# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-26-009303
**Filing Date:** 2026-4
**Character Count:** 302272
**Document Hash:** 05a5058015f9f8f6ec881b200235f460
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009303.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009303

**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:** 26912544

**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 Limited Duration Bond ETF (Series ID: S000079814)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000241197 | JPMorgan Limited Duration Bond ETF | JPLD            |

## 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 Limited Duration Bond ETF

- **b. EDGAR series identifier (if any):** S000079814

- **c. LEI of Series:** 5493000BIWEW3H1AQT90

**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:** $3581296492.21

**Total Liabilities:** $837241.04

**Net Assets:** $3580459251.17

**Cash Not Reported:** $1807796.56

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6273.26936000 | **1-Year:** 283564.44168000 | **5-Year:** 448715.79689000 | **10-Year:** 21895.34692000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 2205.46412000 | **5-Year:** 966.74394000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241197 | 0.42%                | 0.40%                | 0.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $120059.56               | $-700432.09                                |
| Month 2  | $-3733080.24             | $5090112.74                                |
| Month 3  | $99976.42                | $10016401.21                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                 | Title                                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACHD Trust                                                           | ACHD Trust, Series 2025-DS1, Class A                                                            | CUSIP: 00092TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2607292 | PA      | $2612645.82   | 0.07%             | 2034-01-09      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR2, Class B                                                           | CUSIP: 00178YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4550000 | PA      | $4487184.07   | 0.13%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR1, Class A                                                           | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7810000 | PA      | $7815822.36   | 0.22%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class B                                                           | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1285000 | PA      | $1219316.58   | 0.03%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR2, Class B                                                           | CUSIP: 00179UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $13796218.80  | 0.39%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR2, Class A                                                           | CUSIP: 00179VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3932583 | PA      | $3880920.79   | 0.11%             | 2038-08-17      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR2, Class A                                                           | CUSIP: 00180BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8035000 | PA      | $8006117.39   | 0.22%             | 2042-11-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class A                                                           | CUSIP: 00182MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2025000 | PA      | $1970184.87   | 0.06%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| ACREC LLC                                                            | ACREC LLC, Series 2026-FL4, Class B                                                             | CUSIP: 004970AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3125000 | PA      | $3128087.50   | 0.09%             | 2043-01-18      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2024-3, Class E                            | CUSIP: 02490BAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2633196.50   | 0.07%             | 2032-03-12      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2025-3, Class C                            | CUSIP: 02528EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16665000 | PA      | $16868234.67  | 0.47%             | 2032-07-12      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2024-1, Class E                            | CUSIP: 02531AAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3625697.60   | 0.10%             | 2031-11-12      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2026-1, Class B                            | CUSIP: 02531FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8023905.60   | 0.22%             | 2030-04-12      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| American Honda Finance Corp.                                         | American Honda Finance Corp.                                                                    | CUSIP: 02665WGK1<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   7730000 | PA      | $7794741.22   | 0.22%             | 2028-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                               | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1704666.92   | 0.05%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Ansley Park Capital LLC                                              | Ansley Park Capital LLC, Series 2025-A, Class A2                                                | CUSIP: 03637AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11364262 | PA      | $11416445.81  | 0.32%             | 2035-04-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                                            | Aqua Finance Issuer Trust, Series 2025-A, Class A                                               | CUSIP: 038394AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4767063 | PA      | $4880725.24   | 0.14%             | 2050-12-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                   | Aqua Finance Trust, Series 2021-A, Class A                                                      | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3626992 | PA      | $3366392.37   | 0.09%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| ARES Trust                                                           | ARES Trust, Series 2025-IND3, Class A                                                           | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5003122.50   | 0.14%             | 2042-04-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                                            | Auxilior Term Funding LLC, Series 2023-1A, Class A2                                             | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116153 | PA      | $116534.73    | 0.00%             | 2028-12-15      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                             | Avis Budget Rental Car Funding AESOP LLC, Series 2025-3A, Class A                               | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10042824.00  | 0.28%             | 2030-02-20      | Fixed         | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                    | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3750000 | PA      | $3804358.13   | 0.11%             | 2030-10-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                    | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   6015000 | PA      | $6034308.15   | 0.17%             | 2031-01-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2020-C7, Class A2                                                  | CUSIP: 05492VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908696 | PA      | $865955.70    | 0.02%             | 2053-04-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                                          | BBCMS Trust, Series 2015-VFM, Class A1                                                          | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22996 | PA      | $22962.24     | 0.00%             | 2036-03-10      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                  | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  10000000 | PA      | $10285373.00  | 0.29%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare Issuer LLC                              | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A                                 | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447463 | PA      | $446125.56    | 0.01%             | 2033-09-26      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                    | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                     | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    154692 | PA      | $154684.30    | 0.00%             | 2037-02-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2020-A, Class B                                              | CUSIP: 05608TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2450956 | PA      | $2397473.66   | 0.07%             | 2036-02-28      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2021-LBA, Class AJV                                                            | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6495992.75   | 0.18%             | 2036-02-15      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2021-BXMF, Class A                                                             | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5729806 | PA      | $5728015.40   | 0.16%             | 2026-10-15      | Floating      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   6050000 | PA      | $6258857.86   | 0.17%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BX                                                                   | BX, Series 2024-PALM, Class A                                                                   | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4326923 | PA      | $4326922.65   | 0.12%             | 2037-06-15      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class AK77                                              | CUSIP: 05620CAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4665454.50   | 0.13%             | 2051-05-27      | Variable      | 1.34%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class AK97                                              | CUSIP: 05620CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6897000 | PA      | $6307946.54   | 0.18%             | 2052-07-27      | Variable      | 1.84%                 | Yes           |                  3 | On Loan: No      |
| Ballyrock CLO Ltd.                                                   | Ballyrock CLO Ltd., Series 2019-1A, Class A1R                                                   | CUSIP: 05875JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3606853 | PA      | $3608656.58   | 0.10%             | 2032-07-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2004-D, Class 2A2                                        | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49518 | PA      | $47612.07     | 0.00%             | 2034-05-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2006-1, Class 2A1                                         | CUSIP: 05949TBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72986 | PA      | $65674.08     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13285000 | PA      | $13473555.47  | 0.38%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                            | Bank of Nova Scotia (The)                                                                       | CUSIP: 06418GAU1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  11065000 | PA      | $11080937.36  | 0.31%             | 2028-09-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2021-BN35, Class A2                                                                | CUSIP: 06540CAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2584263.31   | 0.07%             | 2064-06-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                                    | CUSIP: 06738EDG7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4160000 | PA      | $4160909.54   | 0.12%             | 2030-05-24      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                       | Bayview Commercial Asset Trust, Series 2005-2A, Class A2                                        | CUSIP: 07324SBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250427 | PA      | $244881.64    | 0.01%             | 2035-08-25      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                       | Bayview Commercial Asset Trust, Series 2005-2A, Class M1                                        | CUSIP: 07324SBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50016 | PA      | $48685.61     | 0.00%             | 2035-08-25      | Floating      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                       | Bayview Commercial Asset Trust, Series 2007-3, Class A2                                         | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247123 | PA      | $236609.00    | 0.01%             | 2037-07-25      | Floating      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD1, Class A                            | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335259 | PA      | $357370.58    | 0.01%             | 2033-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                         | Bear Stearns Asset-Backed Securities I Trust, Series 2004-AC6, Class M1                         | CUSIP: 073879LR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29565 | PA      | $13881.90     | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                         | Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE1, Class M2                         | CUSIP: 073879PS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184029 | PA      | $193518.83    | 0.01%             | 2035-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2025-FRR6, Class A                                                 | CUSIP: 09711PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5187000 | PA      | $4681552.79   | 0.13%             | 2051-11-27      | Variable      | 1.22%                 | Yes           |                  3 | On Loan: No      |
| BRAVO Residential Funding Trust                                      | BRAVO Residential Funding Trust, Series 2025-NQM6, Class A1                                     | CUSIP: 10570MAC4<br>LEI: 254900U9H6FFPW4O4S55 | Long             | ABS-MBS          | CORP              | US        |   5015970 | PA      | $5055582.57   | 0.14%             | 2065-06-25      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM13, Class A1                                 | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2127489 | PA      | $2089408.80   | 0.06%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  3 | 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        |   5600000 | PA      | $5655655.60   | 0.16%             | 2031-05-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                        | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class C                           | CUSIP: 10806HAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8085784.80   | 0.23%             | 2029-12-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class A                                                         | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8516835 | PA      | $8307923.96   | 0.23%             | 2042-09-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                        | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class C                           | CUSIP: 10807UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6210000 | PA      | $6288267.11   | 0.18%             | 2031-08-15      | Fixed         | 4.80%                 | 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        |   4843620 | PA      | $4914148.17   | 0.14%             | 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        |   4275129 | PA      | $4263588.67   | 0.12%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                                          | Business Jet Securities LLC, Series 2024-1A, Class A                                            | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2443007 | PA      | $2527714.57   | 0.07%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| CARS-DB4 LP                                                          | CARS-DB4 LP, Series 2020-1A, Class A3                                                           | CUSIP: 12510HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3933965 | PA      | $3724217.00   | 0.10%             | 2050-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB5 LP                                                          | CARS-DB5 LP, Series 2021-1A, Class A1                                                           | CUSIP: 12510HAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11557972 | PA      | $11383313.84  | 0.32%             | 2051-08-15      | Fixed         | 1.44%                 | Yes           |                  2 | On Loan: No      |
| CCG Receivables Trust                                                | CCG Receivables Trust, Series 2023-2, Class B                                                   | CUSIP: 12511QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5061000 | PA      | $5192893.20   | 0.15%             | 2032-04-14      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                            | CFIN 2022-RTL1 Issuer LLC, Class A                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   2886714 | PA      | $2883105.70   | 0.08%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CF Hippolyta Issuer LLC                                              | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                                                | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2269064 | PA      | $1922898.33   | 0.05%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  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        |   3123390 | PA      | $3131052.55   | 0.09%             | 2029-02-15      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                               | Consumer Portfolio Services Auto Trust, Series 2025-A, Class A                                  | CUSIP: 12633SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1111909 | PA      | $1113679.45   | 0.03%             | 2028-10-16      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2025-C, Class C                                              | CUSIP: 12634SAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13980000 | PA      | $14146377.38  | 0.40%             | 2031-10-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2022-D, Class D                                              | CUSIP: 12663UAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7226190.30   | 0.20%             | 2029-01-16      | Fixed         | 8.73%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                | Countrywide Asset-Backed Certificates, Series 2003-BC2, Class 2A1                               | CUSIP: 126671YB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20658 | PA      | $20771.43     | 0.00%             | 2033-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                | Countrywide Asset-Backed Certificates, Series 2004-S1, Class M2                                 | CUSIP: 126673TG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7356 | PA      | $7433.45      | 0.00%             | 2035-02-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-33, Class 3A3                                               | CUSIP: 12667FC52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81136 | PA      | $77802.78     | 0.00%             | 2034-12-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-J4, Class 1A6                                               | CUSIP: 12667FFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       138 | PA      | $137.70       | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2024-CBM, Class A1                                                  | CUSIP: 12674GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400600 | PA      | $3453227.01   | 0.10%             | 2041-12-10      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                       | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class B                                      | CUSIP: 12676JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3419657.44   | 0.10%             | 2042-11-10      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                                       | CAFL Issuer LP, Series 2025-RRTL2, Class A1                                                     | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4865000 | PA      | $4896816.13   | 0.14%             | 2040-11-28      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                         | CaixaBank SA                                                                                    | CUSIP: 12803RAK0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   7195000 | PA      | $7281662.84   | 0.20%             | 2029-07-03      | Variable      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                   | Canadian Imperial Bank of Commerce                                                              | CUSIP: 13607QFD9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   4435000 | PA      | $4454972.31   | 0.12%             | 2028-09-08      | Variable      | 4.24%                 | 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        |   1835000 | PA      | $1845044.79   | 0.05%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                              | Carmax Auto Owner Trust, Series 2025-3, Class B                                                 | CUSIP: 14290FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8183111.20   | 0.23%             | 2031-03-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                              | CarMax Auto Owner Trust, Series 2025-1, Class A3                                                | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3235000 | PA      | $3284365.13   | 0.09%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust                                      | Carmax Select Receivables Trust, Series 2025-B, Class A2                                        | CUSIP: 14320BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $13016690.70  | 0.36%             | 2029-03-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust                                      | Carmax Select Receivables Trust, Series 2025-B, Class B                                         | CUSIP: 14320BAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4032341.20   | 0.11%             | 2030-07-15      | Fixed         | 4.35%                 | 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        |  24000000 | PA      | $24135309.60  | 0.67%             | 2030-11-11      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2025-P3, Class B                                         | CUSIP: 14688AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12158055.60  | 0.34%             | 2031-10-10      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2023-N1, Class D                                         | CUSIP: 14688FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10212212.00  | 0.29%             | 2029-07-10      | Fixed         | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-P2, Class A3                                        | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1766832 | PA      | $1781625.69   | 0.05%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A3                                        | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4361224 | PA      | $4370768.32   | 0.12%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A4                                        | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4350000 | PA      | $4397269.71   | 0.12%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                        | Centex Home Equity Loan Trust, Series 2002-A, Class MV1                                         | CUSIP: 152314ER7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68034 | PA      | $75233.93     | 0.00%             | 2032-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB15, Class A                                                             | CUSIP: 15723AAA9<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1028732 | PA      | $1026225.27   | 0.03%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                 | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  16980000 | PA      | $17235227.91  | 0.48%             | 2029-03-04      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Clarus Capital Funding LLC                                           | Clarus Capital Funding LLC, Series 2024-1A, Class A2                                            | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1108143 | PA      | $1111847.76   | 0.03%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                   | CNO Global Funding                                                                              | CUSIP: 18977W2H2<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   8920000 | PA      | $8933333.88   | 0.25%             | 2028-09-08      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| CNH Equipment Trust                                                  | CNH Equipment Trust, Series 2024-C, Class A4                                                    | CUSIP: 18978GAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3585000 | PA      | $3617308.74   | 0.10%             | 2032-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2M1                                 | CUSIP: 20753CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7403868 | PA      | $7419474.64   | 0.21%             | 2045-07-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M1                                 | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960697 | PA      | $960994.69    | 0.03%             | 2044-01-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2                                 | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16858571 | PA      | $17256957.58  | 0.48%             | 2042-03-25      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1                                 | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17701 | PA      | $17672.41     | 0.00%             | 2041-12-25      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1                                 | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    964453 | PA      | $964452.65    | 0.03%             | 2044-02-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1                                 | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319717 | PA      | $319716.25    | 0.01%             | 2041-12-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2                                 | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4892532 | PA      | $4903246.65   | 0.14%             | 2041-12-25      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1                                 | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16300843 | PA      | $16316066.43  | 0.46%             | 2045-02-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1M1                                 | CUSIP: 20754TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1838189 | PA      | $1838756.92   | 0.05%             | 2045-02-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2A1                                 | CUSIP: 20754VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1891076 | PA      | $1901299.97   | 0.05%             | 2045-03-25      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2M1                                 | CUSIP: 20754VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1233016 | PA      | $1235842.31   | 0.03%             | 2045-03-25      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2A1                                 | CUSIP: 20754XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39739719 | PA      | $39764639.67  | 1.11%             | 2044-07-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1                                 | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29472 | PA      | $29472.39     | 0.00%             | 2044-07-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R06, Class 1M1                                 | CUSIP: 20754YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3242754 | PA      | $3250237.14   | 0.09%             | 2045-09-25      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities                                        | Connecticut Avenue Securities, Series 2025-R01, Class 1A1                                       | CUSIP: 20755JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2886716 | PA      | $2887604.47   | 0.08%             | 2045-01-25      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities                                        | Connecticut Avenue Securities, Series 2025-R01, Class 1M1                                       | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1514326 | PA      | $1515261.03   | 0.04%             | 2045-01-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1A1                                 | CUSIP: 20755RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3997755 | PA      | $4009178.01   | 0.11%             | 2044-09-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1                                 | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1760806 | PA      | $1763872.34   | 0.05%             | 2045-05-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                               | Consumer Portfolio Services Auto Trust, Series 2025-D, Class A                                  | CUSIP: 223936AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5802101 | PA      | $5819449.49   | 0.16%             | 2029-07-16      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                               | Consumer Portfolio Services Auto Trust, Series 2025-D, Class B                                  | CUSIP: 223936AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4016996.00   | 0.11%             | 2030-04-15      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                               | Consumer Portfolio Services Auto Trust, Series 2025-D, Class C                                  | CUSIP: 223936AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4049181.60   | 0.11%             | 2032-02-17      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2024-D, Class A                                              | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171297 | PA      | $171423.25    | 0.00%             | 2028-06-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                      | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946674 | PA      | $950215.37    | 0.03%             | 2033-08-15      | Fixed         | 6.39%                 | 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        |  17110000 | PA      | $17277755.00  | 0.48%             | 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        |  11845000 | PA      | $11912511.76  | 0.33%             | 2034-09-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  10000000 | PA      | $10209273.30  | 0.29%             | 2029-01-09      | Variable      | 5.23%                 | 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        |   5745000 | PA      | $5820971.31   | 0.16%             | 2035-03-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                    | CUSIP: 225401BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  13490000 | PA      | $13497127.44  | 0.38%             | 2029-12-23      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                    | CUSIP: 225401BR8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   8610000 | PA      | $8625316.16   | 0.24%             | 2030-04-10      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR24, Class 2A4                     | CUSIP: 22541QUN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77214 | PA      | $76286.54     | 0.00%             | 2033-10-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 4A1                  | CUSIP: 22541SZL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174170 | PA      | $179487.06    | 0.01%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  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        |   1804349 | PA      | $1817382.93   | 0.05%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| DLLAA LLC                                                            | DLLAA LLC, Series 2025-1A, Class A2                                                             | CUSIP: 233249AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1805330 | PA      | $1811405.64   | 0.05%             | 2027-10-20      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2022-1A, Class E                                                    | CUSIP: 23345YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5998368.60   | 0.17%             | 2029-03-15      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2023-1A, Class D                                                    | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2539453.75   | 0.07%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| DLLAD LLC                                                            | DLLAD LLC, Series 2025-1A, Class A3                                                             | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3615000 | PA      | $3672195.45   | 0.10%             | 2030-09-20      | Fixed         | 4.42%                 | Yes           |                  2 | On Loan: No      |
| DailyPay Securitization Trust 2025-1                                 | DailyPay Securitization Trust, Series 2025-1A, Class A                                          | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6041341.80   | 0.17%             | 2028-06-26      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                  | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                   | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16036 | PA      | $15695.83     | 0.00%             | 2020-02-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                | CUSIP: 25160PAP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5000000 | PA      | $5035114.00   | 0.14%             | 2029-01-10      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class AK57                                               | CUSIP: 255928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9790423.00   | 0.27%             | 2049-08-27      | Variable      | 1.48%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class BK57                                               | CUSIP: 255928AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5860570.20   | 0.16%             | 2049-08-27      | Variable      | 1.51%                 | Yes           |                  3 | 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        |   2630303 | PA      | $2632660.24   | 0.07%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                         | Drive Auto Receivables Trust, Series 2025-2, Class A3                                           | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10024810.00  | 0.28%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                         | Drive Auto Receivables Trust, Series 2025-2, Class B                                            | CUSIP: 262103AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $17549827.75  | 0.49%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                              | Dryden Senior Loan Fund, Series 2016-43A, Class AR3                                             | CUSIP: 26245CBQ5<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4995830.00   | 0.14%             | 2034-04-20      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                                      | Dryden CLO Ltd., Series 2020-86A, Class A1R2                                                    | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15021750.00  | 0.42%             | 2034-07-17      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-4A, Class E                                                    | CUSIP: 26253WAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9115000 | PA      | $9074267.80   | 0.25%             | 2028-07-17      | Fixed         | 3.34%                 | Yes           |                  2 | On Loan: No      |
| Elara Hgv Timeshare Issuer LLC                                       | Elara Hgv Timeshare Issuer LLC, Series 2025-A, Class A                                          | CUSIP: 28416VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11187919 | PA      | $11276326.82  | 0.31%             | 2040-01-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd.                                                | Elmwood CLO Ltd., Series 2021-1A, Class AR                                                      | CUSIP: 29003EAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12875000 | PA      | $12885261.38  | 0.36%             | 2037-04-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| ELP Commercial Mortgage Trust                                        | ELP Commercial Mortgage Trust, Series 2025-ELP, Class B                                         | CUSIP: 290154AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3022850.10   | 0.08%             | 2042-11-13      | Variable      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                        | Enel Finance International NV                                                                   | CUSIP: 29278GBF4<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2775000 | PA      | $2780903.78   | 0.08%             | 2028-09-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                       | Enterprise Fleet Financing LLC, Series 2025-2, Class A3                                         | CUSIP: 29375TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3565000 | PA      | $3609932.90   | 0.10%             | 2029-06-20      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                       | Enterprise Fleet Financing LLC, Series 2025-3, Class A3                                         | CUSIP: 29375UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5579564.10   | 0.16%             | 2029-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Equitable America Global Funding                                     | Equitable America Global Funding                                                                | CUSIP: 29446Q2B8<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |   6865000 | PA      | $7013786.45   | 0.20%             | 2030-06-09      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2024-5A, Class A3                                   | CUSIP: 30165BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252048 | PA      | $252095.42    | 0.01%             | 2028-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2021-4A, Class E                                    | CUSIP: 30165JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8200000 | PA      | $8167160.64   | 0.23%             | 2028-01-17      | Fixed         | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class C                                    | CUSIP: 30166DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14879062 | PA      | $14994542.85  | 0.42%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2023-4A, Class C                                    | CUSIP: 30166TAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1158798 | PA      | $1165262.50   | 0.03%             | 2028-08-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2024-4A, Class A3                                   | CUSIP: 30166UAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54264 | PA      | $54298.49     | 0.00%             | 2030-08-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2025-5A, Class B                                    | CUSIP: 30166VAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6665000 | PA      | $6712142.88   | 0.19%             | 2030-07-15      | Fixed         | 4.28%                 | 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        |   2975000 | PA      | $3015650.10   | 0.08%             | 2032-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust                           | Exeter Select Automobile Receivables Trust, Series 2025-2, Class B                              | CUSIP: 30185EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3748000 | PA      | $3798157.98   | 0.11%             | 2031-11-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust                           | Exeter Select Automobile Receivables Trust, Series 2025-3, Class B                              | CUSIP: 30185FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5920000 | PA      | $5978056.26   | 0.17%             | 2032-03-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust                           | Exeter Select Automobile Receivables Trust, Series 2025-3, Class C                              | CUSIP: 30185FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8584000 | PA      | $8753359.74   | 0.24%             | 2032-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K83, Class C                                                  | CUSIP: 302958AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6961199.70   | 0.19%             | 2051-11-25      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K64, Class B                                                  | CUSIP: 30296CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4971787.00   | 0.14%             | 2050-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K64, Class C                                                  | CUSIP: 30296CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3285000 | PA      | $3263081.82   | 0.09%             | 2050-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K89, Class C                                                  | CUSIP: 302972AU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9944577.00   | 0.28%             | 2051-01-25      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K92, Class C                                                  | CUSIP: 302973AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8583000 | PA      | $8504172.01   | 0.24%             | 2052-05-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-K105, Class C                                                 | CUSIP: 302975BG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2882552.40   | 0.08%             | 2053-03-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K81, Class C                                                  | CUSIP: 30297HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10682000 | PA      | $10584275.72  | 0.30%             | 2051-09-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K82, Class C                                                  | CUSIP: 30297LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2976092.70   | 0.08%             | 2028-09-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2020-K104 Mortgage Trust                                       | FREMF Mortgage Trust, Series 2020-K104, Class B                                                 | CUSIP: 302984AS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $972800.70    | 0.03%             | 2052-02-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K736, Class C                                                 | CUSIP: 30298MAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1988086.80   | 0.06%             | 2026-07-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K97, Class C                                                  | CUSIP: 30298PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7845000 | PA      | $7627034.52   | 0.21%             | 2051-09-25      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K68, Class B                                                  | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1980846.80   | 0.06%             | 2049-10-25      | Variable      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K94, Class C                                                  | CUSIP: 30310XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $982995.00    | 0.03%             | 2052-07-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K93, Class C                                                  | CUSIP: 30313FAU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6916065.80   | 0.19%             | 2052-05-25      | Variable      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K100, Class B                                                 | CUSIP: 30313PAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4688000 | PA      | $4543805.56   | 0.13%             | 2052-11-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2019-K96 Mortgage Trust                                        | FREMF Mortgage Trust, Series 2019-K96, Class B                                                  | CUSIP: 30314DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5907811.80   | 0.17%             | 2056-08-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                                   | F&G Global Funding                                                                              | CUSIP: 30321L2K7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   5705000 | PA      | $5687444.00   | 0.16%             | 2028-09-08      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| FS Rialto                                                            | FS Rialto, Series 2021-FL3, Class A                                                             | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2060196 | PA      | $2059188.09   | 0.06%             | 2036-11-16      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DTJB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4784019 | PA      | $4904245.61   | 0.14%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DUAS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9240744 | PA      | $9472965.09   | 0.26%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DURU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11728955 | PA      | $12217915.64  | 0.34%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17252165 | PA      | $17822700.67  | 0.50%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3684970 | PA      | $3764418.78   | 0.11%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5260312 | PA      | $5432165.40   | 0.15%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DWJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12607370 | PA      | $12710755.73  | 0.36%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 3132FNAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286618 | PA      | $283500.25    | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133CEMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16477404 | PA      | $16908335.98  | 0.47%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133KRQE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21329447 | PA      | $22044541.59  | 0.62%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1974, Class ZA                                                             | CUSIP: 3133TAN73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $274.37       | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133WAQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2778788 | PA      | $2831770.32   | 0.08%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 343, Class F4                                                             | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1161774 | PA      | $1139952.06   | 0.03%             | 2037-10-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 328, Class S4                                                             | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2032924 | PA      | $106149.12    | 0.00%             | 2038-02-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-13, Class FA                                                           | CUSIP: 3136A3VK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3594240 | PA      | $3587745.71   | 0.10%             | 2042-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-38, Class PA                                                           | CUSIP: 3136A42X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513548 | PA      | $493875.98    | 0.01%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-31, Class FB                                                           | CUSIP: 3136A5JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3039759 | PA      | $3030536.19   | 0.08%             | 2042-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-93, Class ME                                                           | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694128 | PA      | $672145.97    | 0.02%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-119, Class FB                                                          | CUSIP: 3136A9NH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2056291 | PA      | $2028748.24   | 0.06%             | 2042-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-139, Class JA                                                          | CUSIP: 3136AALT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1488714 | PA      | $1447013.07   | 0.04%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-6, Class FL                                                            | CUSIP: 3136ABY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471893 | PA      | $467035.45    | 0.01%             | 2043-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-23, Class KJ                                                           | CUSIP: 3136ADCU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1034612 | PA      | $986534.19    | 0.03%             | 2042-05-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-43, Class YH                                                           | CUSIP: 3136ADX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375278 | PA      | $362820.03    | 0.01%             | 2033-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-23, Class FA                                                           | CUSIP: 3136AJ4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5276020 | PA      | $5206345.19   | 0.15%             | 2039-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-58, Class FG                                                           | CUSIP: 3136AKB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3363533 | PA      | $3328974.36   | 0.09%             | 2044-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-49, Class AF                                                           | CUSIP: 3136AKWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69702 | PA      | $68220.51     | 0.00%             | 2044-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-66, Class WF                                                           | CUSIP: 3136ALEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648824 | PA      | $636566.48    | 0.02%             | 2054-10-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-28, Class CI                                                           | CUSIP: 3136ANUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7124231 | PA      | $1308343.01   | 0.04%             | 2045-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-42, Class BF                                                           | CUSIP: 3136ANW86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1456089 | PA      | $1443613.62   | 0.04%             | 2045-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-91, Class AF                                                           | CUSIP: 3136AQTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1552171 | PA      | $1537139.93   | 0.04%             | 2045-12-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-33, Class JA                                                           | CUSIP: 3136AR6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1640728 | PA      | $1584461.79   | 0.04%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-25, Class LA                                                           | CUSIP: 3136ART40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4901310 | PA      | $4722867.41   | 0.13%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-19, Class OP                                                           | CUSIP: 3136ARZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836323 | PA      | $673210.98    | 0.02%             | 2046-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-58, Class SA                                                           | CUSIP: 3136ATAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4272973 | PA      | $245399.83    | 0.01%             | 2046-08-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-104, Class LA                                                          | CUSIP: 3136B0LR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803000 | PA      | $760411.90    | 0.02%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-108, Class PA                                                          | CUSIP: 3136B0RT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1155302 | PA      | $1105846.37   | 0.03%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-7, Class CI                                                            | CUSIP: 3136B0YS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8349105 | PA      | $1612713.19   | 0.05%             | 2048-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-1, Class LE                                                            | CUSIP: 3136B3ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411438 | PA      | $394232.63    | 0.01%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-41, Class GF                                                           | CUSIP: 3136B5E27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8651308 | PA      | $8636143.33   | 0.24%             | 2053-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-38, Class PC                                                           | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1774074 | PA      | $1705730.50   | 0.05%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-77, Class FP                                                           | CUSIP: 3136B7J93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7900688 | PA      | $7822735.33   | 0.22%             | 2050-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-74, Class BF                                                           | CUSIP: 3136B7UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3614211 | PA      | $3558980.54   | 0.10%             | 2059-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2022-12, Class GE                                                           | CUSIP: 3136BMDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6220042 | PA      | $5875509.33   | 0.16%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-10, Class FA                                                           | CUSIP: 3136BQ5S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30577513 | PA      | $30804452.74  | 0.86%             | 2054-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-92, Class HB                                                           | CUSIP: 3136BT2V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5937310 | PA      | $5975599.31   | 0.17%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-90, Class G                                                            | CUSIP: 3136BTYF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3894111 | PA      | $3929448.82   | 0.11%             | 2051-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-104, Class CF                                                          | CUSIP: 3136BUEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5538702 | PA      | $5562588.42   | 0.16%             | 2055-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-101, Class DA                                                          | CUSIP: 3136BUFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4856901 | PA      | $4924118.92   | 0.14%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-7, Class EV                                                            | CUSIP: 3136BUWG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11176961 | PA      | $11612600.54  | 0.32%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-24, Class PV                                                           | CUSIP: 3136BVSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7745173 | PA      | $7861952.77   | 0.22%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-29, Class KJ                                                           | CUSIP: 3136BVX86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8522990 | PA      | $8607747.40   | 0.24%             | 2052-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-69, Class DV                                                           | CUSIP: 3136BWB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9173842 | PA      | $9375970.53   | 0.26%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-44, Class BV                                                           | CUSIP: 3136BWCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9600780 | PA      | $9801841.01   | 0.27%             | 2036-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-70, Class FD                                                           | CUSIP: 3136BXKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13786090 | PA      | $13612972.94  | 0.38%             | 2050-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 400, Class 1                                                               | CUSIP: 3136FKQW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756778 | PA      | $618763.45    | 0.02%             | 2039-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4074, Class FE                                                             | CUSIP: 3137ASJS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    953273 | PA      | $945023.51    | 0.03%             | 2042-07-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4120, Class KI                                                             | CUSIP: 3137AVE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350437 | PA      | $16891.50     | 0.00%             | 2032-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4150, Class F                                                              | CUSIP: 3137AY3L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2799732 | PA      | $2764851.34   | 0.08%             | 2043-01-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4161, Class YF                                                             | CUSIP: 3137AYQ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2114951 | PA      | $2089271.30   | 0.06%             | 2043-02-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4187, Class CA                                                             | CUSIP: 3137B1J29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7095210 | PA      | $6741785.06   | 0.19%             | 2033-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4281, Class FB                                                             | CUSIP: 3137B6N64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1341363 | PA      | $1336555.99   | 0.04%             | 2043-12-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4350, Class AF                                                             | CUSIP: 3137BBGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1211268 | PA      | $1182490.33   | 0.03%             | 2037-12-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4350, Class FK                                                             | CUSIP: 3137BBHK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1536287 | PA      | $1512803.27   | 0.04%             | 2038-06-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4350, Class KF                                                             | CUSIP: 3137BBHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184616 | PA      | $180211.11    | 0.01%             | 2039-01-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4363, Class FA                                                             | CUSIP: 3137BCNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1134574 | PA      | $1120470.63   | 0.03%             | 2041-09-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4413, Class WF                                                             | CUSIP: 3137BFBJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    849305 | PA      | $829596.17    | 0.02%             | 2041-10-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4448, Class TF                                                             | CUSIP: 3137BGZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1222175 | PA      | $1208530.71   | 0.03%             | 2040-05-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4457, Class KF                                                             | CUSIP: 3137BHWP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2180896 | PA      | $2155405.96   | 0.06%             | 2040-10-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4480, Class FM                                                             | CUSIP: 3137BKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2101923 | PA      | $2051172.97   | 0.06%             | 2040-06-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4515, Class FA                                                             | CUSIP: 3137BLAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683667 | PA      | $674843.71    | 0.02%             | 2038-08-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4559, Class AF                                                             | CUSIP: 3137BNCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    684439 | PA      | $684009.43    | 0.02%             | 2042-03-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4594, Class GN                                                             | CUSIP: 3137BQK22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235773 | PA      | $1178337.39   | 0.03%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4606, Class FL                                                             | CUSIP: 3137BR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2786740 | PA      | $2769676.16   | 0.08%             | 2044-12-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4611, Class BF                                                             | CUSIP: 3137BRC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6994121 | PA      | $6994697.61   | 0.20%             | 2041-06-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5072, Class QC                                                             | CUSIP: 3137F9AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4505319 | PA      | $3730505.62   | 0.10%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q007, Class APT2               | CUSIP: 3137FHQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562488 | PA      | $561305.22    | 0.02%             | 2047-10-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4867, Class WF                                                             | CUSIP: 3137FL2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4585922 | PA      | $4535129.67   | 0.13%             | 2037-04-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4935, Class KP                                                             | CUSIP: 3137FQ5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2867776 | PA      | $2597782.43   | 0.07%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5000, Class CB                                                             | CUSIP: 3137FVEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2730796 | PA      | $2540910.37   | 0.07%             | 2035-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT1               | CUSIP: 3137FWGH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746072 | PA      | $746582.83    | 0.02%             | 2050-05-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5270, Class FH                                                             | CUSIP: 3137H9E54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2918386 | PA      | $2931803.17   | 0.08%             | 2052-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5283, Class EA                                                             | CUSIP: 3137H9LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6184834 | PA      | $6294609.55   | 0.18%             | 2048-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5334, Class GA                                                             | CUSIP: 3137HAHU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4937912 | PA      | $5027996.59   | 0.14%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5381, Class FC                                                             | CUSIP: 3137HBM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7192157 | PA      | $7238048.24   | 0.20%             | 2054-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5460, Class AF                                                             | CUSIP: 3137HFQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8538270 | PA      | $8585669.35   | 0.24%             | 2054-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5500, Class KF                                                             | CUSIP: 3137HJBF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10819404 | PA      | $10878032.52  | 0.30%             | 2054-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5528, Class BV                                                             | CUSIP: 3137HKQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7315118 | PA      | $7464697.77   | 0.21%             | 2036-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5535, Class B                                                              | CUSIP: 3137HL5T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8846713 | PA      | $8908383.40   | 0.25%             | 2052-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5551, Class BA                                                             | CUSIP: 3137HLTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13669082 | PA      | $13654348.05  | 0.38%             | 2051-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5547, Class HV                                                             | CUSIP: 3137HLVL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10881581 | PA      | $11105773.76  | 0.31%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5564, Class DA                                                             | CUSIP: 3137HMCU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17896516 | PA      | $17984394.65  | 0.50%             | 2050-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5580, Class DV                                                             | CUSIP: 3137HMWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5604814 | PA      | $5727648.21   | 0.16%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T8, Class A1                                       | CUSIP: 313920UK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88327 | PA      | $91141.38     | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T6, Class A4                                       | CUSIP: 31392CYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284199 | PA      | $277783.29    | 0.01%             | 2041-03-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                         | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83818 | PA      | $84834.92     | 0.00%             | 2042-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A                  | CUSIP: 31392W7F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36712 | PA      | $29014.02     | 0.00%             | 2042-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 5A                                         | CUSIP: 31393AR33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248820 | PA      | $249753.74    | 0.01%             | 2042-10-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 4A                  | CUSIP: 31393LFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485035 | PA      | $474620.55    | 0.01%             | 2043-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W15, Class 3A                                        | CUSIP: 31393TC87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268836 | PA      | $265403.15    | 0.01%             | 2042-12-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 4A                                                | CUSIP: 31393XGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61250 | PA      | $60619.71     | 0.00%             | 2044-02-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-17, Class BF                                                           | CUSIP: 31393XYQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7519 | PA      | $7518.05      | 0.00%             | 2034-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-16, Class HZ                                                           | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85004 | PA      | $88650.82     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3085, Class VS                                                             | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69206 | PA      | $85396.99     | 0.00%             | 2035-12-15      | Floating      | 13.63%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-124, Class FC                                                          | CUSIP: 31396PFT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408915 | PA      | $405782.14    | 0.01%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-76, Class ZG                                                           | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87158 | PA      | $90550.66     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3300, Class FA                                                             | CUSIP: 31397GQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71456 | PA      | $70961.93     | 0.00%             | 2035-08-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                          | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61891 | PA      | $64707.11     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-64, Class FC                                                           | CUSIP: 31398RS22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4681833 | PA      | $4671328.49   | 0.13%             | 2040-06-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140FX2B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4557368 | PA      | $4519294.35   | 0.13%             | 2063-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140J0JC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9013864.90   | 0.25%             | 2030-07-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140M6UW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4353786 | PA      | $4536132.59   | 0.13%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140NYGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27111091 | PA      | $27744262.56  | 0.77%             | 2030-05-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5852682 | PA      | $6041780.01   | 0.17%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QQLV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2676815 | PA      | $2741979.93   | 0.08%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QQSR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5640918 | PA      | $5764835.52   | 0.16%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QRRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14946156 | PA      | $15308576.42  | 0.43%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QUVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4294904 | PA      | $4409745.19   | 0.12%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QWC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13231097 | PA      | $13803769.15  | 0.39%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140W0YH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9880034 | PA      | $10144879.48  | 0.28%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140W1MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27624290 | PA      | $28458885.03  | 0.79%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140W2CC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17962001 | PA      | $18262429.84  | 0.51%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140W4J99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19959220 | PA      | $20448600.11  | 0.57%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31416CD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107879 | PA      | $114037.41    | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531887 | PA      | $517816.41    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209497 | PA      | $203562.28    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704403 | PA      | $687170.47    | 0.02%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3708961 | PA      | $3788550.80   | 0.11%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19260160 | PA      | $19850648.85  | 0.55%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12244435 | PA      | $12348612.33  | 0.34%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8625263 | PA      | $8789277.42   | 0.25%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18313334 | PA      | $18841264.78  | 0.53%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418XYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152804 | PA      | $156052.41    | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 31426FYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8788107 | PA      | $9079234.35   | 0.25%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 31427MUW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12696723 | PA      | $13259242.87  | 0.37%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3142GRZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4556735 | PA      | $4689932.93   | 0.13%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 15 Year                                                                             | CUSIP: 3142JCAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12058327 | PA      | $12246223.18  | 0.34%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                          | FIGRE Trust, Series 2025-HE6, Class A                                                           | CUSIP: 31684NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4701349 | PA      | $4731529.84   | 0.13%             | 2055-09-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2002-FF1, Class M1                                   | CUSIP: 32027NAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37174 | PA      | $44246.38     | 0.00%             | 2032-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2002-FF4, Class M1                                   | CUSIP: 32027NBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578174 | PA      | $500957.83    | 0.01%             | 2033-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2003-FFH1, Class M2                                  | CUSIP: 32027NEE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229618 | PA      | $210052.65    | 0.01%             | 2033-09-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2004-FF8, Class M4                                   | CUSIP: 32027NNT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173827 | PA      | $128593.95    | 0.00%             | 2034-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                            | First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1                           | CUSIP: 32051GBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59121 | PA      | $57738.28     | 0.00%             | 2034-12-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                     | First Investors Auto Owner Trust, Series 2025-1A, Class B                                       | CUSIP: 32059WAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5033827.00   | 0.14%             | 2031-01-15      | Fixed         | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                         | FirstEnergy Transmission LLC                                                                    | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4059627.44   | 0.11%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class A                                                 | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5919921 | PA      | $5845567.05   | 0.16%             | 2038-08-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFRA, Class A                                                 | CUSIP: 33768DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1944705 | PA      | $1919137.32   | 0.05%             | 2039-03-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR3, Class B                                                 | CUSIP: 33768EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11988000 | PA      | $11960730.90  | 0.33%             | 2038-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class B                                                 | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5986044.00   | 0.17%             | 2039-05-19      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                              | Flagstar Mortgage Trust, Series 2019-2, Class A2                                                | CUSIP: 33852BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127906 | PA      | $1045542.23   | 0.03%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                     | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class A                      | CUSIP: 34962ABD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3455000 | PA      | $3463637.50   | 0.10%             | 2031-05-15      | Fixed         | 5.92%                 | Yes           |                  3 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2024-1A, Class A                                               | CUSIP: 349941AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1445022 | PA      | $1488127.23   | 0.04%             | 2049-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2024-2A, Class A                                               | CUSIP: 35040VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3115075 | PA      | $3137464.95   | 0.09%             | 2050-03-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2025-1A, Class A                                               | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8111572 | PA      | $8244081.71   | 0.23%             | 2050-04-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2025-2A, Class A                                               | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7567631 | PA      | $7647565.48   | 0.21%             | 2052-04-15      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2021-2A, Class B                                               | CUSIP: 35042PAB6<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |   1814311 | PA      | $1742402.05   | 0.05%             | 2042-01-15      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2021-MN1, Class M1                                                     | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |     52716 | PA      | $52609.44     | 0.00%             | 2051-01-25      | Floating      | 5.67%                 | Yes           |                  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        |   5694035 | PA      | $5217540.59   | 0.15%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                                   | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3219174 | PA      | $3019147.67   | 0.08%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 2025-MN11, Class M1                                                               | CUSIP: 35563YAA8<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |   7732320 | PA      | $7730511.79   | 0.22%             | 2045-07-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                          | Seasoned Loans Structured Transaction Trust, Series 2024-2, Class VF                            | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8044108 | PA      | $8172086.03   | 0.23%             | 2034-10-25      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2024-HQA2, Class A1                                             | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8029868.64   | 0.22%             | 2044-08-25      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                              | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class A1                                             | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   5125000 | PA      | $5130586.25   | 0.14%             | 2045-02-25      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                              | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                                             | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   3099580 | PA      | $3100537.21   | 0.09%             | 2045-02-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2025-DNA2, Class M1                                             | CUSIP: 35564NHZ9<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |   1135671 | PA      | $1136023.20   | 0.03%             | 2045-05-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class M1                                             | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |   8453000 | PA      | $8452999.90   | 0.24%             | 2045-09-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2025-DNA4, Class M1                                             | CUSIP: 35564UBR7<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | CORP              | US        |  10458082 | PA      | $10473865.34  | 0.29%             | 2045-10-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2025-MN12, Class M1                                                    | CUSIP: 355913AA2<br>LEI: 529900KABSM46L5D1T20 | Long             | ABS-MBS          | CORP              | US        |   7136025 | PA      | $7136611.91   | 0.20%             | 2045-11-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K70, Class C                                                  | CUSIP: 35708VAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1750000 | PA      | $1731456.65   | 0.05%             | 2049-12-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 3617WJYV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7946208 | PA      | $7366261.97   | 0.21%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                                  | GMF Floorplan Owner Revolving Trust, Series 2024-4A, Class A2                                   | CUSIP: 361886DR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3001499.70   | 0.08%             | 2029-11-15      | Floating      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 3618N5GM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18656176 | PA      | $18463264.89  | 0.52%             | 2055-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                           | GSAA Trust, Series 2004-CW1, Class 1A1                                                          | CUSIP: 36228FT48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282391 | PA      | $274180.87    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                  | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2135001 | PA      | $2186360.25   | 0.06%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1                                             | CUSIP: 36242DEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37264 | PA      | $37861.88     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2022-1A, Class E                                      | CUSIP: 36263XAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7029103.90   | 0.20%             | 2029-05-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                    | GLS Auto Select Receivables Trust, Series 2024-4A, Class A2                                     | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    736021 | PA      | $738743.60    | 0.02%             | 2029-12-17      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                    | GLS Auto Select Receivables Trust, Series 2024-4A, Class C                                      | CUSIP: 36271BAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2734000 | PA      | $2774916.77   | 0.08%             | 2030-11-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-1A, Class B                                      | CUSIP: 36271KAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15300000 | PA      | $15457285.53  | 0.43%             | 2029-07-16      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trus                                   | GS Mortgage-Backed Securities Trust, Series 2025-CES1, Class A1A                                | CUSIP: 36271RAA4<br>LEI: 254900R6PO5A0PCKSU63 | Long             | ABS-O            | CORP              | US        |   2845111 | PA      | $2873974.50   | 0.08%             | 2055-05-25      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                    | GLS Auto Select Receivables Trust, Series 2025-3A, Class B                                      | CUSIP: 36272GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1609000 | PA      | $1638636.81   | 0.05%             | 2031-09-15      | Fixed         | 4.81%                 | 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        |   7220000 | PA      | $7321037.40   | 0.20%             | 2031-08-15      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2026-1A, Class B                                      | CUSIP: 36274AAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4015422.80   | 0.11%             | 2030-08-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A1                                 | CUSIP: 36277LAA1<br>LEI: 2549005U12N6A8G3H936 | Long             | ABS-O            | CORP              | US        |   1339586 | PA      | $1346393.92   | 0.04%             | 2056-05-25      | Variable      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class B                                      | CUSIP: 37989BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2533254.75   | 0.07%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class B                                      | CUSIP: 37989YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8260000 | PA      | $8326682.98   | 0.23%             | 2030-01-15      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class C                                      | CUSIP: 37989YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4561038.00   | 0.13%             | 2031-05-15      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Gm Financial Consumer Automobile Receivables Trust                   | Gm Financial Consumer Automobile Receivables Trust, Series 2025-3, Class B                      | CUSIP: 379957AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740000 | PA      | $1770396.06   | 0.05%             | 2031-09-16      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GC69<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5030702.15   | 0.14%             | 2031-01-28      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10345000 | PA      | $10348242.74  | 0.29%             | 2029-10-21      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Goodleap LLC                                                         | Goodleap LLC, Class A                                                                           | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | DBT              | CORP              | US        |   3734341 | PA      | $3827699.19   | 0.11%             | 2038-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2019-1A, Class A                                                              | CUSIP: 38218DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1070665 | PA      | $1012292.70   | 0.03%             | 2054-10-15      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2018-1A, Class A                                                              | CUSIP: 38218GAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |   1515307 | PA      | $1442864.25   | 0.04%             | 2053-10-15      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-2A, Class A                                                        | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933355 | PA      | $862969.39    | 0.02%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H16, Class FA                                                                 | CUSIP: 38375B4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690181 | PA      | $690772.74    | 0.02%             | 2063-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H21, Class FA                                                                 | CUSIP: 38375BVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340335 | PA      | $340903.07    | 0.01%             | 2062-07-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H29, Class FA                                                                 | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182701 | PA      | $182770.85    | 0.01%             | 2062-10-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H07, Class FC                                                                 | CUSIP: 38375UHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3008840 | PA      | $3013108.72   | 0.08%             | 2064-05-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H11, Class JA                                                                 | CUSIP: 38375UKE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636412 | PA      | $631465.62    | 0.02%             | 2064-06-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H17, Class FM                                                                 | CUSIP: 38375UNT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1897222 | PA      | $1897029.08   | 0.05%             | 2064-08-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H03, Class FD                                                                 | CUSIP: 38375UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1025116 | PA      | $1026398.46   | 0.03%             | 2065-01-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H12, Class FA                                                                 | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    796565 | PA      | $796500.68    | 0.02%             | 2065-05-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H12, Class FJ                                                                 | CUSIP: 38376RBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    814011 | PA      | $813463.52    | 0.02%             | 2065-05-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H14, Class FB                                                                 | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1031723 | PA      | $1031164.09   | 0.03%             | 2065-05-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H15, Class FB                                                                 | CUSIP: 38376RCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1522390 | PA      | $1522908.04   | 0.04%             | 2065-06-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H19, Class FN                                                                 | CUSIP: 38376RFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1522501 | PA      | $1521512.02   | 0.04%             | 2065-07-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H23, Class TA                                                                 | CUSIP: 38376RHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2114806 | PA      | $2114216.31   | 0.06%             | 2065-09-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-158, Class EB                                                                 | CUSIP: 38378AY96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107483 | PA      | $107252.89    | 0.00%             | 2026-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-61, Class FM                                                                  | CUSIP: 38378EJ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2739226 | PA      | $2728203.05   | 0.08%             | 2042-05-16      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H04, Class FL                                                                 | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1291398 | PA      | $1291180.36   | 0.04%             | 2065-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-12, Class PA                                                                  | CUSIP: 38379TP52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3553708 | PA      | $3402496.16   | 0.10%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H07, Class FA                                                                 | CUSIP: 38380Q3B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6160861 | PA      | $6228637.70   | 0.17%             | 2071-05-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-24, Class FD                                                                  | CUSIP: 38383WCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8924664 | PA      | $8912560.42   | 0.25%             | 2053-02-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-28, Class BA                                                                  | CUSIP: 38384JAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1411743 | PA      | $1428359.30   | 0.04%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-44, Class HM                                                                  | CUSIP: 38384KW23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3253421 | PA      | $3140952.32   | 0.09%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-159, Class PA                                                                 | CUSIP: 38384YHQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4675710 | PA      | $4657772.13   | 0.13%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-4, Class DC                                                                   | CUSIP: 38385CCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6152224 | PA      | $6223182.14   | 0.17%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-41, Class HA                                                                  | CUSIP: 38385ENJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7352224 | PA      | $7419139.99   | 0.21%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-41, Class KF                                                                  | CUSIP: 38385EPJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14555428 | PA      | $14622661.13  | 0.41%             | 2055-03-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-65, Class FP                                                                  | CUSIP: 38385FXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25546328 | PA      | $25731620.62  | 0.72%             | 2055-04-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC                         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A3                           | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2023804.00   | 0.06%             | 2029-04-16      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                               | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A3                                 | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2550594.25   | 0.07%             | 2059-10-27      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                               | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class B                                  | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975528 | PA      | $990860.45    | 0.03%             | 2059-10-27      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                                     | Harley-Davidson Motorcycle Trust, Series 2024-B, Class A4                                       | CUSIP: 41284PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2878329.86   | 0.08%             | 2032-04-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A2                                                          | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    574342 | PA      | $544973.90    | 0.02%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                                       | Hertz Vehicle Financing LP, Series 2021-2A, Class A                                             | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13700000 | PA      | $13493076.57  | 0.38%             | 2027-12-27      | Fixed         | 1.68%                 | 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        |   1050000 | PA      | $1081814.48   | 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        |  14285000 | PA      | $14603254.09  | 0.41%             | 2029-12-26      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-1A, Class A                                           | CUSIP: 43283CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1417392 | PA      | $1443249.93   | 0.04%             | 2042-05-27      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-3EXT, Class A                                         | CUSIP: 43283DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5237556 | PA      | $5280564.59   | 0.15%             | 2044-10-25      | Fixed         | 4.56%                 | Yes           |                  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        |   2326267 | PA      | $2349427.68   | 0.07%             | 2044-10-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-2A, Class A                                           | CUSIP: 43283GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    779622 | PA      | $778494.56    | 0.02%             | 2037-01-25      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                           | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345427 | PA      | $340327.90    | 0.01%             | 2039-02-25      | Fixed         | 2.74%                 | 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        |   5146849 | PA      | $5188946.69   | 0.14%             | 2044-05-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-1, Class B                                          | CUSIP: 437300AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4863334 | PA      | $4497534.27   | 0.13%             | 2041-09-17      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2022-1, Class B                                          | CUSIP: 43730NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9300040 | PA      | $9259181.80   | 0.26%             | 2039-04-17      | Fixed         | 4.33%                 | 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        |    524618 | PA      | $520730.10    | 0.01%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-3, Class D                                          | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1616464 | PA      | $1530316.06   | 0.04%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class D                                          | CUSIP: 43731QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812485 | PA      | $798920.32    | 0.02%             | 2039-09-17      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                             | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class B                                | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2485552 | PA      | $2506117.29   | 0.07%             | 2033-03-21      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                             | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                               | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4050751 | PA      | $4082645.10   | 0.11%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2004-6, Class 1A2                                                       | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6954 | PA      | $6963.99      | 0.00%             | 2034-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2005-5, Class A1                                                        | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211933 | PA      | $203540.72    | 0.01%             | 2035-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                     | IndyMac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1                                    | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182702 | PA      | $141875.87    | 0.00%             | 2037-03-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2003-A1, Class 1A1                                              | CUSIP: 466247AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9705 | PA      | $9325.72      | 0.00%             | 2033-10-25      | Variable      | 5.02%                 | 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        | 154649508 | NS      | $154711368.29 | 4.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Jonah Energy ABS II LLC                                              | Jonah Energy ABS LLC, Series 2025-2A, Class A1                                                  | CUSIP: 479915AA8<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   1642556 | PA      | $1646170.11   | 0.05%             | 2041-01-10      | Fixed         | 5.91%                 | Yes           |                  3 | On Loan: No      |
| LCM Ltd.                                                             | LCM Ltd., Series 36A, Class A1R                                                                 | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3902000 | PA      | $3900887.93   | 0.11%             | 2034-01-15      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| LCM 29 Ltd.                                                          | LCM Ltd., Series 29A, Class AR                                                                  | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1086890 | PA      | $1087210.89   | 0.03%             | 2031-04-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                                             | LCM Ltd., Series 34A, Class A1R                                                                 | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15010935.00  | 0.42%             | 2034-10-20      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2024-RTL4, Class A1                                                | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3012614.70   | 0.08%             | 2039-07-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                                | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1250042.76   | 0.03%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                                | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |   7250000 | PA      | $7296149.15   | 0.20%             | 2040-08-25      | Variable      | 5.24%                 | 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        |   4640000 | PA      | $4659440.21   | 0.13%             | 2041-01-25      | Variable      | 4.91%                 | Yes           |                  3 | On Loan: No      |
| Lhome Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                                | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1710948.26   | 0.05%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                                           | LAD Auto Receivables Trust, Series 2025-2A, Class B                                             | CUSIP: 505912AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4058200.00   | 0.11%             | 2032-05-17      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Lending Funding Trust                                                | Lending Funding Trust, Series 2020-2A, Class C                                                  | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $970706.46    | 0.03%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2025-3A, Class C                                                 | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4041190.40   | 0.11%             | 2035-05-21      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2025-2A, Class A                                                 | CUSIP: 52603GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6074031.00   | 0.17%             | 2034-10-20      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2025-2A, Class B                                                 | CUSIP: 52603GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11025000 | PA      | $11169283.07  | 0.31%             | 2034-10-20      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2025-2A, Class C                                                 | CUSIP: 52603GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3041712.90   | 0.08%             | 2034-10-20      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-2A, Class A                                                 | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13165000 | PA      | $12752024.48  | 0.36%             | 2032-04-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-2A, Class C                                                 | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3337239.15   | 0.09%             | 2032-04-20      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-1A, Class A                                                 | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5760000 | PA      | $5644267.20   | 0.16%             | 2031-11-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-1A, Class B                                                 | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $962253.80    | 0.03%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-1A, Class C                                                 | CUSIP: 52607MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1447774.50   | 0.04%             | 2031-11-20      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                        | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10169248.00  | 0.28%             | 2029-06-13      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                                  | MASTR Seasoned Securitization Trust, Series 2003-1, Class 3A2                                   | CUSIP: 55265WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24582 | PA      | $24142.56     | 0.00%             | 2033-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                             | MF1 Ltd., Series 2021-FL7, Class A                                                              | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    598400 | PA      | $598267.25    | 0.02%             | 2036-10-16      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                                             | MF1 Ltd., Series 2022-FL8, Class A                                                              | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1906995 | PA      | $1906989.15   | 0.05%             | 2037-02-19      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| MMP Capital LLC                                                      | MMP Capital LLC, Series 2025-A, Class A                                                         | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1478771 | PA      | $1492309.73   | 0.04%             | 2031-12-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| M&T Equipment 2024-LEAF1 Notes                                       | M&T Equipment Notes, Series 2024-1A, Class A2                                                   | CUSIP: 55376YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1571531 | PA      | $1575561.84   | 0.04%             | 2031-08-18      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-2A, Class A                                                                | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1817009 | PA      | $1831310.84   | 0.05%             | 2042-03-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-2A, Class A                                                                | CUSIP: 55389RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5776810 | PA      | $5817668.79   | 0.16%             | 2044-10-20      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding LII Ltd.                                        | Madison Park Funding Ltd., Series 2021-52A, Class AR                                            | CUSIP: 55822BAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $7997720.00   | 0.22%             | 2035-01-22      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLII, LTD.                                      | Madison Park Funding Ltd., Series 13A, Class AR2                                                | CUSIP: 55822RAB6<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   8173770 | PA      | $8183578.68   | 0.23%             | 2030-11-21      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXXI Ltd.                                                  | Magnetite Ltd., Series 2021-31A, Class A1R                                                      | CUSIP: 55952FAL2<br>LEI: 549300J3BCFSIZAJJW77 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10013050.00  | 0.28%             | 2034-07-15      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Magnetite Ltd.                                                       | Magnetite Ltd., Series 2022-32A, Class AR                                                       | CUSIP: 55953WAL4<br>LEI: 549300QUG3I8PF6T6C52 | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $8006808.00   | 0.22%             | 2037-10-15      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXIII Ltd.                                                 | Magnetite Ltd., Series 2019-23A, Class AR2                                                      | CUSIP: 55954NAS8<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | PA      | $19978420.00  | 0.56%             | 2035-01-25      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2024-AA, Class A                                         | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10700000 | PA      | $10846750.50  | 0.30%             | 2036-09-22      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2025-BA, Class C                                         | CUSIP: 56847TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3551826.95   | 0.10%             | 2038-11-22      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2021-AA, Class A                                         | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2963686.20   | 0.08%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                               | Marlette Funding Trust, Series 2025-1A, Class B                                                 | CUSIP: 570920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10045941.00  | 0.28%             | 2035-07-16      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                             | Marvell Technology, Inc.                                                                        | CUSIP: 573874AR5<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   4110000 | PA      | $4190100.20   | 0.12%             | 2030-07-15      | Fixed         | 4.75%                 | 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        |     34323 | PA      | $33878.86     | 0.00%             | 2034-04-21      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7B                               | CUSIP: 576433WM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114422 | PA      | $114183.07    | 0.00%             | 2034-11-21      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates  | Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class B1 | CUSIP: 585525FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29696 | PA      | $28420.78     | 0.00%             | 2031-11-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                     | MRFC Mortgage Pass-Through Trust, Series 2002-TBC2, Class B1                                    | CUSIP: 585525GA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21278 | PA      | $22397.45     | 0.00%             | 2032-08-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A1                                 | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8397 | PA      | $8544.60      | 0.00%             | 2029-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A3                                | CUSIP: 59020UNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39473 | PA      | $34966.20     | 0.00%             | 2034-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                         | Metlife Securitization Trust, Series 2017-1A, Class A                                           | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339853 | PA      | $329039.71    | 0.01%             | 2055-04-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Metlife Securitization Trust                                         | Metlife Securitization Trust, Series 2018-1A, Class A                                           | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305319 | PA      | $1283749.58   | 0.04%             | 2057-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                                | Mission Lane Credit Card Master Trust, Series 2025-B, Class A                                   | CUSIP: 60510MBU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5739626.40   | 0.16%             | 2031-09-15      | Fixed         | 5.06%                 | Yes           |                  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        |    379877 | PA      | $379376.11    | 0.01%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I, Inc. Trust                     | Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2003-HYB1, Class A4                    | CUSIP: 61746WC24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28470 | PA      | $25537.36     | 0.00%             | 2033-03-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I, Inc. Trust                     | Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2003-HYB1, Class B1                    | CUSIP: 61746WC32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       547 | PA      | $13.62        | 0.00%             | 2033-03-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10279695.00  | 0.29%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A3                                  | CUSIP: 61748HAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48237 | PA      | $47464.76     | 0.00%             | 2034-07-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A5                                  | CUSIP: 61748HAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271833 | PA      | $269997.98    | 0.01%             | 2034-07-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A2A                                | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101326 | PA      | $97417.84     | 0.00%             | 2035-01-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank NA                                       | Morgan Stanley Private Bank NA                                                                  | CUSIP: 61776NU43<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |  15425000 | PA      | $15498360.53  | 0.43%             | 2030-02-08      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-1A, Class A                                                                | CUSIP: 627924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2813869 | PA      | $2865313.03   | 0.08%             | 2042-09-22      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Mutual of Omaha Cos. Global Funding                                  | Mutual of Omaha Cos. Global Funding                                                             | CUSIP: 62829D2G4<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10079560.00  | 0.28%             | 2028-06-09      | Fixed         | 4.51%                 | 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        |   1173651 | PA      | $1202011.43   | 0.03%             | 2043-02-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                                   | NMABS Issuer LLC, Series 2025-1A, Class A                                                       | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8774513 | PA      | $8791498.22   | 0.25%             | 2055-11-22      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                                     | NMEF Funding LLC, Series 2025-B, Class A2                                                       | CUSIP: 62919WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4121930 | PA      | $4141111.04   | 0.12%             | 2033-01-18      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| NAAC Reperforming Loan REMIC Trust Certificates                      | NAAC Reperforming Loan REMIC Trust Certificates, Series 2004-R3, Class AF                       | CUSIP: 62951MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389612 | PA      | $320307.36    | 0.01%             | 2035-02-25      | Floating      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                                     | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10333592.00  | 0.29%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                                     | CUSIP: 63861VAM9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10117893.70  | 0.28%             | 2029-07-14      | Variable      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                                  | NatWest Markets plc                                                                             | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10413604.40  | 0.29%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.                           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class AR                              | CUSIP: 64133WAL9<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5001340.00   | 0.14%             | 2036-07-16      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                   | New Century Home Equity Loan Trust, Series 2003-5, Class AII                                    | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94477 | PA      | $62504.00     | 0.00%             | 2033-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S                                  | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674596 | PA      | $665104.15    | 0.02%             | 2048-01-25      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class B                                  | CUSIP: 64830RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13306000 | PA      | $13134475.02  | 0.37%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                 | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   3960000 | PA      | $4007115.29   | 0.11%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class A1                                 | CUSIP: 64832LAE3<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   2468031 | PA      | $2470338.66   | 0.07%             | 2065-11-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A3, Class A1                  | CUSIP: 65535VBZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100245 | PA      | $102666.42    | 0.00%             | 2033-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                         | OCP CLO Ltd., Series 2015-9A, Class AR3                                                         | CUSIP: 67091YBE3<br>LEI: 254900XV0U0WEM36A370 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4995485.00   | 0.14%             | 2037-01-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                         | OCP CLO Ltd., Series 2023-26A, Class AR                                                         | CUSIP: 67116HAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $4998585.00   | 0.14%             | 2037-04-17      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                                      | NYMT Loan Trust, Series 2024-BPL3, Class A1                                                     | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |    941661 | PA      | $941855.48    | 0.03%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2025-NQM10, Class A1                                                          | CUSIP: 67121LAA4<br>LEI: 254900NDJVO62R77II89 | Long             | ABS-MBS          | CORP              | US        |   4883079 | PA      | $4933002.54   | 0.14%             | 2065-05-25      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2024-NQM15, Class A1                                                          | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |   1920141 | PA      | $1932054.58   | 0.05%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| OAKST Commercial Mortgage Trust                                      | OAKST Commercial Mortgage Trust, Series 2023-NLP, Class A                                       | CUSIP: 67630KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1408298 | PA      | $1403057.20   | 0.04%             | 2040-03-15      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| One Bryant Park Trust                                                | One Bryant Park Trust, Series 2019-OBP, Class A                                                 | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4696575.00   | 0.13%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                     | OneMain Financial Issuance Trust, Series 2020-2A, Class B                                       | CUSIP: 682696AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1132000 | PA      | $1098928.96   | 0.03%             | 2035-09-14      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                     | OneMain Financial Issuance Trust, Series 2019-2A, Class A                                       | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $593624.04    | 0.02%             | 2036-10-14      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                     | OneMain Financial Issuance Trust, Series 2019-2A, Class C                                       | CUSIP: 68269BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7843499.20   | 0.22%             | 2036-10-14      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                     | OneMain Financial Issuance Trust, Series 2021-1A, Class A1                                      | CUSIP: 68269MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4885632.50   | 0.14%             | 2036-06-16      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                     | OneMain Financial Issuance Trust, Series 2021-1A, Class B                                       | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3940000 | PA      | $3766063.97   | 0.11%             | 2036-06-16      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Onemain Financial Issuance Trust                                     | Onemain Financial Issuance Trust, Series 2025-1A, Class C                                       | CUSIP: 68270DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6625000 | PA      | $6754806.94   | 0.19%             | 2038-07-14      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                          | Onity Loan Investment Trust, Series 2025-HB1, Class A                                           | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1381209 | PA      | $1359918.75   | 0.04%             | 2038-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Oportun Funding Trust                                                | Oportun Funding Trust, Series 2025-1, Class A                                                   | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271928 | PA      | $272173.67    | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-B, Class A                                                  | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7250000 | PA      | $7291858.60   | 0.20%             | 2033-05-09      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-B, Class B                                                  | CUSIP: 68378QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5029261.00   | 0.14%             | 2033-05-09      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-C, Class A                                                  | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10140000 | PA      | $10166464.39  | 0.28%             | 2033-07-08      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-D, Class B                                                  | CUSIP: 68379HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6300000 | PA      | $6340342.68   | 0.18%             | 2033-02-08      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                    | CUSIP: 68389XDX0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9979516.70   | 0.28%             | 2031-02-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2026-A, Class A                                                  | CUSIP: 68390VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12036619.20  | 0.34%             | 2034-01-09      | Fixed         | 4.32%                 | Yes           |                  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        |   4220000 | PA      | $4244630.87   | 0.12%             | 2034-01-09      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                                        | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    654513 | PA      | $655761.21    | 0.02%             | 2027-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                                           | PRET Trust, Series 2024-RPL2, Class A1                                                          | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719584 | PA      | $1664949.00   | 0.05%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2025-RPL2, Class A1                                                            | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4409336 | PA      | $4331747.74   | 0.12%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                   | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3424647.10   | 0.10%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                      | Palmer Square Loan Funding Ltd., Series 2024-2A, Class A2                                       | CUSIP: 69703RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5003520.00   | 0.14%             | 2033-01-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                      | Palmer Square Loan Funding Ltd., Series 2025-1A, Class A2                                       | CUSIP: 69704CAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4800000 | PA      | $4778092.80   | 0.13%             | 2033-02-15      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                              | PowerPay Issuance Trust, Series 2025-1A, Class A                                                | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5655268 | PA      | $5711301.81   | 0.16%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                      | Prestige Auto Receivables Trust, Series 2024-2A, Class A2                                       | CUSIP: 74113SAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    524672 | PA      | $524948.49    | 0.01%             | 2028-02-15      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2005-2, Class 2A1                                                  | CUSIP: 74160MHU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125796 | PA      | $126445.25    | 0.00%             | 2032-10-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| PRM7 Trust                                                           | PRM7 Trust, Series 2025-PRM7, Class A                                                           | CUSIP: 74290HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5855000 | PA      | $5842165.84   | 0.16%             | 2042-11-10      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR4, Class A                                           | CUSIP: 74290JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7994844.00   | 0.22%             | 2042-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class A                                           | CUSIP: 74290XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7839625 | PA      | $7623246.96   | 0.21%             | 2041-04-17      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR1, Class A                                           | CUSIP: 74331QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5427149 | PA      | $5293505.25   | 0.15%             | 2041-02-17      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR3, Class A                                           | CUSIP: 74331VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24397062 | PA      | $23469241.39  | 0.66%             | 2041-06-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR9, Class B                                           | CUSIP: 74333QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4916000 | PA      | $4669931.59   | 0.13%             | 2040-11-17      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR9, Class D                                           | CUSIP: 74333QAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1914960.60   | 0.05%             | 2040-11-17      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class A                                           | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4379583 | PA      | $4315652.48   | 0.12%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR10, Class B                                          | CUSIP: 74333WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4077958 | PA      | $3911625.40   | 0.11%             | 2040-12-17      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR1, Class B                                           | CUSIP: 74333YAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3856289.60   | 0.11%             | 2041-02-17      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR3, Class A                                           | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9637369.00   | 0.27%             | 2042-07-17      | Fixed         | 3.39%                 | 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        |  11945577 | PA      | $11503060.07  | 0.32%             | 2042-04-17      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2026-SFR1, Class B                                           | CUSIP: 74334HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5822836.80   | 0.16%             | 2043-02-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR4, Class A                                           | CUSIP: 74334JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6878603 | PA      | $6643916.29   | 0.19%             | 2041-07-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR4, Class B                                           | CUSIP: 74334JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3850179.60   | 0.11%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR5, Class A                                           | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31801551 | PA      | $31178599.51  | 0.87%             | 2042-10-17      | Fixed         | 3.85%                 | Yes           |                  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        |   4930000 | PA      | $4937779.54   | 0.14%             | 2030-08-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                  | RCKT Mortgage Trust, Series 2025-CES12, Class A1A                                               | CUSIP: 749349AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6257959 | PA      | $6294415.11   | 0.18%             | 2055-11-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| RCKTL                                                                | RCKTL, Series 2025-2A, Class B                                                                  | CUSIP: 74939HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3408835.92   | 0.10%             | 2034-11-27      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                  | RCKT Mortgage Trust, Series 2025-CES8, Class A1A                                                | CUSIP: 74939WAA8<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |   8017569 | PA      | $8081092.52   | 0.23%             | 2055-08-25      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                  | RCKT Mortgage Trust, Series 2026-CES2, Class A1A                                                | CUSIP: 74940EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7523000 | PA      | $7529757.91   | 0.21%             | 2056-02-01      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                  | RCKT Mortgage Trust, Series 2025-CES11, Class A1A                                               | CUSIP: 749423AA7<br>LEI: 254900BTBXWWIQBK4D47 | Long             | ABS-O            | CORP              | US        |   4704909 | PA      | $4741308.23   | 0.13%             | 2055-11-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| RFMSI Trust                                                          | RFMSI Trust, Series 2006-SA4, Class 2A1                                                         | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103960 | PA      | $88063.81     | 0.00%             | 2036-11-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class A                                                           | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2380000 | PA      | $2463196.71   | 0.07%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| RFM Re-REMIC Trust                                                   | RFM Re-REMIC Trust, Series 2022-FRR1, Class AB60                                                | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6351624.50   | 0.18%             | 2049-11-08      | Variable      | 2.32%                 | Yes           |                  3 | On Loan: No      |
| RKTL                                                                 | RKTL, Series 2026-1A, Class B                                                                   | CUSIP: 74990JAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2630000 | PA      | $2631409.68   | 0.07%             | 2035-02-26      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                                      | Reach ABS Trust, Series 2025-1A, Class A                                                        | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362073 | PA      | $363050.47    | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                                      | Reach ABS Trust, Series 2026-1A, Class B                                                        | CUSIP: 75526XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2003631.40   | 0.06%             | 2033-02-15      | Fixed         | 4.37%                 | Yes           |                  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        |   2000000 | PA      | $2010698.00   | 0.06%             | 2033-02-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2024-1, Class A                                      | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5899000 | PA      | $6011084.54   | 0.17%             | 2036-07-15      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2022-1, Class C                                      | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1334000 | PA      | $1328715.09   | 0.04%             | 2032-03-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2021-2, Class A                                      | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5841228.00   | 0.16%             | 2033-08-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2025-1, Class A                                      | CUSIP: 75908AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4055000 | PA      | $4082736.20   | 0.11%             | 2034-04-17      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                      | Republic Finance Issuance Trust, Series 2025-A, Class A                                         | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10094641.00  | 0.28%             | 2034-11-20      | Fixed         | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Trust                                   | Research-Driven Pagaya Motor Trust, Series 2025-5A, Class A3                                    | CUSIP: 76089KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7147000 | PA      | $7180082.75   | 0.20%             | 2034-06-26      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| RASC Trust                                                           | RASC Trust, Series 2003-KS4, Class MI2                                                          | CUSIP: 76110WRW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522587 | PA      | $446880.34    | 0.01%             | 2033-06-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                          | RFMSI Trust, Series 2005-SA2, Class 2A2                                                         | CUSIP: 76111XVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192897 | PA      | $184213.49    | 0.01%             | 2035-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Roc Mortgage Trust                                                   | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                                  | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1005278.80   | 0.03%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                        | RWC Commercial Mortgage Trust, Series 2025-1, Class A                                           | CUSIP: 78348LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3669328 | PA      | $3693853.53   | 0.10%             | 2040-06-25      | Fixed         | 5.01%                 | Yes           |                  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        |   1175000 | PA      | $1199456.10   | 0.03%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| SCG Trust                                                            | SCG Trust, Series 2025-SNIP, Class A                                                            | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10025000.00  | 0.28%             | 2042-09-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                            | SCF Equipment Leasing LLC, Series 2025-1A, Class A2                                             | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429300 | PA      | $1433465.11   | 0.04%             | 2030-07-22      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                            | SCF Equipment Leasing LLC, Series 2025-2A, Class B                                              | CUSIP: 78439XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5591621.20   | 0.16%             | 2036-06-20      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                                                 | SMRT, Series 2022-MINI, Class A                                                                 | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4999984.00   | 0.14%             | 2039-01-15      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| SMR Mortgage Trust                                                   | SMR Mortgage Trust, Series 2022-IND, Class A                                                    | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7325417 | PA      | $7315364.49   | 0.20%             | 2039-02-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| STWD Mortgage Trust                                                  | STWD Mortgage Trust, Series 2021-LIH, Class B                                                   | CUSIP: 78486EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2300000 | PA      | $2292838.49   | 0.06%             | 2036-11-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                      | Santander UK Group Holdings plc                                                                 | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   4405000 | PA      | $4420303.59   | 0.12%             | 2029-09-22      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class C                                 | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4298477 | PA      | $4355439.60   | 0.12%             | 2032-06-15      | Fixed         | 5.82%                 | Yes           |                  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        |   1140000 | PA      | $1154271.20   | 0.03%             | 2032-01-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                        | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A                                        | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4996875.00   | 0.14%             | 2039-05-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2003-3, Class A2                                                 | CUSIP: 81743PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25296 | PA      | $23337.45     | 0.00%             | 2033-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 11, Class A                                                      | CUSIP: 81744AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4551 | PA      | $3985.89      | 0.00%             | 2032-12-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-11, Class A2                                                | CUSIP: 81744FFK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138998 | PA      | $133323.27    | 0.00%             | 2034-12-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class A                               | CUSIP: 82650FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2812899 | PA      | $2831216.70   | 0.08%             | 2044-08-22      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-1A, Class A                               | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1851480 | PA      | $1871911.95   | 0.05%             | 2042-01-21      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class A                               | CUSIP: 82653HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1988583 | PA      | $2011700.62   | 0.06%             | 2044-04-20      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83368RCL4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   7565000 | PA      | $7599389.58   | 0.21%             | 2030-04-12      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| SoFi Professional Loan Program Trust                                 | SoFi Professional Loan Program Trust, Series 2021-B, Class AFX                                  | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1935134 | PA      | $1744207.03   | 0.05%             | 2047-02-15      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                     | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                        | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1457923 | PA      | $1465275.28   | 0.04%             | 2034-02-27      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                           | STAR Trust, Series 2025-SFR5, Class A                                                           | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    998682 | PA      | $1000838.81   | 0.03%             | 2042-02-17      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                           | STAR Trust, Series 2025-SFR6, Class A                                                           | CUSIP: 85520EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5006250.00   | 0.14%             | 2042-08-17      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust               | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class B                 | CUSIP: 858928AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12358000 | PA      | $12491603.57  | 0.35%             | 2029-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                           | Street Capital Group, Inc.                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   1471716 | PA      | $1471715.67   | 0.04%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Structured Asset Mortgage Investments Trust                          | Structured Asset Mortgage Investments Trust, Series 2002-AR2, Class A3                          | CUSIP: 86358HNR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82732 | PA      | $47493.75     | 0.00%             | 2032-07-19      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                              | Amortizing Residential Collateral Trust, Series 2002-BC9, Class M1                              | CUSIP: 86359AFD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    901509 | PA      | $877872.25    | 0.02%             | 2032-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-24A, Class 2A | CUSIP: 86359AG64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206422 | PA      | $203229.05    | 0.01%             | 2033-07-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-40A, Class 4A | CUSIP: 86359BEP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46875 | PA      | $45878.96     | 0.00%             | 2034-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2004-AR1, Class 1A1                      | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16677 | PA      | $15880.44     | 0.00%             | 2034-03-19      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd.                                                | TCI-Flatiron CLO Ltd., Series 2018-1A, Class AR2                                                | CUSIP: 87232CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3666459 | PA      | $3665912.58   | 0.10%             | 2035-07-29      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC                      | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A4                        | CUSIP: 88162VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6054604.20   | 0.17%             | 2029-05-21      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                               | Tesla Auto Lease Trust, Series 2024-A, Class B                                                  | CUSIP: 88166VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3020940.30   | 0.08%             | 2028-05-22      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                               | Tesla Auto Lease Trust, Series 2024-B, Class A4                                                 | CUSIP: 881934AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6540554.15   | 0.18%             | 2028-06-20      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2004-4, Class 5A                                    | CUSIP: 885220GK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993119 | PA      | $884784.89    | 0.02%             | 2044-12-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                              | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1056794.97   | 0.03%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2018-4, Class A1                                              | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2168552 | PA      | $2084941.40   | 0.06%             | 2058-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2026-FIX1, Class A1                                           | CUSIP: 89183TAA6<br>LEI: 254900HMDJT9KG22DU68 | Long             | ABS-O            | CORP              | US        |   4936043 | PA      | $4967960.84   | 0.14%             | 2065-12-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2026-CES2, Class A1A                                          | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5630000 | PA      | $5628828.96   | 0.16%             | 2066-02-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2025-SFR1, Class A                                             | CUSIP: 895974AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2695025 | PA      | $2696709.80   | 0.08%             | 2042-03-17      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes                                                | Tricon American Homes, Series 2020-SFR1, Class A                                                | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5938537 | PA      | $5872192.29   | 0.16%             | 2038-07-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                                          | Tricon American Homes Trust, Series 2020-SFR2, Class C                                          | CUSIP: 89613JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3828513.20   | 0.11%             | 2039-11-17      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2024-SFR1, Class A                                             | CUSIP: 89616UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1388037 | PA      | $1393874.75   | 0.04%             | 2041-04-17      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2024-SFR2, Class A                                             | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1644792 | PA      | $1652111.48   | 0.05%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked Notes                                 | Truist Bank Auto Credit-Linked Notes, Series 2025-1, Class B                                    | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8255858 | PA      | $8302154.60   | 0.23%             | 2033-09-26      | Fixed         | 4.73%                 | Yes           |                  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        |    967706 | PA      | $929602.91    | 0.03%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                                  | UPG HI Issuer Trust, Series 2025-2, Class A                                                     | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5096763 | PA      | $5134088.90   | 0.14%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                                             | CUSIP: 912797TF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5312000 | PA      | $5247733.67   | 0.15%             | 2026-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  77815000 | PA      | $77963942.58  | 2.18%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63870000 | PA      | $64109512.50  | 1.79%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  79631000 | PA      | $79839409.46  | 2.23%             | 2027-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CPL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $44971875.00  | 1.26%             | 2027-11-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74570000 | PA      | $74797205.84  | 2.09%             | 2029-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2025-3, Class A2                                           | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10764333 | PA      | $10782139.45  | 0.30%             | 2035-09-20      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| UPX HIL Issuer Trust                                                 | UPX HIL Issuer Trust, Series 2025-1, Class A                                                    | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6360752 | PA      | $6412395.39   | 0.18%             | 2047-01-25      | Fixed         | 5.16%                 | Yes           |                  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        |    480021 | PA      | $480120.03    | 0.01%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Verdant Receivables LLC                                              | Verdant Receivables LLC, Series 2023-1A, Class A2                                               | CUSIP: 92339GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137691 | PA      | $1156516.29   | 0.03%             | 2031-01-13      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                                         | Veros Auto Receivables Trust, Series 2023-1, Class B                                            | CUSIP: 924933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560699 | PA      | $562281.55    | 0.02%             | 2028-11-15      | Fixed         | 7.17%                 | Yes           |                  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        |   1410000 | PA      | $1413891.88   | 0.04%             | 2029-05-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                     | Vista Point Securitization Trust, Series 2024-CES1, Class A1                                    | CUSIP: 92839HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2020540 | PA      | $2052394.09   | 0.06%             | 2054-05-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                        | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132053 | PA      | $132100.48    | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                                        | Volvo Financial Equipment LLC, Series 2025-2A, Class A3                                         | CUSIP: 92886CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3512018.30   | 0.10%             | 2029-12-17      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                                        | Volvo Financial Equipment LLC, Series 2025-2A, Class A4                                         | CUSIP: 92886CAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2260126.13   | 0.06%             | 2033-06-15      | Fixed         | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                                        | Volvo Financial Equipment LLC, Series 2024-1A, Class A3                                         | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3015095.10   | 0.08%             | 2028-10-16      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                        | Voya CLO Ltd., Series 2020-1A, Class ARR                                                        | CUSIP: 92918EAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $8008280.00   | 0.22%             | 2034-07-16      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                        | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177719 | PA      | $170945.38    | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A                        | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77633 | PA      | $72637.76     | 0.00%             | 2034-10-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                      | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                        | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1219324.88   | 0.03%             | 2040-07-15      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                               | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  12460000 | PA      | $12463341.52  | 0.35%             | 2029-09-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559861 | PA      | $558461.65    | 0.02%             | 2040-02-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                      | Western Funding Auto Loan Trust, Series 2025-1, Class B                                         | CUSIP: 958250AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8600000 | PA      | $8734125.60   | 0.24%             | 2035-09-17      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                                  | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9563000 | PA      | $9734701.75   | 0.27%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2023-3A, Class D                                  | CUSIP: 96041CAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3433649.17   | 0.10%             | 2029-03-15      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2025-2A, Class C                                  | CUSIP: 96041KAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15200529.00  | 0.42%             | 2031-01-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2024-3A, Class B                                  | CUSIP: 96043CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7480000 | PA      | $7528710.51   | 0.21%             | 2029-11-15      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2025-3A, Class A3                                 | CUSIP: 96043QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6024378.60   | 0.17%             | 2029-06-15      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2025-3A, Class C                                  | CUSIP: 96043QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5200000 | PA      | $5257828.68   | 0.15%             | 2031-07-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd.                                                  | Wind River CLO Ltd., Series 2021-4A, Class AR                                                   | CUSIP: 97316UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15017400.00  | 0.42%             | 2035-01-20      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                                      | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                                       | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2434964 | PA      | $2448766.07   | 0.07%             | 2032-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                                      | Wingspire Equipment Finance LLC, Series 2025-1A, Class A2                                       | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545000 | PA      | $2554292.05   | 0.07%             | 2033-09-20      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                                    | World Omni Auto Receivables Trust, Series 2024-A, Class A4                                      | CUSIP: 98164RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2890000 | PA      | $2938626.85   | 0.08%             | 2029-10-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                                    | World Omni Auto Receivables Trust, Series 2025-B, Class A3                                      | CUSIP: 98164TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3795000 | PA      | $3830795.96   | 0.11%             | 2030-09-16      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1865 | NC      | $-629256.24   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 2 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      4491 | NC      | $995468.21    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -415 | NC      | $-206005.29   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bond                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -203 | NC      | $-146198.57   | -0.00%            |  |  |  | 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        |      -264 | NC      | $-177849.55   | -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