             | 2031-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                            | O'Reilly Automotive, Inc.                                                       | CUSIP: 67103HAM9<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    195000 | PA      | $197292.30    | 0.02%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                          | ONEOK, Inc.                                                                     | CUSIP: 682680DB6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $915645.45    | 0.12%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A                  | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2334000 | PA      | $2352944.61   | 0.30%             | 2029-11-14      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust | Ontario Teachers' Cadillac Fairview Properties Trust                            | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    325000 | PA      | $324805.44    | 0.04%             | 2027-03-20      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                    | CUSIP: 68389XAE5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51805.24     | 0.01%             | 2038-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                    | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59640.72     | 0.01%             | 2026-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    502000 | PA      | $456253.69    | 0.06%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                    | CUSIP: 68389XCM5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     95000 | PA      | $95565.34     | 0.01%             | 2028-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                    | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $977125.24    | 0.12%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                    | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    360000 | PA      | $360201.63    | 0.05%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2026-A, Class B                                  | CUSIP: 68390VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590000 | PA      | $593443.65    | 0.07%             | 2034-01-09      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Orange SA                                            | Orange SA                                                                       | CUSIP: 685218AF6<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $251099.30    | 0.03%             | 2036-01-13      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                   | PG&E Wildfire Recovery Funding LLC, Series A-2                                  | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    848000 | PA      | $840885.96    | 0.11%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PHH Mortgage Trust                                   | PHH Mortgage Trust, Series 2008-CIM2, Class 5A1                                 | CUSIP: 69338AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7082 | PA      | $7147.57      | 0.00%             | 2038-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                        | CUSIP: 693475BV6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    340000 | PA      | $344076.96    | 0.04%             | 2028-01-21      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                        | CUSIP: 693475CB9<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    350000 | PA      | $364014.30    | 0.05%             | 2031-01-29      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                        | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    800000 | PA      | $829423.68    | 0.10%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                            | PPL Capital Funding, Inc.                                                       | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    500000 | PA      | $516620.21    | 0.06%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                         | Pacific Gas and Electric Co.                                                    | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    458000 | PA      | $458000.00    | 0.06%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                         | Pacific Gas and Electric Co.                                                    | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    978999 | PA      | $983626.25    | 0.12%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                         | Pacific Gas and Electric Co.                                                    | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    571000 | PA      | $595361.17    | 0.07%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                         | Pacific Gas and Electric Co.                                                    | CUSIP: 694308LA3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401326.79    | 0.05%             | 2036-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                   | Republic of Panama                                                              | CUSIP: 698299CB8<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    462000 | PA      | $461718.97    | 0.06%             | 2034-02-23      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                | FirstEnergy Pennsylvania Electric Co.                                           | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    656000 | PA      | $646237.85    | 0.08%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC                     | PG&E Energy Recovery Funding LLC, Series A-2                                    | CUSIP: 71710TAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $191032.54    | 0.02%             | 2036-01-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                           | DOC DR LLC                                                                      | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    409000 | PA      | $371859.43    | 0.05%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                      | Plains All American Pipeline LP                                                 | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $686472.12    | 0.09%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                           | Potomac Electric Power Co.                                                      | CUSIP: 737679DH0<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |    172000 | PA      | $179520.14    | 0.02%             | 2034-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                      | Prestige Auto Receivables Trust, Series 2024-2A, Class B                        | CUSIP: 74113SAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88000 | PA      | $87957.25     | 0.01%             | 2029-02-15      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                      | Principal Financial Group, Inc.                                                 | CUSIP: 74251VAM4<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19877.97     | 0.00%             | 2026-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                      | Principal Financial Group, Inc.                                                 | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29690.35     | 0.00%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR9, Class E1                          | CUSIP: 74333QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1048000 | PA      | $1001562.39   | 0.13%             | 2040-11-17      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR8, Class E1                          | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144000 | PA      | $1127930.92   | 0.14%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR11, Class A                          | CUSIP: 74333XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1969601 | PA      | $1875268.91   | 0.24%             | 2039-01-17      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2023-SFR1, Class A                           | CUSIP: 74334FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230489 | PA      | $1232368.34   | 0.15%             | 2040-03-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2025-SFR2, Class A                           | CUSIP: 74334GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1244331 | PA      | $1198235.43   | 0.15%             | 2042-04-17      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2025-SFR1, Class A                           | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1096123 | PA      | $1061897.51   | 0.13%             | 2042-02-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                       | Public Service Co. of Oklahoma                                                  | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    123000 | PA      | $125617.73    | 0.02%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                | Public Service Enterprise Group, Inc.                                           | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    300000 | PA      | $269098.01    | 0.03%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                   | Puget Energy, Inc.                                                              | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    934000 | PA      | $900098.20    | 0.11%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding LLC                         | Purchasing Power Funding LLC, Series 2026-A, Class A                            | CUSIP: 74614AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $540852.12    | 0.07%             | 2030-08-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                | Quanta Services, Inc.                                                           | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    446000 | PA      | $398660.36    | 0.05%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                | Quanta Services, Inc.                                                           | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    188000 | PA      | $194794.51    | 0.02%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                              | Quest Diagnostics, Inc.                                                         | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299617.73    | 0.04%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                              | Quest Diagnostics, Inc.                                                         | CUSIP: 74834LBB5<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     93000 | PA      | $88677.48     | 0.01%             | 2030-06-30      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                              | Quest Diagnostics, Inc.                                                         | CUSIP: 74834LBC3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    287000 | PA      | $267804.13    | 0.03%             | 2031-06-30      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                              | RPM International, Inc.                                                         | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |    438000 | PA      | $402708.79    | 0.05%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDL5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $738630.02    | 0.09%             | 2027-12-15      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDS0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $257433.43    | 0.03%             | 2029-02-28      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                            | RTX Corp.                                                                       | CUSIP: 75513ECU3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1891238.56   | 0.24%             | 2029-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                      | Reach ABS Trust, Series 2026-1A, Class C                                        | CUSIP: 75526XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    765000 | PA      | $769091.99    | 0.10%             | 2033-02-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corp.                                  | Realty Income Corp.                                                             | CUSIP: 756109AR5<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600553.92    | 0.08%             | 2026-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                   | Regency Centers LP                                                              | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    350000 | PA      | $345361.33    | 0.04%             | 2030-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                             | Roper Technologies, Inc.                                                        | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    600000 | PA      | $596381.01    | 0.07%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                            | CUSIP: 78017DAQ1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $603870.74    | 0.08%             | 2031-11-03      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                             | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263000 | PA      | $268474.00    | 0.03%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2024-1A, Class B                              | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1039574.50   | 0.13%             | 2032-04-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                             | SCE Recovery Funding LLC, Series A-2                                            | CUSIP: 78433LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $225673.82    | 0.03%             | 2038-05-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                             | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $495276.78    | 0.06%             | 2036-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2025-2A, Class C                              | CUSIP: 78439XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $291113.11    | 0.04%             | 2036-06-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                     | SLG Office Trust, Series 2021-OVA, Class A                                      | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1614052.56   | 0.20%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                         | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    550000 | PA      | $556134.89    | 0.07%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                             | Safehold GL Holdings LLC                                                        | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    271000 | PA      | $250023.58    | 0.03%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                      | Santander UK Group Holdings plc                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $782485.23    | 0.10%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-5, Class B                  | CUSIP: 80286PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740000 | PA      | $748440.37    | 0.09%             | 2029-12-17      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-2, Class C                  | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298000 | PA      | $304873.79    | 0.04%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-3, Class C                  | CUSIP: 80287LAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1108000 | PA      | $1132717.15   | 0.14%             | 2030-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class C                  | CUSIP: 80288DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    476000 | PA      | $483813.64    | 0.06%             | 2031-03-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2026-1, Class C                  | CUSIP: 80288FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $376298.85    | 0.05%             | 2032-04-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-3, Class C                  | CUSIP: 80288JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $384809.74    | 0.05%             | 2031-09-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-4, Class B                  | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    583000 | PA      | $587970.19    | 0.07%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-4, Class C                  | CUSIP: 802923AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $96189.27     | 0.01%             | 2032-01-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                          | Schlumberger Holdings Corp.                                                     | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |    539000 | PA      | $539307.83    | 0.07%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Sempra                                               | Sempra                                                                          | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    800000 | PA      | $791583.02    | 0.10%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust, Series 2004-11, Class A1                                | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38513 | PA      | $35858.18     | 0.00%             | 2034-12-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class A               | CUSIP: 82650TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27352 | PA      | $27471.69     | 0.00%             | 2040-06-20      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Simon Property Group LP                              | Simon Property Group LP                                                         | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190140.43    | 0.02%             | 2029-09-13      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                     | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |    400000 | PA      | $405151.62    | 0.05%             | 2030-09-03      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                       | Smurfit Westrock Financing DAC                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    237000 | PA      | $245974.88    | 0.03%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                             | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $476207.43    | 0.06%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                             | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $3201312.69   | 0.40%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                             | CUSIP: 83368RCN0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $402414.21    | 0.05%             | 2037-04-10      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                      | Solventum Corp.                                                                 | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    350000 | PA      | $365940.90    | 0.05%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Sonoco Products Co.                                  | Sonoco Products Co.                                                             | CUSIP: 835495AS1<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    808000 | PA      | $815965.39    | 0.10%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                       | Southern California Edison Co.                                                  | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1028925.96   | 0.13%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                   | Southern Co. (The)                                                              | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    207000 | PA      | $220174.86    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Southwestern Electric Power Co.                      | Southwestern Electric Power Co., Series M                                       | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1011384.84   | 0.13%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SpringCastle America Funding LLC                     | SpringCastle America Funding LLC, Series 2020-AA, Class A                       | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91057 | PA      | $86380.15     | 0.01%             | 2037-09-25      | Fixed         | 1.97%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                               | Standard Chartered plc                                                          | CUSIP: 85325C2J0<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $614830.14    | 0.08%             | 2036-08-12      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                 | Steel Dynamics, Inc.                                                            | CUSIP: 858119BQ2<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103928.70    | 0.01%             | 2034-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                          | Stellantis Finance US, Inc.                                                     | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    678000 | PA      | $592592.86    | 0.07%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  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        |    507038 | PA      | $515670.16    | 0.06%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                | Sumitomo Mitsui Financial Group, Inc.                                           | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1425245.12   | 0.18%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                | Sumitomo Mitsui Financial Group, Inc.                                           | CUSIP: 86562MCS7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $859646.46    | 0.11%             | 2033-01-13      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                  | Suncor Energy, Inc.                                                             | CUSIP: 867229AD8<br>LEI: 894500XO86FKXQGPYV71 | Long             | DBT              | CORP              | CA        |    216000 | PA      | $232253.75    | 0.03%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                          | Truist Bank                                                                     | CUSIP: 86787GAJ1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $998416.10    | 0.13%             | 2026-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                       | Synopsys, Inc.                                                                  | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    655000 | PA      | $670787.71    | 0.08%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                  | Synchrony Financial                                                             | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    300000 | PA      | $311331.74    | 0.04%             | 2030-08-02      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                   | T-Mobile USA, Inc.                                                              | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1184000 | PA      | $1174897.89   | 0.15%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                   | T-Mobile USA, Inc.                                                              | CUSIP: 87264ACZ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    640000 | PA      | $653127.80    | 0.08%             | 2028-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                  | Take-Two Interactive Software, Inc.                                             | CUSIP: 874054AN9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    714000 | PA      | $744006.80    | 0.09%             | 2034-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                       | Takeda Pharmaceutical Co. Ltd.                                                  | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $554028.04    | 0.07%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co.                                   | Tampa Electric Co.                                                              | CUSIP: 875127BM3<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    274000 | PA      | $281353.80    | 0.04%             | 2029-03-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP                          | Targa Resources Partners LP                                                     | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    253000 | PA      | $245470.78    | 0.03%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2024-A, Class A3                                 | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110573 | PA      | $110875.52    | 0.01%             | 2027-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                       | Thermo Fisher Scientific, Inc.                                                  | CUSIP: 883556DH2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    365000 | PA      | $369146.29    | 0.05%             | 2033-06-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                       | Thermo Fisher Scientific, Inc.                                                  | CUSIP: 883556DJ8<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157687.47    | 0.02%             | 2036-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                  | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                    | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50001 | PA      | $49894.31     | 0.01%             | 2044-12-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                    | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    946000 | PA      | $1106184.51   | 0.14%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                  | Toyota Auto Receivables Owner Trust, Series 2026-A, Class A3                    | CUSIP: 89240KAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $432045.64    | 0.05%             | 2030-09-16      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                  | Triton Container International Ltd.                                             | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    637000 | PA      | $633643.01    | 0.08%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                               | Truist Financial Corp.                                                          | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    275000 | PA      | $296049.02    | 0.04%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                               | Truist Financial Corp.                                                          | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518880.18    | 0.07%             | 2030-01-24      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| 20 Times Square Trust                                | 20 Times Square Trust, Series 2018-20TS, Class A                                | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341682 | PA      | $328228.05    | 0.04%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                            | UDR, Inc.                                                                       | CUSIP: 90265EAN0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99189.34     | 0.01%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                            | UDR, Inc.                                                                       | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    260000 | PA      | $252351.80    | 0.03%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                            | UDR, Inc.                                                                       | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    266000 | PA      | $231492.61    | 0.03%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                              | Uber Technologies, Inc.                                                         | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    634000 | PA      | $635837.97    | 0.08%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                        | UniCredit SpA                                                                   | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    600000 | PA      | $610194.07    | 0.08%             | 2032-06-19      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| UniCredit SpA                                        | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    835000 | PA      | $830469.50    | 0.10%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                   | United Airlines Pass-Through Trust, Series 2018-1, Class AA                     | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392410 | PA      | $386833.17    | 0.05%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                   | United Airlines Pass-Through Trust, Series 2016-1, Class AA                     | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586234 | PA      | $574050.64    | 0.07%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                   | United Airlines Pass-Through Trust, Series 2018-1, Class A                      | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656294 | PA      | $632177.78    | 0.08%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                   | United Airlines Pass-Through Trust, Series 2016-2, Class AA                     | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640153 | PA      | $622478.19    | 0.08%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                | United Mexican States                                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2000000 | PA      | $1802000.00   | 0.23%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                | United Mexican States                                                           | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1200000 | PA      | $1262400.00   | 0.16%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                | United Mexican States                                                           | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    287000 | PA      | $289984.80    | 0.04%             | 2034-02-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                           | US Bancorp                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    125000 | PA      | $129669.87    | 0.02%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                           | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    627000 | PA      | $665611.41    | 0.08%             | 2035-01-23      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                | Vendee Mortgage Trust, Series 2003-2, Class Z                                   | CUSIP: 911760TM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160825 | PA      | $163565.53    | 0.02%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Indexed Notes                                           | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20578620 | PA      | $20406495.29  | 2.56%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes                                            | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38720102 | PA      | $38957883.71  | 4.89%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes                                            | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 144631156 | PA      | $150496377.38 | 18.91%            | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes                                            | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64107290 | PA      | $65435413.42  | 8.22%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes                                            | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54875794 | PA      | $56025717.65  | 7.04%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Inflation Linked Notes                                            | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13204120 | PA      | $13406164.15  | 1.68%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                          | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120037 | PA      | $120061.65    | 0.02%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Ventas Realty LP                                     | Ventas Realty LP                                                                | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    529000 | PA      | $526414.84    | 0.07%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                         | Verizon Communications, Inc.                                                    | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    770000 | PA      | $766670.77    | 0.10%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2026-1, Class B                            | CUSIP: 92511CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $125345.03    | 0.02%             | 2029-05-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                      | Virginia Electric and Power Co.                                                 | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511505.18    | 0.06%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                            | Vistra Operations Co. LLC                                                       | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    640000 | PA      | $663249.92    | 0.08%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                          | Volkswagen Auto Lease Trust, Series 2024-A, Class A3                            | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445472 | PA      | $447658.90    | 0.06%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6       | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37541 | PA      | $35510.21     | 0.00%             | 2033-10-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                       | WP Carey, Inc.                                                                  | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    800000 | PA      | $729999.22    | 0.09%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                       | WP Carey, Inc.                                                                  | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    893000 | PA      | $762248.41    | 0.10%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                          | WRKCo, Inc.                                                                     | CUSIP: 92940PAD6<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153500.40    | 0.02%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                               | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    637000 | PA      | $609676.66    | 0.08%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                               | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    700000 | PA      | $686218.84    | 0.09%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                               | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210454.40    | 0.03%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                               | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3256000 | PA      | $3356753.34   | 0.42%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                               | CUSIP: 95000U4E0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    280000 | PA      | $281064.70    | 0.04%             | 2037-01-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                      | Western Funding Auto Loan Trust, Series 2025-1, Class C                         | CUSIP: 958250AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591000 | PA      | $602808.18    | 0.08%             | 2035-11-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2022-1A, Class A                                   | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90915 | PA      | $90473.55     | 0.01%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2024-1A, Class B                                   | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553011 | PA      | $562035.38    | 0.07%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-1A, Class C                  | CUSIP: 96042XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107498 | PA      | $107925.64    | 0.01%             | 2028-08-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                            | Williams Cos., Inc. (The)                                                       | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    575000 | PA      | $604280.43    | 0.08%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Workday, Inc.                                        | Workday, Inc.                                                                   | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298375.40    | 0.04%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                    | World Omni Auto Receivables Trust, Series 2023-D, Class A3                      | CUSIP: 98164DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183807 | PA      | $185931.28    | 0.02%             | 2029-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust     | World Omni Automobile Lease Securitization Trust, Series 2025-A, Class A3       | CUSIP: 98164PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312000 | PA      | $314425.05    | 0.04%             | 2028-04-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Zimmer Biomet Holdings, Inc.                         | Zimmer Biomet Holdings, Inc.                                                    | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    579000 | PA      | $605947.64    | 0.08%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -25 | NC      | $-8435.17     | -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        |      -190 | NC      | $-40326.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1021 | NC      | $500868.91    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury Long Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -51 | NC      | $-46292.19    | -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        |       448 | NC      | $531274.24    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury Ultra Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -6 | NC      | $-9705.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** J.P. Morgan Exchange-Traded Fund Trust

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer