# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001410368-26-020705
**Filing Date:** 2026-2
**Character Count:** 422790
**Document Hash:** a742bdb5f09983eaa9728dc6aa68d50a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-020705.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001410368-26-020705

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 26698864

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### JPMorgan Core Bond Portfolio (Series ID: S000011093)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030600 | Class A      |  |
| C000030601 | Class B      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** JPMorgan Core Bond Portfolio

- **b. EDGAR series identifier (if any):** S000011093

- **c. LEI of Series:** 549300RFR6ICLKM2UT36

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1224037297.22

**Total Liabilities:** $9141908.15

**Net Assets:** $1214895389.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1184.91000000 | **1-Year:** -21608.32000000 | **5-Year:** -71735.94000000 | **10-Year:** -94464.89000000 | **30-Year:** -41567.65000000

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

- **3-Month:** -213.18000000 | **1-Year:** -3910.23000000 | **5-Year:** -7247.12000000 | **10-Year:** -9201.08000000 | **30-Year:** -4300.08000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030600 | 0.66%                | 0.76%                | -0.43%               |
| Class ID C000030601 | 0.66%                | 0.66%                | -0.43%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1225722.03             | $4969084.18                                |
| Month 2  | $-2734353.14             | $7657440.35                                |
| Month 3  | $105985.97               | $-9134977.11                               |

### Schedule of Portfolio Investments

| Name                                              | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO BANK NV                                  | ABN AMRO Bank NV                                                                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $190611.19    | 0.02%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                           | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    225000 | PA      | $152101.07    | 0.01%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AD5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1061424.77   | 0.09%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    375000 | PA      | $321014.09    | 0.03%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                      | AES Corp/The                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    725000 | PA      | $743479.44    | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                   | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1895000 | PA      | $1955538.81   | 0.16%             | 2031-05-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: —       |
| AIG SUNAMER GLOB FIN X                            | AIG SunAmerica Global Financing X                                               | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    500000 | PA      | $554360.91    | 0.05%             | 2032-03-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2022-SFR1 Trust                                                            | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2964587.70   | 0.24%             | 2039-03-17      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2021-SFR3 Trust                                                            | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1694000 | PA      | $1653850.68   | 0.14%             | 2038-10-17      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2795000 | PA      | $1964073.00   | 0.16%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| AT&T INC                                          | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    396000 | PA      | $263594.32    | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    600000 | PA      | $533701.06    | 0.04%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                      | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    220000 | PA      | $191220.37    | 0.02%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                       | Academic Loan Funding Trust 2013-1                                              | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286374 | PA      | $281671.83    | 0.02%             | 2044-12-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                | Accelerated 2021-1H LLC                                                         | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    488267 | PA      | $458544.19    | 0.04%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                           | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    585000 | PA      | $585458.76    | 0.05%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394306.17    | 0.03%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    990000 | PA      | $976543.93    | 0.08%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    945000 | PA      | $872536.90    | 0.07%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    990000 | PA      | $1008717.15   | 0.08%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    275000 | PA      | $271712.22    | 0.02%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                         | Aetna Inc                                                                       | CUSIP: 00817YAF5<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    297000 | PA      | $326749.47    | 0.03%             | 2036-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                           | Air Canada 2017-1 Class AA Pass Through Trust                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    328499 | PA      | $313936.04    | 0.03%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1A PTT                            | Air Canada 2017-1 Class A Pass Through Trust                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    465802 | PA      | $445850.38    | 0.04%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                           | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    530000 | PA      | $541062.36    | 0.04%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                           | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    318000 | PA      | $320940.66    | 0.03%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    185000 | PA      | $168200.72    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                          | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    566000 | PA      | $422152.12    | 0.03%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                          | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    710000 | PA      | $600314.49    | 0.05%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                  | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    485000 | PA      | $428876.60    | 0.04%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    635000 | PA      | $659555.25    | 0.05%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    320000 | PA      | $325662.85    | 0.03%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    380000 | PA      | $375226.57    | 0.03%             | 2036-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    287000 | PA      | $285469.67    | 0.02%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    665000 | PA      | $493755.54    | 0.04%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    470000 | PA      | $426543.94    | 0.04%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    390000 | PA      | $256199.05    | 0.02%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    845000 | PA      | $754795.97    | 0.06%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    255000 | PA      | $162217.54    | 0.01%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| AMERICAN WATER CAPITAL C                          | American Water Capital Corp                                                     | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    750000 | PA      | $710946.44    | 0.06%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| CENCORA INC                                       | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1134481.15   | 0.09%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    347000 | PA      | $296890.37    | 0.02%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                       | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    676000 | PA      | $532802.80    | 0.04%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                       | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    731000 | PA      | $735058.99    | 0.06%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    865000 | PA      | $847005.99    | 0.07%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                     | Amphenol Corp                                                                   | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    670000 | PA      | $640060.47    | 0.05%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    722000 | PA      | $532524.67    | 0.04%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                             | Anchor Mortgage Trust 2025-RTL1                                                 | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1306880.51   | 0.11%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ANCHOR MTG TR 2024 RTL1                           | ANCHOR MTG TR 2024 RTL1                                                         | CUSIP: 03332JAA9<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2024818.80   | 0.17%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                      | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1020000 | PA      | $1069884.13   | 0.09%             | 2034-04-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| ANHEUSER-BUSCH CO/INBEV                           | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1103000 | PA      | $1091799.09   | 0.09%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                             | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1039215.60   | 0.09%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                         | Apple Inc                                                                       | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    965000 | PA      | $600625.48    | 0.05%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                   | AstraZeneca PLC                                                                 | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $398928.94    | 0.03%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                 | Atmos Energy Corp                                                               | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    460000 | PA      | $390752.85    | 0.03%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    530000 | PA      | $464374.95    | 0.04%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                      | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    505000 | PA      | $512746.25    | 0.04%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1608000 | PA      | $1657974.23   | 0.14%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    540000 | PA      | $540164.79    | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1840000 | PA      | $1819548.77   | 0.15%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    885000 | PA      | $884786.79    | 0.07%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    445000 | PA      | $443547.67    | 0.04%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1218000 | PA      | $1180814.57   | 0.10%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    543000 | PA      | $549366.70    | 0.05%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    240000 | PA      | $241272.96    | 0.02%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    415000 | PA      | $412328.68    | 0.03%             | 2031-01-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                   | BAE Systems PLC                                                                 | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    332000 | PA      | $221621.12    | 0.02%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                   | BAE Systems PLC                                                                 | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    720000 | PA      | $638639.02    | 0.05%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2014-520M                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $831174.96    | 0.07%             | 2046-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    363000 | PA      | $301118.20    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1545000 | PA      | $1611227.40   | 0.13%             | 2035-05-30      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    685000 | PA      | $731103.98    | 0.06%             | 2036-01-14      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1305000 | PA      | $1336590.41   | 0.11%             | 2030-01-09      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    415000 | PA      | $367705.79    | 0.03%             | 2032-01-20      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| BG BETA I LTD                                     | BG BETA I LTD                                                                   | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   1560000 | PA      | $1594371.48   | 0.13%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    910000 | PA      | $934088.61    | 0.08%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1175000 | PA      | $1232209.82   | 0.10%             | 2036-05-28      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                          | Baltimore Gas and Electric Co                                                   | CUSIP: 059165DX5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1532621.39   | 0.13%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                          | Banco Nacional de Panama                                                        | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    950000 | PA      | $841585.51    | 0.07%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $196607.00    | 0.02%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1200000 | PA      | $1243679.05   | 0.10%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: —       |
| BANCO SANTANDER SA                                | Banco Santander SA                                                              | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | PA      | $1066719.70   | 0.09%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    445000 | PA      | $399720.90    | 0.03%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    855000 | PA      | $771127.20    | 0.06%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1427512.72   | 0.12%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    655000 | PA      | $644678.49    | 0.05%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    425000 | PA      | $441403.37    | 0.04%             | 2030-03-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    620000 | PA      | $693596.98    | 0.06%             | 2034-10-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: —       |
| BANK OF NOVA SCOTIA                               | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    297000 | PA      | $303948.28    | 0.03%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                            | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    855000 | PA      | $887919.08    | 0.07%             | 2028-07-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    460000 | PA      | $419150.68    | 0.03%             | 2032-11-24      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $215060.85    | 0.02%             | 2034-05-09      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1655000 | PA      | $1680731.81   | 0.14%             | 2027-09-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    285000 | PA      | $290647.35    | 0.02%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: —       |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    435000 | PA      | $449602.46    | 0.04%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: —       |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    415000 | PA      | $434416.50    | 0.04%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: —       |
| Bastion Funding LLC                               | Bastion Funding I LLC                                                           | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1054443 | PA      | $1063422.51   | 0.09%             | 2038-04-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BAXALTA INC                                       | Baxalta Inc                                                                     | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25768.33     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                            | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    620000 | PA      | $477091.78    | 0.04%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| BIMBO BAKERIES USA INC                            | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205042.24    | 0.02%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                        | Biogen Inc                                                                      | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    480000 | PA      | $505217.69    | 0.04%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    586000 | PA      | $534472.56    | 0.04%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1279000 | PA      | $1323074.81   | 0.11%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1615000 | PA      | $1662399.80   | 0.14%             | 2030-11-19      | Fixed         | 5.28%                 | No            |                  2 | On Loan: —       |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    815000 | PA      | $855533.81    | 0.07%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    659000 | PA      | $646790.02    | 0.05%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    360000 | PA      | $358573.07    | 0.03%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    335000 | PA      | $338429.51    | 0.03%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    550000 | PA      | $561427.96    | 0.05%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    905000 | PA      | $903277.40    | 0.07%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    580000 | PA      | $615640.03    | 0.05%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    330000 | PA      | $358113.87    | 0.03%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    540000 | PA      | $597433.84    | 0.05%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $801706.59    | 0.07%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust     | Bridgecrest Lending Auto Securitization Trust 2024-1                            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1441000 | PA      | $1455338.24   | 0.12%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    527000 | PA      | $478412.14    | 0.04%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    427000 | PA      | $369410.19    | 0.03%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    380000 | PA      | $279206.24    | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     61000 | PA      | $59906.50     | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                           | British Airways 2018-1 Class AA Pass Through Trust                              | CUSIP: 11042TAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    313345 | PA      | $307371.45    | 0.03%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                            | British Airways 2018-1 Class A Pass Through Trust                               | CUSIP: 11043HAA6<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    422736 | PA      | $409760.21    | 0.03%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT                           | British Airways 2019-1 Class AA Pass Through Trust                              | CUSIP: 11043XAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    405503 | PA      | $382893.42    | 0.03%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                            | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    600000 | PA      | $576091.14    | 0.05%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                            | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    325000 | PA      | $292122.13    | 0.02%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1451098.28   | 0.12%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    465000 | PA      | $394363.01    | 0.03%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1441408.25   | 0.12%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    177000 | PA      | $174654.15    | 0.01%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                            | Brookfield Finance Inc                                                          | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     84000 | PA      | $72684.49     | 0.01%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| BROOKFIELD FINANCE INC                            | Brookfield Finance Inc                                                          | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    485000 | PA      | $492657.11    | 0.04%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                             | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    500000 | PA      | $398665.80    | 0.03%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                            | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    730000 | PA      | $716260.43    | 0.06%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| BUNGE LTD FINANCE CORP                            | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    235000 | PA      | $238713.65    | 0.02%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| BXG Receivables Note Trust                        | BXG Receivables Note Trust 2023-A                                               | CUSIP: 123919AB8<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    917074 | PA      | $936684.16    | 0.08%             | 2038-11-15      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 ISSUER LLC                         | CFIN 2022-RTL1 Issuer LLC                                                       | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334209 | PA      | $333206.68    | 0.03%             | 2026-02-16      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CGI INC                                           | CGI Inc                                                                         | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   1184000 | PA      | $1049302.41   | 0.09%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                 | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    156000 | PA      | $138700.77    | 0.01%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                 | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1175796.99   | 0.10%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE9 Mortgage Trust                                                  | CUSIP: 12625UAA1<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |  23027823 | PA      | $206697.74    | 0.02%             | 2045-07-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust                         | COOF Securitization Trust 2014-1 Ltd                                            | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    150200 | PA      | $9713.86      | 0.00%             | 2040-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                           | CRH America Finance Inc                                                         | CUSIP: 12636YAA0<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    214000 | PA      | $212311.30    | 0.02%             | 2027-05-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                          | CSX Corp                                                                        | CUSIP: 126408GH0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    300000 | PA      | $325493.56    | 0.03%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                          | CSX Corp                                                                        | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    404000 | PA      | $359165.85    | 0.03%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $849341.70    | 0.07%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                            | CVS Pass-Through Trust                                                          | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    458628 | PA      | $467596.00    | 0.04%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    179000 | PA      | $179592.82    | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| CVS PASS THRU TR 2009                             | CVS Pass-Through Trust Series 2009                                              | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86672 | PA      | $94374.65     | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TR 2013                          | CVS Pass-Through Trust Series 2013                                              | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    527014 | PA      | $489170.98    | 0.04%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                            | CSTL Commercial Mortgage Trust 2025-GATE2                                       | CUSIP: 12676JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $612565.71    | 0.05%             | 2042-11-10      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    710000 | PA      | $707318.57    | 0.06%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    590000 | PA      | $598846.29    | 0.05%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                            | Cadence Design Systems Inc                                                      | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    953000 | PA      | $952663.23    | 0.08%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| CAIXABANK SA                                      | CaixaBank SA                                                                    | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    330000 | PA      | $368040.87    | 0.03%             | 2034-09-13      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1570000 | PA      | $1613096.23   | 0.13%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                   | Cameron LNG LLC                                                                 | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    769000 | PA      | $655310.75    | 0.05%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                          | Canadian Pacific Railway Co                                                     | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    597000 | PA      | $525458.77    | 0.04%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    324000 | PA      | $317898.54    | 0.03%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    735000 | PA      | $658681.77    | 0.05%             | 2032-11-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    570000 | PA      | $598186.85    | 0.05%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY PROGRESS INC                          | Duke Energy Progress LLC                                                        | CUSIP: 144141CV8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    360000 | PA      | $377663.67    | 0.03%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    200000 | PA      | $168567.81    | 0.01%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Capital Automotive LP                             | Cars Net Lease Mortgage Notes Series 2020-1                                     | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $564257.54    | 0.05%             | 2050-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2023-P4                                          | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430000 | PA      | $1479373.47   | 0.12%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1805000 | PA      | $1814110.92   | 0.15%             | 2029-07-10      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $383939.79    | 0.03%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    935000 | PA      | $702371.65    | 0.06%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    840000 | PA      | $528722.77    | 0.04%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306713.45    | 0.03%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOSPITAL CORP                          | Children's Hospital Corp/The                                                    | CUSIP: 16876BAB8<br>LEI: 549300NXFO6BISJLOS32 | Long             | DBT              | CORP              | US        |    430000 | PA      | $261328.29    | 0.02%             | 2050-02-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOSPITAL/DC                            | Children's Hospital/DC                                                          | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    540000 | PA      | $346766.42    | 0.03%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                            | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    394000 | PA      | $353043.70    | 0.03%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    750000 | PA      | $751841.88    | 0.06%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1294000 | PA      | $1302323.99   | 0.11%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    915000 | PA      | $830387.03    | 0.07%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1035589.73   | 0.09%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    520000 | PA      | $521609.29    | 0.04%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    485000 | PA      | $489533.45    | 0.04%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    677000 | PA      | $620175.58    | 0.05%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    988000 | PA      | $995856.71    | 0.08%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                     | DREYFUS TREASURY & AGENCY LEX                                                   | CUSIP: 261908107<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FIGXX FID INST GOVT LEX                           | FIGXX FID INST GOVT LEX                                                         | CUSIP: 316175108<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                          | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $248650.11    | 0.02%             | 2030-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| STATE STREET INST US GOVT FUND                    | STATE STREET INST US GOVT FUND                                                  | CUSIP: 857492706<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA FEMSA SAB CV                            | Coca-Cola Femsa SAB de CV                                                       | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    515000 | PA      | $434969.15    | 0.04%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    252000 | PA      | $256252.79    | 0.02%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1633131.70   | 0.13%             | 2035-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1068809.04   | 0.09%             | 2055-02-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    556000 | PA      | $531272.41    | 0.04%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    591000 | PA      | $514789.44    | 0.04%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1131000 | PA      | $661401.35    | 0.05%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    663000 | PA      | $372523.07    | 0.03%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     42000 | PA      | $22717.69     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    412000 | PA      | $406219.09    | 0.03%             | 2037-01-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2018-HOME Mortgage Trust                                                   | CUSIP: 20048JAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1427859.37   | 0.12%             | 2033-04-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    430000 | PA      | $400163.31    | 0.03%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    425000 | PA      | $317418.14    | 0.03%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    545000 | PA      | $521320.50    | 0.04%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                        | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    180000 | PA      | $166460.87    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                          | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    174000 | PA      | $185688.39    | 0.02%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                               | Consumers Energy Co                                                             | CUSIP: 210518CX2<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    191000 | PA      | $148316.12    | 0.01%             | 2064-08-31      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    513000 | PA      | $511819.06    | 0.04%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    390000 | PA      | $383655.71    | 0.03%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                       | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122042 | PA      | $121799.49    | 0.01%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                       | Corp Nacional del Cobre de Chile                                                | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    528000 | PA      | $572550.11    | 0.05%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                              | COPT Defense Properties LP                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |   1153000 | PA      | $1051694.48   | 0.09%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COTTAGE HEALTH SYSTEM                             | Cottage Health Obligated Group                                                  | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $352784.79    | 0.03%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    630000 | PA      | $350542.72    | 0.03%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2023-3                                        | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    934487 | PA      | $939144.28    | 0.08%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2025-2                                        | CUSIP: 224940AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1415000 | PA      | $1427401.77   | 0.12%             | 2036-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2022-3                                        | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210940 | PA      | $1215440.16   | 0.10%             | 2033-02-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-3                                        | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2720000 | PA      | $2749089.31   | 0.23%             | 2035-01-16      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2023-5                                        | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $2386534.78   | 0.20%             | 2033-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    795000 | PA      | $838578.32    | 0.07%             | 2036-01-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    713000 | PA      | $728048.54    | 0.06%             | 2029-01-09      | Fixed         | 5.23%                 | No            |                  2 | On Loan: —       |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    380000 | PA      | $390114.58    | 0.03%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    665000 | PA      | $664130.28    | 0.05%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: —       |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-1                                        | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $2426328.03   | 0.20%             | 2034-07-17      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    905000 | PA      | $899892.90    | 0.07%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    470000 | PA      | $467714.00    | 0.04%             | 2031-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1030000 | PA      | $1020914.98   | 0.08%             | 2037-03-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                      | DNB Bank ASA                                                                    | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    590000 | PA      | $601628.04    | 0.05%             | 2030-11-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2023-2                                                      | CUSIP: 23346CAE8<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |   1650902 | PA      | $1657532.01   | 0.14%             | 2029-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| DTE ELECT SECUR FND II                            | DTE Electric Securitization Funding II LLC                                      | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $648220.21    | 0.05%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                | DP Lion Holdco LLC                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |    829735 | PA      | $852779.17    | 0.07%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    920000 | PA      | $955880.94    | 0.08%             | 2030-03-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                 | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    440000 | PA      | $443662.14    | 0.04%             | 2030-10-02      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                 | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    660000 | PA      | $674025.04    | 0.06%             | 2031-03-04      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                               | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1950000 | PA      | $1941184.83   | 0.16%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIGHT CO                           | Delmarva Power & Light Co                                                       | CUSIP: 247109BT7<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    500000 | PA      | $421227.22    | 0.03%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA                           | Delta Air Lines 2020-1 Class AA Pass Through Trust                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    277849 | PA      | $265361.72    | 0.02%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                   | DTE Electric Co                                                                 | CUSIP: 250847EA4<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    300000 | PA      | $313933.48    | 0.03%             | 2037-10-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Jefferies LLC                                     | Jefferies LLC                                                                   | CUSIP: 000000000<br>LEI: 58PU97L1C0WSRCWADL48 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                               | Goldman Sachs & Co.                                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        |    124495 | PA      | $124495.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CF Secured LLC                                    | CF Secured LLC                                                                  | CUSIP: 000000000<br>LEI: 254900OXTV81I73FAT50 | Long             | RA               | CORP              | US        |   1759683 | PA      | $1759682.65   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                     | Deutsche Bank Securities Inc.                                                   | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |   1759683 | PA      | $1759682.65   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Securities International Inc               | Nomura Securities International Inc                                             | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |    200000 | PA      | $200000.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank Of Nova Scotia NY Agency                     | Bank Of Nova Scotia NY Agency                                                   | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | RA               | CORP              | US        |    100000 | PA      | $100000.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     54697 | PA      | $54697.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1600000 | PA      | $1468879.74   | 0.12%             | 2032-05-28      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    312000 | PA      | $306941.72    | 0.03%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $152303.15    | 0.01%             | 2030-09-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $153003.58    | 0.01%             | 2035-09-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2045000 | PA      | $2095238.12   | 0.17%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    240000 | PA      | $242426.31    | 0.02%             | 2031-08-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    235000 | PA      | $234199.81    | 0.02%             | 2031-12-10      | Fixed         | 4.47%                 | No            |                  2 | On Loan: —       |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    405000 | PA      | $413290.69    | 0.03%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                          | Devon Energy Corp                                                               | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    194000 | PA      | $178265.88    | 0.01%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Diversified ABS VIII LLC                          | Diversified ABS Phase VIII LLC                                                  | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2367855 | PA      | $2395234.84   | 0.20%             | 2044-05-30      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VI LLC                      | Diversified Abs Phase VI LLC                                                    | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |    927009 | PA      | $925154.94    | 0.08%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                             | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    183000 | PA      | $181618.96    | 0.01%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: —       |
| DUPONT DE NEMOURS INC                             | DuPont de Nemours Inc                                                           | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $2029238.22   | 0.17%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                          | EIDP Inc                                                                        | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |    935000 | PA      | $959325.35    | 0.08%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    660000 | PA      | $683647.65    | 0.06%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    440000 | PA      | $427528.23    | 0.04%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    247000 | PA      | $211325.98    | 0.02%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    470000 | PA      | $295761.71    | 0.02%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                           | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    350000 | PA      | $272661.76    | 0.02%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                           | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1035413.43   | 0.09%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                           | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    450000 | PA      | $408799.33    | 0.03%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                           | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    280000 | PA      | $248822.34    | 0.02%             | 2032-01-07      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                          | Electricite de France SA                                                        | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    580000 | PA      | $616459.00    | 0.05%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| ERAC USA FINANCE LLC                              | ERAC USA Finance LLC                                                            | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    500000 | PA      | $579072.42    | 0.05%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                          | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149316.72    | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                          | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   2313000 | PA      | $2355998.67   | 0.19%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    325000 | PA      | $335866.03    | 0.03%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                   | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    610000 | PA      | $643338.62    | 0.05%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                   | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    740000 | PA      | $756291.01    | 0.06%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                               | Emera US Finance LP                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $426757.02    | 0.04%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    308000 | PA      | $305885.36    | 0.03%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    680000 | PA      | $716236.03    | 0.06%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    705000 | PA      | $735966.46    | 0.06%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                   | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    465000 | PA      | $458800.69    | 0.04%             | 2028-04-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    530000 | PA      | $526440.59    | 0.04%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    270000 | PA      | $261839.69    | 0.02%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                      | Entergy Corp                                                                    | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    194000 | PA      | $192555.43    | 0.02%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                             | Entergy Louisiana LLC                                                           | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    195000 | PA      | $182815.55    | 0.02%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                             | Entergy Louisiana LLC                                                           | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    390000 | PA      | $244187.91    | 0.02%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                             | Entergy Louisiana LLC                                                           | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    525000 | PA      | $527603.38    | 0.04%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                              | Entergy Arkansas LLC                                                            | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    285000 | PA      | $169396.81    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                           | Entergy Mississippi LLC                                                         | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    320000 | PA      | $322443.44    | 0.03%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187531.15    | 0.02%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    179000 | PA      | $158715.71    | 0.01%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                | Essex Portfolio LP                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    565000 | PA      | $503710.27    | 0.04%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                          | Constellation Energy Generation LLC                                             | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    160000 | PA      | $173353.30    | 0.01%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                          | Constellation Energy Generation LLC                                             | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1284336.21   | 0.11%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2022-4                                      | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2206286 | PA      | $2223300.71   | 0.18%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2024-2                                      | CUSIP: 30166DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2540000 | PA      | $2591002.44   | 0.21%             | 2030-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-5                                      | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $906067.89    | 0.07%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                          | F&G Annuities & Life Inc                                                        | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    330000 | PA      | $343787.52    | 0.03%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2023-3                                      | CUSIP: 301989AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865752 | PA      | $869633.24    | 0.07%             | 2028-06-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                           | Exxon Mobil Corp                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    690000 | PA      | $552167.71    | 0.05%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $3083236.44   | 0.25%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3185835.84   | 0.26%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2595929.74   | 0.21%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3375000 | PA      | $3418709.96   | 0.28%             | 2027-03-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                        | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   1821298 | PA      | $1857037.53   | 0.15%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                        | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AB7<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |    566602 | PA      | $578701.63    | 0.05%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2016-K59 Mortgage Trust                                                   | CUSIP: 30295RAS0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1686190.56   | 0.14%             | 2049-11-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    835000 | PA      | $799228.67    | 0.07%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    365000 | PA      | $339565.10    | 0.03%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    980000 | PA      | $951598.56    | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    980000 | PA      | $978686.81    | 0.08%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    175000 | PA      | $167959.92    | 0.01%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| FREMF Mortgage Trust                              | FREMF 2018-KW05 Trust                                                           | CUSIP: 30307MAS7<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $2972754.30   | 0.24%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31283NB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63904 | PA      | $64512.79     | 0.01%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200618 | PA      | $197864.13    | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 312935BK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424731 | PA      | $436879.57    | 0.04%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179245 | PA      | $186736.45    | 0.02%             | 2040-07-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DUY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    967482 | PA      | $995245.03    | 0.08%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3170357 | PA      | $2709667.39   | 0.22%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1123897 | PA      | $1087832.37   | 0.09%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7C37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383862 | PA      | $381382.98    | 0.03%             | 2032-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7D28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310531 | PA      | $308035.06    | 0.03%             | 2032-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7D51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612839 | PA      | $601341.23    | 0.05%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7DX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47774 | PA      | $46771.42     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7EJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379949 | PA      | $371623.02    | 0.03%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313370 | PA      | $306314.35    | 0.03%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7FD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78791 | PA      | $77187.37     | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7FP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21870 | PA      | $21789.19     | 0.00%             | 2033-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7FU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290361 | PA      | $284840.04    | 0.02%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7GT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72667 | PA      | $72094.50     | 0.01%             | 2033-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7HJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    606397 | PA      | $593303.56    | 0.05%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7HU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512014 | PA      | $501490.58    | 0.04%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704574 | PA      | $692644.08    | 0.06%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358414 | PA      | $350766.36    | 0.03%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7K46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    696768 | PA      | $683587.22    | 0.06%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7MJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380081 | PA      | $371636.59    | 0.03%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132GHFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146135 | PA      | $145157.50    | 0.01%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649410 | PA      | $617499.21    | 0.05%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915820 | PA      | $890481.44    | 0.07%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    740299 | PA      | $725086.76    | 0.06%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    844855 | PA      | $780842.99    | 0.06%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277628 | PA      | $215974.25    | 0.02%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JM4A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1167469 | PA      | $1142515.45   | 0.09%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JNH42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124080 | PA      | $121530.37    | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132XGNV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3370319.09   | 0.28%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132XHSM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3221862 | PA      | $3053581.71   | 0.25%             | 2034-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5455330 | PA      | $4622680.05   | 0.38%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133BBPW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490896 | PA      | $468557.30    | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1974779 | PA      | $1692618.03   | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3669401 | PA      | $3141323.71   | 0.26%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2484511 | PA      | $2199103.31   | 0.18%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133LWAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3063227 | PA      | $2790344.66   | 0.23%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3133TDVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24451 | PA      | $24781.86     | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31359T3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11455 | PA      | $11591.88     | 0.00%             | 2028-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A8Q52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161202 | PA      | $159610.01    | 0.01%             | 2042-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990698 | PA      | $943951.13    | 0.08%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465475 | PA      | $363449.39    | 0.03%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AGZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621953 | PA      | $618259.73    | 0.05%             | 2043-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268685 | PA      | $203057.04    | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494243 | PA      | $377104.80    | 0.03%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AHPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589502 | PA      | $586259.27    | 0.05%             | 2043-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136ASVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880009 | PA      | $874068.05    | 0.07%             | 2026-05-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                           | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3890000 | PA      | $3831132.23   | 0.32%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537055 | PA      | $530263.91    | 0.04%             | 2026-12-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1961262 | PA      | $1942323.87   | 0.16%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1212888 | PA      | $1185181.31   | 0.10%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1612002 | PA      | $1594040.22   | 0.13%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861204 | PA      | $832101.94    | 0.07%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1273950 | PA      | $1255626.66   | 0.10%             | 2028-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3612397 | PA      | $3583275.49   | 0.29%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B32G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1725727 | PA      | $1681615.54   | 0.14%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800257 | PA      | $771429.34    | 0.06%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12951690 | PA      | $438529.98    | 0.04%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5207084 | PA      | $318750.09    | 0.03%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7400000 | PA      | $6413676.20   | 0.53%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4419038.50   | 0.36%             | 2032-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2600000 | PA      | $2526041.18   | 0.21%             | 2032-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371NXY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23187 | PA      | $23788.05     | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31377U2W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4623429 | PA      | $4451911.63   | 0.37%             | 2033-08-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137A6L67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1697 | PA      | $1694.01      | 0.00%             | 2026-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137ATGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1327678 | PA      | $1313388.45   | 0.11%             | 2042-08-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1790000 | PA      | $1767950.06   | 0.15%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3170000 | PA      | $3172662.17   | 0.26%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397000 | PA      | $394966.61    | 0.03%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $2869665.04   | 0.24%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3035000 | PA      | $2933314.15   | 0.24%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $2037822.78   | 0.17%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AP2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7336 | PA      | $7304.43      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1472828.90   | 0.12%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138L95U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2726815 | PA      | $2613118.76   | 0.22%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2688046 | PA      | $2609831.28   | 0.21%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LFBJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309346 | PA      | $1226301.98   | 0.10%             | 2031-09-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LFHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1057480 | PA      | $992938.39    | 0.08%             | 2036-09-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LSH29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670250 | PA      | $641549.20    | 0.05%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M4H21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206276 | PA      | $199637.78    | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138MDV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78604 | PA      | $77896.03     | 0.01%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138MDZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52245 | PA      | $51807.08     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281220 | PA      | $1181624.06   | 0.10%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138NY3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702411 | PA      | $690082.82    | 0.06%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WQH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287040 | PA      | $279692.21    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WRUE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265703 | PA      | $260429.86    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WSPZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344766 | PA      | $338654.90    | 0.03%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31392DWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144249 | PA      | $145759.88    | 0.01%             | 2032-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394UN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350986 | PA      | $363655.78    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394VES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    760998 | PA      | $804873.47    | 0.07%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31395W5Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1085662 | PA      | $1162061.70   | 0.10%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31395XZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423328 | PA      | $435438.31    | 0.04%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31396JRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    776127 | PA      | $826871.94    | 0.07%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Benchmark REMIC                        | Fannie Mae Benchmark REMIC                                                      | CUSIP: 31396V2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204835 | PA      | $214750.11    | 0.02%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31396YWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63052 | PA      | $63578.66     | 0.01%             | 2038-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397CP60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    501814 | PA      | $44330.13     | 0.00%             | 2036-11-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040659 | PA      | $92485.15     | 0.01%             | 2037-10-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397PBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195098 | PA      | $195326.93    | 0.02%             | 2037-11-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1231004 | PA      | $137865.76    | 0.01%             | 2041-01-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397RVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $623080.62    | 0.05%             | 2038-03-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397T6Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195087 | PA      | $210525.06    | 0.02%             | 2037-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31398MLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333027 | PA      | $1368234.46   | 0.11%             | 2040-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407N5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232138 | PA      | $232978.62    | 0.02%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1562430 | PA      | $1633689.41   | 0.13%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1702525 | PA      | $1561936.86   | 0.13%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2200723 | PA      | $1914590.04   | 0.16%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226609 | PA      | $1114526.03   | 0.09%             | 2061-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2673527 | PA      | $2429284.76   | 0.20%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2254618 | PA      | $1856459.96   | 0.15%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1727031 | PA      | $1685880.71   | 0.14%             | 2062-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GTFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392861 | PA      | $380441.72    | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2592056 | PA      | $2267790.23   | 0.19%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8166314 | PA      | $6871555.53   | 0.57%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5021457 | PA      | $4377731.03   | 0.36%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LDRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3472447 | PA      | $2918587.12   | 0.24%             | 2033-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LEAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4300000 | PA      | $3780444.20   | 0.31%             | 2031-11-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LFB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4050000 | PA      | $3574521.25   | 0.29%             | 2032-01-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LFM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2850326 | PA      | $2666578.16   | 0.22%             | 2030-06-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LFW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $2927116.24   | 0.24%             | 2030-10-01      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4357000 | PA      | $4144697.99   | 0.34%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2025000 | PA      | $1959923.97   | 0.16%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3411180 | PA      | $3300328.83   | 0.27%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LHLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2463120 | PA      | $2372164.86   | 0.20%             | 2032-10-01      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2470833 | PA      | $2564843.71   | 0.21%             | 2032-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $3142975.70   | 0.26%             | 2033-02-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2687210.24   | 0.22%             | 2033-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3450000 | PA      | $3342536.12   | 0.28%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2955496.05   | 0.24%             | 2033-04-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKC92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1970028.14   | 0.16%             | 2033-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKCD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3350000 | PA      | $3372017.41   | 0.28%             | 2033-04-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2953940.46   | 0.24%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577778 | PA      | $1591037.38   | 0.13%             | 2033-06-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LLFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1309333.78   | 0.11%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LLKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3078759 | PA      | $3107798.02   | 0.26%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LLML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3145000 | PA      | $3250711.34   | 0.27%             | 2032-02-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LVMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3905050 | PA      | $3164177.30   | 0.26%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2589634 | PA      | $2204648.13   | 0.18%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M7X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1310139 | PA      | $1220569.39   | 0.10%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MFY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3484978 | PA      | $3088608.58   | 0.25%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHLE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2063662 | PA      | $1914638.25   | 0.16%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1745577 | PA      | $1617743.31   | 0.13%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MNVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2378576 | PA      | $2270009.60   | 0.19%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MNVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2113255 | PA      | $2016790.56   | 0.17%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MREL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3991791 | PA      | $3810210.29   | 0.31%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MREP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3151327 | PA      | $3008212.68   | 0.25%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3723163 | PA      | $3723039.45   | 0.31%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3002040 | PA      | $2588054.64   | 0.21%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1813790 | PA      | $1694335.93   | 0.14%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2498815 | PA      | $2159035.02   | 0.18%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFA41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1841334 | PA      | $1594439.93   | 0.13%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3138653 | PA      | $2686008.06   | 0.22%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2421889 | PA      | $2085883.36   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2363543 | PA      | $2092031.68   | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3315373 | PA      | $2843073.47   | 0.23%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QNHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2325280 | PA      | $2075197.50   | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCLS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3144401 | PA      | $2659758.43   | 0.22%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3301648 | PA      | $2845402.76   | 0.23%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2456000 | PA      | $2303459.70   | 0.19%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XLG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3973871 | PA      | $3427268.91   | 0.28%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3269482 | PA      | $2813562.30   | 0.23%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4551341 | PA      | $3863448.88   | 0.32%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2572727 | PA      | $2299765.65   | 0.19%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62538 | PA      | $61046.66     | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201669 | PA      | $201100.24    | 0.02%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420582 | PA      | $409509.47    | 0.03%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418AVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826333 | PA      | $784805.34    | 0.06%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418NXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128693 | PA      | $129746.07    | 0.01%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419AQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90590 | PA      | $95812.60     | 0.01%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TR                            | Fells Point Funding Trust                                                       | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1872102.30   | 0.15%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                          | FHF Issuer Trust 2024-1                                                         | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358309 | PA      | $1366612.01   | 0.11%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                               | Fifth Third Bancorp                                                             | CUSIP: 316773CH1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $245577.69    | 0.02%             | 2038-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                    | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320000 | PA      | $1317370.30   | 0.11%             | 2039-05-19      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                      | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    295000 | PA      | $231461.10    | 0.02%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                      | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    340000 | PA      | $337371.49    | 0.03%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2021-4                                               | CUSIP: 33845AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360957 | PA      | $1351262.94   | 0.11%             | 2027-12-15      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2020-4                                               | CUSIP: 33845XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78683 | PA      | $78552.87     | 0.01%             | 2027-02-16      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                          | Florida Power & Light Co                                                        | CUSIP: 341081EQ6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1328815.13   | 0.11%             | 2034-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                               | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    275000 | PA      | $155034.21    | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FORTIS INC                                        | Fortis Inc/Canada                                                               | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    636000 | PA      | $630744.90    | 0.05%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2023-2                                                 | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1706784 | PA      | $1824645.04   | 0.15%             | 2049-06-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                | Freddie Mac Multifamily Structured Credit Risk                                  | CUSIP: 35563HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1282468 | PA      | $1311813.99   | 0.11%             | 2052-05-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                   | CUSIP: 35563P7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2043472 | PA      | $1781984.91   | 0.15%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                          | CUSIP: 35563PDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2528940 | PA      | $2362683.94   | 0.19%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                   | CUSIP: 35563PEL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2726914 | PA      | $2551634.33   | 0.21%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1983302 | PA      | $1886700.93   | 0.16%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2473257 | PA      | $2218106.94   | 0.18%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1                   | CUSIP: 35563PK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2745132 | PA      | $2318172.69   | 0.19%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1345094 | PA      | $1137848.89   | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2                   | CUSIP: 35563PX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3166781 | PA      | $2780385.68   | 0.23%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2099953 | PA      | $1812326.16   | 0.15%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5465103 | PA      | $5198759.62   | 0.43%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617F5YU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2790343 | PA      | $2918552.77   | 0.24%             | 2072-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1406158 | PA      | $1264089.93   | 0.10%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2897718 | PA      | $3040146.34   | 0.25%             | 2071-08-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3461338 | PA      | $3624661.39   | 0.30%             | 2071-11-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2980938 | PA      | $3125013.82   | 0.26%             | 2071-09-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3177627 | PA      | $3320936.06   | 0.27%             | 2071-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XVX57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2540088 | PA      | $2410416.60   | 0.20%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XVY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3016981 | PA      | $2851503.39   | 0.23%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XXCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2934097 | PA      | $3075299.42   | 0.25%             | 2071-12-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2976623 | PA      | $3118064.01   | 0.26%             | 2072-03-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1323871 | PA      | $1212637.99   | 0.10%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437469 | PA      | $400543.38    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    693755 | PA      | $634662.11    | 0.05%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617YLKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2640864 | PA      | $2617090.21   | 0.22%             | 2052-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2426041 | PA      | $2475126.86   | 0.20%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36225FC80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83840 | PA      | $85557.46     | 0.01%             | 2041-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1465237 | PA      | $1427878.15   | 0.12%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2134121 | PA      | $1917116.64   | 0.16%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2021-2                                        | CUSIP: 36261XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50179 | PA      | $50122.52     | 0.00%             | 2027-04-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2021-3                                        | CUSIP: 36263LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1047338 | PA      | $1042496.01   | 0.09%             | 2027-07-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2023-3                                        | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251000 | PA      | $1261944.37   | 0.10%             | 2029-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2025-4                                        | CUSIP: 36273HAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2513391.50   | 0.21%             | 2031-08-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    693104 | PA      | $589587.50    | 0.05%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    610000 | PA      | $637322.96    | 0.05%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| Global Mortgage Securitization Ltd                | Global Mortgage Securitization Ltd                                              | CUSIP: 378961AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     26046 | PA      | $25759.72     | 0.00%             | 2032-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1437000 | PA      | $1370238.45   | 0.11%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    211000 | PA      | $195734.20    | 0.02%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    404000 | PA      | $362073.61    | 0.03%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    272000 | PA      | $278208.74    | 0.02%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1346778.10   | 0.11%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    840000 | PA      | $890808.50    | 0.07%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    745000 | PA      | $763337.21    | 0.06%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1613108.87   | 0.13%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    578000 | PA      | $596985.81    | 0.05%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    600000 | PA      | $595632.80    | 0.05%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    445000 | PA      | $411126.31    | 0.03%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    950000 | PA      | $843951.73    | 0.07%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    781000 | PA      | $767791.37    | 0.06%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    920000 | PA      | $905650.70    | 0.07%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1307000 | PA      | $1204041.82   | 0.10%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2023-1                                                                | CUSIP: 38217DAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |   1535452 | PA      | $1531061.99   | 0.13%             | 2061-01-17      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2017-1 Trust                                                          | CUSIP: 38217VAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |    165544 | PA      | $153360.24    | 0.01%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2019-2                                                                | CUSIP: 38218EAA5<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    741060 | PA      | $640320.55    | 0.05%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2017-2 Trust                                                          | CUSIP: 38218QAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    797690 | PA      | $728485.31    | 0.06%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust         | GoodLeap Home Improvement Solutions Trust 2025-3                                | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1962298 | PA      | $1967154.46   | 0.16%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE SIX                            | Goodman US Finance Six LLC                                                      | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              |  | US        |    270000 | PA      | $271092.59    | 0.02%             | 2034-10-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| GOODMAN US FIN THREE                              | Goodman US Finance Three LLC                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |    387000 | PA      | $383003.22    | 0.03%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374BLE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237757 | PA      | $1357.07      | 0.00%             | 2033-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374EZN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263224 | PA      | $262696.76    | 0.02%             | 2033-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374VUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10336 | PA      | $10327.64     | 0.00%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374VZX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623534 | PA      | $642482.14    | 0.05%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375B7K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34131 | PA      | $34209.54     | 0.00%             | 2063-07-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198631 | PA      | $198111.39    | 0.02%             | 2062-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BE99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10480 | PA      | $10450.88     | 0.00%             | 2063-01-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        45 | PA      | $45.01        | 0.00%             | 2060-08-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       134 | PA      | $133.64       | 0.00%             | 2062-11-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18756 | PA      | $17978.90     | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310562 | PA      | $310204.97    | 0.03%             | 2063-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19419 | PA      | $19258.13     | 0.00%             | 2062-02-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187411 | PA      | $187371.75    | 0.02%             | 2063-03-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44080 | PA      | $44022.81     | 0.00%             | 2063-03-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64 | PA      | $64.23        | 0.00%             | 2062-04-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49856 | PA      | $47740.73     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BS37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227416 | PA      | $227451.33    | 0.02%             | 2063-04-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BS52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489762 | PA      | $489842.03    | 0.04%             | 2063-04-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375LGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65281 | PA      | $64968.20     | 0.01%             | 2037-09-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UAL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15924 | PA      | $16014.46     | 0.00%             | 2063-09-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UAN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67362 | PA      | $67521.92     | 0.01%             | 2063-09-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44506 | PA      | $44620.02     | 0.00%             | 2064-01-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UDJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192125 | PA      | $192564.12    | 0.02%             | 2064-02-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253017 | PA      | $253866.54    | 0.02%             | 2064-02-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88007 | PA      | $88248.56     | 0.01%             | 2064-03-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1931996 | PA      | $1934945.00   | 0.16%             | 2064-04-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181395 | PA      | $181809.78    | 0.01%             | 2064-04-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1223984 | PA      | $1224260.78   | 0.10%             | 2064-06-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169103 | PA      | $169080.35    | 0.01%             | 2064-07-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236261 | PA      | $236310.03    | 0.02%             | 2064-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233355 | PA      | $233326.81    | 0.02%             | 2064-09-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38376CR35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646185 | PA      | $677855.42    | 0.06%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282908 | PA      | $284803.77    | 0.02%             | 2066-12-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812500 | PA      | $834126.39    | 0.07%             | 2040-06-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500328 | PA      | $2556535.36   | 0.21%             | 2042-11-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762957 | PA      | $737729.77    | 0.06%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229723 | PA      | $229776.79    | 0.02%             | 2064-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                   | WW Grainger Inc                                                                 | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    190000 | PA      | $171482.29    | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                          | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    894000 | PA      | $885842.49    | 0.07%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                           | Guardian Life Insurance Co of America/The                                       | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    156000 | PA      | $127861.63    | 0.01%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    445000 | PA      | $420528.69    | 0.03%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    565000 | PA      | $545626.14    | 0.04%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    397000 | PA      | $269087.96    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    242000 | PA      | $228576.31    | 0.02%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    640000 | PA      | $633988.19    | 0.05%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    578000 | PA      | $606673.99    | 0.05%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157812.16    | 0.01%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    515000 | PA      | $529958.18    | 0.04%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296369.11    | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| HEALTHPEAK OP LLC                                 | Healthpeak OP LLC                                                               | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    600000 | PA      | $583175.15    | 0.05%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    890000 | PA      | $809492.74    | 0.07%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $599176.63    | 0.05%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280DM8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    930000 | PA      | $1005381.77   | 0.08%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    370000 | PA      | $405261.38    | 0.03%             | 2044-03-09      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $541684.28    | 0.04%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $443019.02    | 0.04%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                          | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $855632.84    | 0.07%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                          | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    700000 | PA      | $451226.80    | 0.04%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                    | Halliburton Co                                                                  | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    215000 | PA      | $189366.62    | 0.02%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                    | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    270000 | PA      | $266399.54    | 0.02%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2004-3                                           | CUSIP: 41161PEC3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    202891 | PA      | $193337.33    | 0.02%             | 2034-05-19      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                  | Hartford Insurance Group Inc/The                                                | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    400000 | PA      | $343787.40    | 0.03%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HARTFORD HEALTHCARE CORP                          | Hartford HealthCare Corp                                                        | CUSIP: 41652PAC3<br>LEI: 549300W3L482NUDOFF24 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $780913.38    | 0.06%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                  | Welltower OP LLC                                                                | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    225000 | PA      | $250659.12    | 0.02%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | HERO Funding Trust 2016-3                                                       | CUSIP: 42770XAA5<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |    125198 | PA      | $117357.64    | 0.01%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | Hero Funding 2017-3                                                             | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    508782 | PA      | $477768.99    | 0.04%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | HERO Funding Trust 2017-1A                                                      | CUSIP: 42771XAC0<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |    426914 | PA      | $407528.66    | 0.03%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                      | Hilton Grand Vacations Trust 2025-3EXT                                          | CUSIP: 43283DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1535000 | PA      | $1540042.01   | 0.13%             | 2044-10-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                              | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    705000 | PA      | $514549.99    | 0.04%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                           | Honeywell International Inc                                                     | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    690000 | PA      | $652116.35    | 0.05%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                             | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    450000 | PA      | $463028.41    | 0.04%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388080.88    | 0.03%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    635000 | PA      | $605722.87    | 0.05%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust           | Hyundai Auto Lease Securitization Trust 2025-C                                  | CUSIP: 44935GAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1515000 | PA      | $1525869.06   | 0.13%             | 2029-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| IDENTITY DIGITAL CAP LLC                          | IDENTITY DIGITAL CAP LLC                                                        | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2526250.00   | 0.21%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                    | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    285000 | PA      | $283218.87    | 0.02%             | 2027-04-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                    | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    240000 | PA      | $243196.11    | 0.02%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    255000 | PA      | $181456.31    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    205000 | PA      | $130962.57    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    205000 | PA      | $126061.08    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: —       |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186191.49    | 0.02%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    725000 | PA      | $654169.05    | 0.05%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                            | Invitation Homes 2024-SFR1 Trust                                                | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1845000 | PA      | $1788062.56   | 0.15%             | 2041-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                 | ITC Holdings Corp                                                               | CUSIP: 465685AH8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    360000 | PA      | $346555.89    | 0.03%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                 | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    330000 | PA      | $311484.44    | 0.03%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    760000 | PA      | $721705.63    | 0.06%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K51<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     24153 | PA      | $24568.61     | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                             | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $141950.96    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $823087.75    | 0.07%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $901087.23    | 0.07%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    845000 | PA      | $933556.18    | 0.08%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                 | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    200000 | PA      | $216310.86    | 0.02%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    220000 | PA      | $222471.01    | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| Jonah Energy LLC                                  | Jonah Energy Abs I LLC                                                          | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    772324 | PA      | $782957.89    | 0.06%             | 2037-12-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                      | KBC Group NV                                                                    | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    550000 | PA      | $560289.49    | 0.05%             | 2030-10-16      | Fixed         | 4.93%                 | No            |                  2 | On Loan: —       |
| KBC GROUP NV                                      | KBC Group NV                                                                    | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   1376000 | PA      | $1372476.56   | 0.11%             | 2031-09-23      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2012-2                                                 | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    443471 | PA      | $7108.39      | 0.00%             | 2038-08-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust                                                        | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    671804 | PA      | $7444.26      | 0.00%             | 2039-05-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                          | KLA Corp                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    610000 | PA      | $423463.00    | 0.03%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2013-2                                                 | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    440373 | PA      | $11559.35     | 0.00%             | 2039-03-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2014-2                                                 | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     72914 | PA      | $4174.18      | 0.00%             | 2040-04-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                           | KeyCorp                                                                         | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169911.27    | 0.01%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                           | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    670000 | PA      | $688099.28    | 0.06%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| KEYSPAN GAS EAST CORP                             | KeySpan Gas East Corp                                                           | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    345000 | PA      | $341425.70    | 0.03%             | 2026-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                 | Kinder Morgan Inc                                                               | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    250000 | PA      | $224770.68    | 0.02%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                         | Kroger Co/The                                                                   | CUSIP: 501044BV2<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    610000 | PA      | $682859.55    | 0.06%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                         | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    270000 | PA      | $271491.54    | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768000 | PA      | $722802.97    | 0.06%             | 2036-02-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                        | Leidos Inc                                                                      | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    365000 | PA      | $328405.92    | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    795000 | PA      | $836972.10    | 0.07%             | 2035-01-05      | Fixed         | 5.68%                 | No            |                  2 | On Loan: —       |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    730000 | PA      | $739810.56    | 0.06%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    650000 | PA      | $643090.34    | 0.05%             | 2036-11-04      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| MNR ABS ISSUER I LLC                              | MNR ABS ISSUER I LLC                                                            | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   1052954 | PA      | $1081225.45   | 0.09%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    560000 | PA      | $571307.00    | 0.05%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    495000 | PA      | $498162.49    | 0.04%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                               | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1997000 | PA      | $1477780.00   | 0.12%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                | Macquarie Bank Ltd                                                              | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    825000 | PA      | $750767.81    | 0.06%             | 2036-03-03      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    582000 | PA      | $589984.89    | 0.05%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    480000 | PA      | $487247.25    | 0.04%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $1063455.88   | 0.09%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1004908.67   | 0.08%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1367000 | PA      | $1408439.58   | 0.12%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                        | Masco Corp                                                                      | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    720000 | PA      | $786707.17    | 0.06%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRIC                            | Massachusetts Electric Co                                                       | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    402000 | PA      | $317093.22    | 0.03%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                   | McDonald's Corp                                                                 | CUSIP: 58013MEC4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    152000 | PA      | $168954.66    | 0.01%             | 2037-10-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                   | McDonald's Corp                                                                 | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     84000 | PA      | $83380.45     | 0.01%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                   | McDonald's Corp                                                                 | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    180000 | PA      | $153967.12    | 0.01%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MEMORIAL HEALTH SERVICES                          | Memorial Health Services                                                        | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |    995000 | PA      | $706509.48    | 0.06%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2455000 | PA      | $2468419.03   | 0.20%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F                       | CUSIP: 5899292M9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     46512 | PA      | $45727.07     | 0.00%             | 2028-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G                       | CUSIP: 5899295W4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     58644 | PA      | $57186.51     | 0.00%             | 2029-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E                       | CUSIP: 589929Y36<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     60902 | PA      | $58049.01     | 0.00%             | 2028-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                       | CUSIP: 59020UAR6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     56350 | PA      | $52651.08     | 0.00%             | 2029-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B                       | CUSIP: 59020UBU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     99766 | PA      | $97812.53     | 0.01%             | 2029-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    325000 | PA      | $352461.32    | 0.03%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MYMICHIGAN HEALTH                                 | MyMichigan Health                                                               | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $169893.93    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $206121.44    | 0.02%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: —       |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    485000 | PA      | $492764.18    | 0.04%             | 2036-09-12      | Fixed         | 5.19%                 | No            |                  2 | On Loan: —       |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    539000 | PA      | $512024.10    | 0.04%             | 2030-09-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    830000 | PA      | $840716.40    | 0.07%             | 2031-07-08      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1690000 | PA      | $1736073.00   | 0.14%             | 2036-07-08      | Fixed         | 5.32%                 | No            |                  2 | On Loan: —       |
| MOLSON COORS BEVERAGE                             | Molson Coors Beverage Co                                                        | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |    249000 | PA      | $199906.18    | 0.02%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1163409.92   | 0.10%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    850000 | PA      | $799772.67    | 0.07%             | 2039-04-22      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    400000 | PA      | $346175.90    | 0.03%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1242349.10   | 0.10%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    275000 | PA      | $283785.98    | 0.02%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    448000 | PA      | $465684.94    | 0.04%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    465000 | PA      | $476758.03    | 0.04%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    625000 | PA      | $643376.09    | 0.05%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| NMABS Issuer I, LLC.                              | NMABS Issuer I LLC                                                              | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2154551 | PA      | $2151915.39   | 0.18%             | 2055-11-22      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                    | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    625000 | PA      | $603981.29    | 0.05%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOSPITALS                             | NYU Langone Hospitals                                                           | CUSIP: 62954RAA4<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |    410000 | PA      | $280452.41    | 0.02%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    850000 | PA      | $872128.53    | 0.07%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1456507 | PA      | $1438919.40   | 0.12%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                        | Nasdaq Inc                                                                      | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    262000 | PA      | $275136.56    | 0.02%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE CHILDREN HOSP                          | Nationwide Children's Hospital Inc                                              | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    181000 | PA      | $155858.89    | 0.01%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: —       |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                     | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1755000 | PA      | $1812477.88   | 0.15%             | 2036-07-14      | Fixed         | 5.54%                 | No            |                  2 | On Loan: —       |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $593747.24    | 0.05%             | 2029-09-13      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    555000 | PA      | $586836.00    | 0.05%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: —       |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    945000 | PA      | $970045.34    | 0.08%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                   | Nevada Power Co                                                                 | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    360000 | PA      | $404695.45    | 0.03%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                   | Nevada Power Co                                                                 | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    223000 | PA      | $222998.53    | 0.02%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                              | New England Power Co                                                            | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    280000 | PA      | $214438.82    | 0.02%             | 2047-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   2450000 | PA      | $2461351.34   | 0.20%             | 2039-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2024-RTL2                                   | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1914164.50   | 0.16%             | 2039-09-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                           | New York Life Insurance Co                                                      | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    625000 | PA      | $486875.91    | 0.04%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                           | New York State Electric & Gas Corp                                              | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    434000 | PA      | $430822.30    | 0.04%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    684619 | PA      | $673309.27    | 0.06%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                              | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    700000 | PA      | $632890.20    | 0.05%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    570000 | PA      | $500180.41    | 0.04%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                             | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    540000 | PA      | $499181.61    | 0.04%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                             | Norfolk Southern Corp                                                           | CUSIP: 655844BX5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    219000 | PA      | $172736.00    | 0.01%             | 2047-11-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                          | Northern States Power Co/MN                                                     | CUSIP: 665772BQ1<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    628000 | PA      | $657069.93    | 0.05%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                       | Continental Finance Credit Card ABS Master Trust                                | CUSIP: 66981PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375000 | PA      | $2385958.49   | 0.20%             | 2035-12-17      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                       | Nutrien Ltd                                                                     | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    315000 | PA      | $290925.99    | 0.02%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                | Ohio Power Co                                                                   | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    635000 | PA      | $391354.90    | 0.03%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                           | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    670000 | PA      | $444544.32    | 0.04%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    680000 | PA      | $683613.14    | 0.06%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust             | OneMain Direct Auto Receivables Trust 2023-1                                    | CUSIP: 682685AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1838000 | PA      | $1902413.81   | 0.16%             | 2033-02-14      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                  | OneMain Financial Issuance Trust 2020-2                                         | CUSIP: 682696AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2145000 | PA      | $2066156.66   | 0.17%             | 2035-09-14      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                               | Oportun Issuance Trust 2025-D                                                   | CUSIP: 68379HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2790000 | PA      | $2798832.58   | 0.23%             | 2033-02-08      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    103000 | PA      | $93139.89     | 0.01%             | 2034-07-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    106000 | PA      | $91352.81     | 0.01%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    124000 | PA      | $103563.37    | 0.01%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    900000 | PA      | $726607.62    | 0.06%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    810000 | PA      | $504557.72    | 0.04%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    820000 | PA      | $789162.54    | 0.06%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    565000 | PA      | $545463.45    | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    430000 | PA      | $388343.25    | 0.03%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| PG&E WILDFIRE RECOVERY                            | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $452162.46    | 0.04%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                            | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $347303.44    | 0.03%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                            | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $628895.64    | 0.05%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    964000 | PA      | $986293.40    | 0.08%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    600000 | PA      | $610605.04    | 0.05%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    780000 | PA      | $802218.28    | 0.07%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2023-RCF2 LLC                                                              | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594575 | PA      | $589464.16    | 0.05%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2024-RPL2 Trust                                                            | CUSIP: 69392CAA2<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |   1886719 | PA      | $1817527.63   | 0.15%             | 2064-06-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $185376.84    | 0.02%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    420000 | PA      | $333157.48    | 0.03%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     40000 | PA      | $42541.06     | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    755000 | PA      | $814189.12    | 0.07%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1168000 | PA      | $1213046.73   | 0.10%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52712.29     | 0.00%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1747080.04   | 0.14%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE C                          | Pacific Life Insurance Co                                                       | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    200000 | PA      | $160595.10    | 0.01%             | 2067-10-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                              | Parker-Hannifin Corp                                                            | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    333000 | PA      | $292336.66    | 0.02%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                          | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    113000 | PA      | $110719.53    | 0.01%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PEPPERDINE UNIV                                   | Pepperdine University                                                           | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    450000 | PA      | $284971.43    | 0.02%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                 | Suncor Energy Inc                                                               | CUSIP: 71644EAE2<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    544000 | PA      | $552579.61    | 0.05%             | 2026-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $631742.54    | 0.05%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    495000 | PA      | $500505.96    | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $589177.68    | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                        | DOC DR LLC                                                                      | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |    405000 | PA      | $364122.14    | 0.03%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                           | Piedmont Healthcare Inc                                                         | CUSIP: 72014TAE9<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |    620000 | PA      | $392217.87    | 0.03%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                          | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    385000 | PA      | $349172.33    | 0.03%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                           | PowerPay Issuance Trust 2025-1                                                  | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2189680 | PA      | $2195654.04   | 0.18%             | 2041-11-18      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY INC                               | Progress Energy Inc                                                             | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    200000 | PA      | $224448.07    | 0.02%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                            | CUSIP: 74331UAJ7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2435000 | PA      | $2425398.31   | 0.20%             | 2039-04-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential Trust                                                      | CUSIP: 74333HAJ4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2535000 | PA      | $2503552.82   | 0.21%             | 2038-07-17      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR1 Trust                                            | CUSIP: 74333YAJ7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   3150000 | PA      | $3042138.02   | 0.25%             | 2041-02-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2025-SFR6 Trust                                            | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $881813.42    | 0.07%             | 2042-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2024-SFR4 Trust                                            | CUSIP: 74334JAE0<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1229000 | PA      | $1164424.53   | 0.10%             | 2041-07-17      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                           | Public Service Co of Oklahoma                                                   | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    600000 | PA      | $657581.10    | 0.05%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    853000 | PA      | $816229.11    | 0.07%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    275000 | PA      | $282192.95    | 0.02%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1038920.13   | 0.09%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                             | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    855000 | PA      | $752991.51    | 0.06%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                             | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    620000 | PA      | $621327.13    | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1027377.90   | 0.08%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    850000 | PA      | $869568.91    | 0.07%             | 2031-05-27      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                        | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    133000 | PA      | $112706.67    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                        | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $785808.14    | 0.06%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                               | Reach ABS Trust 2025-2                                                          | CUSIP: 75525QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1405000 | PA      | $1418536.19   | 0.12%             | 2032-08-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                   | Renew 2017-1                                                                    | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    221944 | PA      | $206666.06    | 0.02%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                             | Reynolds American Inc                                                           | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    570000 | PA      | $596236.32    | 0.05%             | 2041-08-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                            | Roper Technologies Inc                                                          | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    380000 | PA      | $384128.84    | 0.03%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    290000 | PA      | $294878.37    | 0.02%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    565000 | PA      | $577487.01    | 0.05%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                            | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    950000 | PA      | $963244.52    | 0.08%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2024-1 LLC                                                | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1290000 | PA      | $1329480.32   | 0.11%             | 2032-04-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2482835.09   | 0.20%             | 2033-08-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                          | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    571591 | PA      | $568438.65    | 0.05%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                          | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $449570.45    | 0.04%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                             | SBNA Auto Lease Trust 2024-B                                                    | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1469000 | PA      | $1487281.26   | 0.12%             | 2028-12-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                  | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $2762469.89   | 0.23%             | 2041-07-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                   | San Diego Gas & Electric Co                                                     | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    635000 | PA      | $403141.85    | 0.03%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $672398.86    | 0.06%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1300000 | PA      | $1358205.97   | 0.11%             | 2029-01-10      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $556569.49    | 0.05%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    505000 | PA      | $526496.44    | 0.04%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                      | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    900000 | PA      | $937999.52    | 0.08%             | 2030-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2024-3                                   | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3040000 | PA      | $3130032.94   | 0.26%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-6                                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3423716.36   | 0.28%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-1                                                   | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103699 | PA      | $97842.22     | 0.01%             | 2033-04-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-3                                                   | CUSIP: 81743PAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150916 | PA      | $141545.04    | 0.01%             | 2033-07-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-8                                                   | CUSIP: 81743PDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73189 | PA      | $71507.75     | 0.01%             | 2034-01-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-9                                                   | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248125 | PA      | $228704.09    | 0.02%             | 2034-10-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-11                                                  | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109197 | PA      | $101136.77    | 0.01%             | 2034-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I                           | Sigeco Securitization I LLC                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    530347 | PA      | $543522.02    | 0.04%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                          | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    195000 | PA      | $196783.66    | 0.02%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                          | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    225000 | PA      | $228235.64    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                            | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |    560000 | PA      | $562339.11    | 0.05%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    720000 | PA      | $712321.29    | 0.06%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1670000 | PA      | $1511397.96   | 0.12%             | 2032-06-09      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $912113.28    | 0.08%             | 2033-01-21      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    705000 | PA      | $713011.80    | 0.06%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2404000 | PA      | $2477850.40   | 0.20%             | 2031-05-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                    | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    821000 | PA      | $854244.04    | 0.07%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501408.59    | 0.04%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $494231.28    | 0.04%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    713000 | PA      | $682693.41    | 0.06%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    185000 | PA      | $178603.02    | 0.01%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                      | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    829000 | PA      | $781299.29    | 0.06%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                 | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    712000 | PA      | $731528.86    | 0.06%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    212000 | PA      | $165868.50    | 0.01%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                 | Southern Power Co                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    400000 | PA      | $385141.42    | 0.03%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                | Southwest Gas Corp                                                              | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    332000 | PA      | $251385.88    | 0.02%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                          | Southwestern Public Service Co                                                  | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    250000 | PA      | $222698.49    | 0.02%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                          | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    354000 | PA      | $361227.36    | 0.03%             | 2028-05-14      | Fixed         | 5.69%                 | No            |                  2 | On Loan: —       |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                          | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    355000 | PA      | $362431.37    | 0.03%             | 2030-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                 | State Street Corp                                                               | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    355000 | PA      | $353152.75    | 0.03%             | 2036-10-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                    | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  10131145 | PA      | $10131145.20  | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                | Steel Dynamics Inc                                                              | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    630000 | PA      | $605108.27    | 0.05%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                             | Stellantis Finance US Inc                                                       | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    606000 | PA      | $531334.67    | 0.04%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: —       |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments Trust 2002-AR5                            | CUSIP: 86358HRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143444 | PA      | $139854.24    | 0.01%             | 2033-05-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A        | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65062 | PA      | $64554.85     | 0.01%             | 2033-11-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2003-AR4                         | CUSIP: 86359LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224949 | PA      | $216527.05    | 0.02%             | 2034-01-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2004-AR1                         | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238261 | PA      | $225782.38    | 0.02%             | 2034-03-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1020000 | PA      | $979904.02    | 0.08%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    960000 | PA      | $1011291.43   | 0.08%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $1037097.32   | 0.09%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                 | Suncor Energy Inc                                                               | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    668000 | PA      | $706692.65    | 0.06%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500156.69    | 0.04%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 86765BAM1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    394000 | PA      | $345373.44    | 0.03%             | 2043-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181399.55    | 0.01%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                      | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    645000 | PA      | $639833.06    | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    385000 | PA      | $255779.13    | 0.02%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| TAKEDA PHARMACEUTICAL                             | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    273000 | PA      | $208966.60    | 0.02%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: —       |
| TAKEDA PHARMACEUTICAL                             | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    927000 | PA      | $618223.59    | 0.05%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                             | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    228000 | PA      | $229463.63    | 0.02%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                 | Tampa Electric Co                                                               | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $417556.08    | 0.03%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                             | Tennessee Valley Authority                                                      | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1600000 | PA      | $1786980.38   | 0.15%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                           | Tennessee Valley Authority Generic Strip                                        | CUSIP: 88059E5J9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1000000 | PA      | $777816.74    | 0.06%             | 2032-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TVA PRIN STRIP                                    | Tennessee Valley Authority Principal Strip                                      | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    750000 | PA      | $487306.81    | 0.04%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RESOURCES                            | Texas Health Resources                                                          | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    250000 | PA      | $205344.36    | 0.02%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RESOURCES                            | Texas Health Resources                                                          | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    340000 | PA      | $194571.48    | 0.02%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp     | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                  | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    720000 | PA      | $734292.14    | 0.06%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2003-4                                      | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115161 | PA      | $115053.66    | 0.01%             | 2043-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2004-4                                      | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150462 | PA      | $147776.99    | 0.01%             | 2044-12-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2005-1                                      | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271344 | PA      | $265985.18    | 0.02%             | 2045-04-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                             | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $877653.67    | 0.07%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON COMPANY                             | Toledo Edison Co/The                                                            | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $435210.70    | 0.04%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: —       |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    635000 | PA      | $663170.21    | 0.05%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                          | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    660000 | PA      | $471269.85    | 0.04%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    870000 | PA      | $579895.51    | 0.05%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    900000 | PA      | $680819.52    | 0.06%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   3941023 | PA      | $3579373.67   | 0.29%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    814000 | PA      | $878124.45    | 0.07%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    480000 | PA      | $504921.55    | 0.04%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                           | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    805000 | PA      | $796424.57    | 0.07%             | 2036-10-23      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                   | Tyson Foods Inc                                                                 | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    285000 | PA      | $300473.09    | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1115000 | PA      | $1116069.72   | 0.09%             | 2033-11-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| UDR INC                                           | UDR Inc                                                                         | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    625000 | PA      | $600510.25    | 0.05%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UDR INC                                           | UDR Inc                                                                         | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     95000 | PA      | $87951.56     | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                           | UDR Inc                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    470000 | PA      | $401561.47    | 0.03%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GRENE ENERGY SENIO 11.0 17JAN6                    | GRENE ENERGY SENIO 11.0 17JAN6                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118592 | PA      | $97601.43     | 0.01%             | 2027-01-25      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                             | Uber Technologies Inc                                                           | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    370000 | PA      | $369892.89    | 0.03%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    345000 | PA      | $341819.38    | 0.03%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                | Union Pacific Corp                                                              | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $148088.38    | 0.01%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                          | United Airlines 2018-1 Class AA Pass Through Trust                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    580332 | PA      | $560567.32    | 0.05%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                          | United Airlines 2019-1 Class AA Pass Through Trust                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    888243 | PA      | $872155.96    | 0.07%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT                           | United Airlines 2018-1 Class A Pass Through Trust                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    796980 | PA      | $760755.82    | 0.06%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                           | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    581136 | PA      | $555340.09    | 0.05%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 B PTT                           | United Airlines 2018-1 Class B Pass Through Trust                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    291225 | PA      | $291014.20    | 0.02%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                           | United Airlines 2014-1 Class A Pass Through Trust                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    256916 | PA      | $256870.71    | 0.02%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2024-1 AA PTT                          | United Airlines 2024-1 Class AA Pass Through Trust                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    713520 | PA      | $733538.67    | 0.06%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    500000 | PA      | $419250.00    | 0.03%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    959000 | PA      | $752815.00    | 0.06%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    228000 | PA      | $171684.00    | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $154500.00    | 0.01%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    848000 | PA      | $754720.00    | 0.06%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    625000 | PA      | $384687.50    | 0.03%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    577000 | PA      | $498816.50    | 0.04%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    498000 | PA      | $521904.00    | 0.04%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    740000 | PA      | $789580.00    | 0.06%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1051000 | PA      | $1079807.91   | 0.09%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2368000 | PA      | $2346688.00   | 0.19%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                      | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    690000 | PA      | $711246.91    | 0.06%             | 2031-05-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $726384.38    | 0.06%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7063500 | PA      | $6436062.57   | 0.53%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2850000 | PA      | $2791886.73   | 0.23%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5950000 | PA      | $5510490.22   | 0.45%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1169250.00   | 0.10%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9475000 | PA      | $7280945.31   | 0.60%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1160000 | PA      | $938195.31    | 0.08%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10415000 | PA      | $8085050.56   | 0.67%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16086000 | PA      | $13885485.39  | 1.14%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2908000 | PA      | $2548475.79   | 0.21%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4325000 | PA      | $3712911.12   | 0.31%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    238000 | PA      | $184059.53    | 0.02%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6750000 | PA      | $4780371.06   | 0.39%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    510000 | PA      | $389691.80    | 0.03%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6537000 | PA      | $4301907.79   | 0.35%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    276000 | PA      | $207787.03    | 0.02%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $5715624.96   | 0.47%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1580000 | PA      | $1175742.18   | 0.10%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27000 | PA      | $19369.34     | 0.00%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $106615.23    | 0.01%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4475000 | PA      | $2874313.49   | 0.24%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5127000 | PA      | $3005303.23   | 0.25%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    528000 | PA      | $252738.75    | 0.02%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $186838.28    | 0.02%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    555000 | PA      | $352143.17    | 0.03%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6800000 | PA      | $3570000.00   | 0.29%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12370000 | PA      | $9098231.61   | 0.75%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3675000 | PA      | $2105229.48   | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8840000 | PA      | $4886171.92   | 0.40%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10400000 | PA      | $6309875.00   | 0.52%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2280000 | PA      | $1593150.00   | 0.13%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4600000 | PA      | $4216187.50   | 0.35%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    435000 | PA      | $391330.08    | 0.03%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215000 | PA      | $192870.12    | 0.02%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7065000 | PA      | $6663730.04   | 0.55%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    185000 | PA      | $181791.41    | 0.01%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1850000 | PA      | $1609789.06   | 0.13%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3640000 | PA      | $3261070.32   | 0.27%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49150000 | PA      | $43833736.45  | 3.61%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1795000 | PA      | $1692488.66   | 0.14%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1265000 | PA      | $1328842.97   | 0.11%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3501000 | PA      | $3490059.38   | 0.29%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10675000 | PA      | $10510705.13  | 0.87%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13705000 | PA      | $13849009.54  | 1.14%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  95365000 | PA      | $98989614.80  | 8.15%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12625000 | PA      | $12790703.13  | 1.05%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9925000 | PA      | $9998274.39   | 0.82%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8375000 | PA      | $8345229.47   | 0.69%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12900000 | PA      | $10113120.89  | 0.83%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $291852.94    | 0.02%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1424286.94   | 0.12%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1804427.33   | 0.15%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5425000 | PA      | $4501704.71   | 0.37%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2379881.94   | 0.20%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $619959.21    | 0.05%             | 2032-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3135000 | PA      | $2259802.11   | 0.19%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $593554.12    | 0.05%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $5397705.56   | 0.44%             | 2030-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3925000 | PA      | $3291814.41   | 0.27%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12775000 | PA      | $10479691.48  | 0.86%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    550000 | PA      | $497178.92    | 0.04%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $607441.21    | 0.05%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    405000 | PA      | $408379.62    | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                          | University of Southern California                                               | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    440000 | PA      | $253557.27    | 0.02%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019 1 TR                                 | VM DEBT 2019 1 TR                                                               | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3998352 | PA      | $3808430.62   | 0.31%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT C LLC                                                                      | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365134 | PA      | $365090.76    | 0.03%             | 2051-05-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    685000 | PA      | $736150.13    | 0.06%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804FR0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    126000 | PA      | $108899.66    | 0.01%             | 2044-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     90000 | PA      | $94709.97     | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    230000 | PA      | $237397.26    | 0.02%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                | Vodafone Group PLC                                                              | CUSIP: 92857WAQ3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    178000 | PA      | $193392.00    | 0.02%             | 2037-02-27      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                | Vodafone Group PLC                                                              | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $263283.66    | 0.02%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCV LLC                                                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75419 | PA      | $75419.81     | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                      | WP Carey Inc                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    845000 | PA      | $712509.80    | 0.06%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2013-C11                                        | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $263847.39    | 0.02%             | 2045-03-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                             | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    324000 | PA      | $285556.28    | 0.02%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    377000 | PA      | $382864.17    | 0.03%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    456000 | PA      | $474437.06    | 0.04%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    387000 | PA      | $400884.34    | 0.03%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    425000 | PA      | $445575.70    | 0.04%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1091640.88   | 0.09%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    580000 | PA      | $592487.97    | 0.05%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4552000 | PA      | $4771004.78   | 0.39%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393556 | PA      | $393332.84    | 0.03%             | 2040-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JONAH 7.8 10NOV37 144A                            | JONAH 7.8 10NOV37 144A                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1289660 | PA      | $1309134.01   | 0.11%             | 2037-11-10      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                          | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    325000 | PA      | $278216.30    | 0.02%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2023-4                                    | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1652371.16   | 0.14%             | 2028-11-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2023-1                                    | CUSIP: 96042XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1685603 | PA      | $1693853.70   | 0.14%             | 2028-08-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                            | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    455000 | PA      | $473191.41    | 0.04%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                            | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121979.83    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| YALE-NEW HAVEN HLTH SRVC                          | Yale-New Haven Health Services Corp                                             | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    580000 | PA      | $338817.97    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer