# EDGAR Filing Document

**Accession Number:** 0000920467
**File Stem:** 0000920467-23-000010
**Filing Date:** 2023-2
**Character Count:** 333999
**Document Hash:** 6d9b5fcb22adbe0ea942d3a974c0fb69
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000920467-23-000010.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0000920467-23-000010

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Fixed Income Series, Inc.
- **CENTRAL INDEX KEY:** 0000920467
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07153
- **FILM NUMBER:** 23667604

**BUSINESS ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRICE T ROWE FIXED INCOME SERIES INC
- **DATE OF NAME CHANGE:** 19940317

## Series and Classes Contracts Data

### T. Rowe Price Limited-Term Bond Portfolio (Series ID: S000002129)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000005520 | T. Rowe Price Limited-Term Bond Portfolio    | QAAGWX          |
| C000005521 | T. Rowe Price Limited-Term Bond Portfolio-II | QAAGUX          |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE FIXED INCOME SERIES, INC.

- **b. Investment Company Act file number:** 811-07153

- **c. CIK number of Registrant:** 0000920467

- **d. LEI of Registrant:** 54930067NWU2KV18CE95

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

  - **Street Address 1:** 100 East Pratt Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21202

  - **Telephone number:** 410-345-2000

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

- **a. Name of Series:** T. Rowe Price Limited-Term Bond Portfolio

- **b. EDGAR series identifier (if any):** S000002129

- **c. LEI of Series:** MMIDQLKHUPGX6F6S4D55

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $178929769.45

**Total Liabilities:** $1102175.80

**Net Assets:** $177827593.65

**Stand-by Commitments:** $236331.57

**Cash Not Reported:** $198122.23

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -872.926953 | **1-Year:** -13195.524961 | **5-Year:** -12666.054380 | **10-Year:** -1975.227115 | **30-Year:** -25.638668

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

- **3-Month:** 0.000000 | **1-Year:** -186.509388 | **5-Year:** -62.300115 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005521 | -0.48%               | 0.87%                | 0.39%                |
| Class ID C000005520 | -0.46%               | 0.88%                | 0.41%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-169983.25              | $-993949.41                                |
| Month 2  | $-95865.50               | $1557485.98                                |
| Month 3  | $-167933.57              | $347263.65                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                             | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-565.34      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -19 | NC      | $3238.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR NOTE (CBT)MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -19 | NC      | $5762.13      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         4 | NC      | $840.39       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         4 | NC      | $840.39       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       159 | NC      | $33405.60     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | GENERAL MILLS INC  CDS 12/20/2024                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-9398.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK                                                                        | GENERAL MILLS INC CDS 12/20/2024                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-9414.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | GENERAL MILLS INC CDS 12/20/2024                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-6586.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                                                        | OMNICOM GROUP INC / OMNICOM CAPITAL INC CDS 12/20/2024                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-9435.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | GENERAL MILLS INC CDS 12/20/2024                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-9872.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                                                        | OMNICOM GROUP INC / OMNICOM CAPITAL INC CDS 12/20/2024                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-9435.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                                                        | ENBRIDGE INC CDS 06/20/2023                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $6195.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | US 5YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -63 | NC      | $-1074.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CK Hutchison International 17 II Ltd                                            | CK HUTCHISON INTERNATIONAL 17 II LTD                                            | CUSIP: AP3061573<br>LEI: 254900F7C0PB6TKONV55 | Long             | DBT              | CORP              | KY        |    950000 | PA      | $944072.00    | 0.53%             | 2023-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| POSCO                                                                           | POSCO                                                                           | CUSIP: BY0800403<br>LEI: 9884000N94NH7G6LQ816 | Long             | DBT              | CORP              | KR        |    450000 | PA      | $435744.78    | 0.25%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HPHT Finance 19 Ltd                                                             | HPHT FINANCE 19 LTD                                                             | CUSIP: ZQ3747594<br>LEI: 254900U58MWSWY66P584 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $571296.00    | 0.32%             | 2024-11-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BDO Unibank Inc                                                                 | BDO UNIBANK INC                                                                 | CUSIP: AO9339976<br>LEI: 3FGIIBS1PEI1FYQBGN97 | Long             | DBT              | CORP              | PH        |   1200000 | PA      | $1190670.00   | 0.67%             | 2023-03-06      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                                                      | ZOETIS INC                                                                      | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    215000 | PA      | $218528.15    | 0.12%             | 2025-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust 2022-A                                        | WORLD OMNI AUTO RECEIVABLES TRUST 2022-A                                        | CUSIP: 98164GAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $144505.97    | 0.08%             | 2028-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust 2020-A                                        | WORLD OMNI AUTO RECEIVABLES TRUST 2020-A                                        | CUSIP: 98163MAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $280298.91    | 0.16%             | 2026-08-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| World Omni Select Auto Trust 2020-A                                             | WORLD OMNI SELECT AUTO TRUST 2020-A                                             | CUSIP: 98163DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $150582.24    | 0.08%             | 2026-10-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| World Omni Select Auto Trust 2020-A                                             | WORLD OMNI SELECT AUTO TRUST 2020-A                                             | CUSIP: 98163DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $135498.03    | 0.08%             | 2026-06-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust 2019-C                                        | WORLD OMNI AUTO RECEIVABLES TRUST 2019-C                                        | CUSIP: 98162RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $449577.14    | 0.25%             | 2026-06-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                     | WORKDAY INC                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    120000 | PA      | $112232.04    | 0.06%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Willis North America Inc                                                        | WILLIS NORTH AMERICA INC                                                        | CUSIP: 970648AF8<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87600.69     | 0.05%             | 2024-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Williams Cos Inc/The                                                            | WILLIAMS COS INC/THE                                                            | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73882.05     | 0.04%             | 2024-03-04      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-LC14                                       | WFRBS COMMERCIAL MORTGAGE TRUST 2014-LC14                                       | CUSIP: 96221TAE7<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $431640.26    | 0.24%             | 2047-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Westlake Corp                                                                   | WESTLAKE CORP                                                                   | CUSIP: 960413AX0<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41819.36     | 0.02%             | 2024-08-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Western Union Co/The                                                            | WESTERN UNION CO/THE                                                            | CUSIP: 959802AY5<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |    525000 | PA      | $498332.63    | 0.28%             | 2025-01-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2021-RR1 Trust                           | WELLS FARGO MORTGAGE BACKED SECURITIES 2021-RR1 TRUST                           | CUSIP: 95003JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215595 | PA      | $187326.88    | 0.11%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    275000 | PA      | $269222.80    | 0.15%             | 2026-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    280000 | PA      | $271485.20    | 0.15%             | 2026-04-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $157906.54    | 0.09%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    215000 | PA      | $211622.78    | 0.12%             | 2024-06-02      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    205000 | PA      | $190858.90    | 0.11%             | 2026-04-30      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS2                                 | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2                                 | CUSIP: 94989MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62336 | PA      | $60480.39     | 0.03%             | 2058-07-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| WP Carey Inc                                                                    | WP CAREY INC                                                                    | CUSIP: 92936UAC3<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    465000 | PA      | $452250.63    | 0.25%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BR2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193663.20    | 0.11%             | 2025-06-06      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198295.40    | 0.11%             | 2023-05-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| VMware Inc                                                                      | VMWARE INC                                                                      | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    165000 | PA      | $160531.31    | 0.09%             | 2023-08-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    285000 | PA      | $278977.10    | 0.16%             | 2025-05-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1104000.00   | 0.62%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Viatris Inc                                                                     | VIATRIS INC                                                                     | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    140000 | PA      | $126891.66    | 0.07%             | 2025-06-22      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-1                                               | VERUS SECURITIZATION TRUST 2022-1                                               | CUSIP: 92538WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313723 | PA      | $254842.16    | 0.14%             | 2067-01-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-7                                               | VERUS SECURITIZATION TRUST 2021-7                                               | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363605 | PA      | $305094.33    | 0.17%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-5                                               | VERUS SECURITIZATION TRUST 2021-5                                               | CUSIP: 92538KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98533 | PA      | $74683.41     | 0.04%             | 2066-09-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-2                                               | VERUS SECURITIZATION TRUST 2021-2                                               | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76103 | PA      | $63196.15     | 0.04%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-R2                                              | VERUS SECURITIZATION TRUST 2021-R2                                              | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79323 | PA      | $71903.95     | 0.04%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2020-5                                               | VERUS SECURITIZATION TRUST 2020-5                                               | CUSIP: 92538CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34381 | PA      | $30678.32     | 0.02%             | 2065-05-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-R1                                              | VERUS SECURITIZATION TRUST 2021-R1                                              | CUSIP: 92538BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26852 | PA      | $23994.63     | 0.01%             | 2063-10-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                                               | VERUS SECURITIZATION TRUST 2021-1                                               | CUSIP: 92537QAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41034 | PA      | $32790.10     | 0.02%             | 2066-01-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                                               | VERUS SECURITIZATION TRUST 2021-1                                               | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57447 | PA      | $46983.94     | 0.03%             | 2066-01-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                                               | VERUS SECURITIZATION TRUST 2021-1                                               | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43083 | PA      | $35903.99     | 0.02%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-INV3                                            | VERUS SECURITIZATION TRUST 2019-INV3                                            | CUSIP: 92537MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200335 | PA      | $188353.71    | 0.11%             | 2059-11-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-4                                               | VERUS SECURITIZATION TRUST 2019-4                                               | CUSIP: 92537KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201525 | PA      | $191045.29    | 0.11%             | 2059-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2020-1                                               | VERUS SECURITIZATION TRUST 2020-1                                               | CUSIP: 92536PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258965 | PA      | $242965.95    | 0.14%             | 2060-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VGG3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    270000 | PA      | $242399.52    | 0.14%             | 2026-03-20      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VDD3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    395000 | PA      | $364166.30    | 0.20%             | 2026-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    175000 | PA      | $178911.08    | 0.10%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PEN8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    245000 | PA      | $247303.74    | 0.14%             | 2025-10-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    280000 | PA      | $270767.84    | 0.15%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $894375.00    | 0.50%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4080000 | PA      | $4080637.50   | 2.29%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2635000 | PA      | $2651468.75   | 1.49%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    955000 | PA      | $952164.84    | 0.54%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1050000 | PA      | $1044585.94   | 0.59%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9660937.50   | 5.43%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10380000 | PA      | $10003725.00  | 5.63%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5090000 | PA      | $4807664.06   | 2.70%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                                      | US BANCORP                                                                      | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    145000 | PA      | $147724.84    | 0.08%             | 2026-10-21      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                                      | US BANCORP                                                                      | CUSIP: 91159HJF8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    355000 | PA      | $346439.89    | 0.19%             | 2028-07-22      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| United Airlines 2019-2 Class B Pass Through Trust                               | UNITED AIRLINES 2019-2 CLASS B PASS THROUGH TRUST                               | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    185948 | PA      | $157191.35    | 0.09%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UWM Mortgage Trust 2021-INV5                                                    | UWM MORTGAGE TRUST 2021-INV5                                                    | CUSIP: 90355DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428068 | PA      | $365948.25    | 0.21%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UWM Mortgage Trust 2021-INV2                                                    | UWM MORTGAGE TRUST 2021-INV2                                                    | CUSIP: 90354TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69446 | PA      | $59774.53     | 0.03%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS AG/London                                                                   | UBS AG/LONDON                                                                   | CUSIP: 902674YK0<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    205000 | PA      | $190938.03    | 0.11%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    235000 | PA      | $230866.82    | 0.13%             | 2025-08-05      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $195048.20    | 0.11%             | 2026-05-12      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $172078.60    | 0.10%             | 2027-08-10      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp                                                           | TRUIST FINANCIAL CORP                                                           | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    165000 | PA      | $161469.00    | 0.09%             | 2025-06-09      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| TRK 2021-INV1 Trust                                                             | TRK 2021-INV1 TRUST                                                             | CUSIP: 89688WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67047 | PA      | $55800.43     | 0.03%             | 2056-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd                                              | TRITON CONTAINER INTERNATIONAL LTD                                              | CUSIP: 89680YAD7<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    325000 | PA      | $313719.93    | 0.18%             | 2023-08-01      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Trinity Acquisition PLC                                                         | TRINITY ACQUISITION PLC                                                         | CUSIP: 89641UAA9<br>LEI: 549300FJZWZN6MJNGB63 | Long             | DBT              | CORP              | GB        |    343000 | PA      | $341285.00    | 0.19%             | 2023-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                                        | TOYOTA MOTOR CREDIT CORP                                                        | CUSIP: 89236TKC8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    415000 | PA      | $407223.73    | 0.23%             | 2025-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2022-4                                                | TOWD POINT MORTGAGE TRUST 2022-4                                                | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438540 | PA      | $410111.40    | 0.23%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2018-1                                                | TOWD POINT MORTGAGE TRUST 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72821 | PA      | $70215.32     | 0.04%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-2                                                | TOWD POINT MORTGAGE TRUST 2017-2                                                | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31932 | PA      | $31519.42     | 0.02%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-1                                                | TOWD POINT MORTGAGE TRUST 2017-1                                                | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50808 | PA      | $49953.67     | 0.03%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                                       | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89115A2J0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    460000 | PA      | $454905.04    | 0.26%             | 2024-09-13      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                                       | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89114TZE5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    350000 | PA      | $325548.65    | 0.18%             | 2024-09-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software Inc                                               | TAKE-TWO INTERACTIVE SOFTWARE INC                                               | CUSIP: 874054AF6<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72220.73     | 0.04%             | 2025-04-14      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software Inc                                               | TAKE-TWO INTERACTIVE SOFTWARE INC                                               | CUSIP: 874054AE9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    220000 | PA      | $214859.48    | 0.12%             | 2024-03-28      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    195000 | PA      | $177654.36    | 0.10%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    265000 | PA      | $254698.92    | 0.14%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Symphony Static CLO I Ltd                                                       | SYMPHONY STATIC CLO I LTD                                                       | CUSIP: 87190TAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $338140.33    | 0.19%             | 2029-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXVI Ltd                                                           | SYMPHONY CLO XXVI LTD                                                           | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243377.65    | 0.14%             | 2033-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd                                                          | SYMPHONY CLO XXIII LTD                                                          | CUSIP: 87167NDC6<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $439797.53    | 0.25%             | 2034-01-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                             | SYNCHRONY FINANCIAL                                                             | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    485000 | PA      | $474125.33    | 0.27%             | 2024-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sydney Airport Finance Co Pty Ltd                                               | SYDNEY AIRPORT FINANCE CO PTY LTD                                               | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |    250000 | PA      | $249045.25    | 0.14%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Swedbank AB                                                                     | SWEDBANK AB                                                                     | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    365000 | PA      | $358985.90    | 0.20%             | 2023-06-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Svenska Handelsbanken AB                                                        | SVENSKA HANDELSBANKEN AB                                                        | CUSIP: 86959LAH6<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |    250000 | PA      | $218721.75    | 0.12%             | 2027-06-11      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 86765BAN9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14752.59     | 0.01%             | 2024-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 86765BAL3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29978.28     | 0.02%             | 2023-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US Inc                                                       | STELLANTIS FINANCE US INC                                                       | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $171785.20    | 0.10%             | 2027-01-29      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-4                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-4                                      | CUSIP: 85573PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283796 | PA      | $227907.44    | 0.13%             | 2056-08-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-2                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109357 | PA      | $100940.37    | 0.06%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2019-INV1                                   | STARWOOD MORTGAGE RESIDENTIAL TRUST 2019-INV1                                   | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235505 | PA      | $221856.69    | 0.12%             | 2049-09-27      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $182893.20    | 0.10%             | 2025-11-23      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254AJ9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $399291.20    | 0.22%             | 2023-01-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co                                                      | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    185000 | PA      | $170805.51    | 0.10%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SLIDE 2018-FUN                                                                  | SLIDE 2018-FUN                                                                  | CUSIP: 831350AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    522717 | PA      | $513291.52    | 0.29%             | 2031-06-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| SLIDE 2018-FUN                                                                  | SLIDE 2018-FUN                                                                  | CUSIP: 831350AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477263 | PA      | $473574.05    | 0.27%             | 2031-06-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Skyworks Solutions Inc                                                          | SKYWORKS SOLUTIONS INC                                                          | CUSIP: 83088MAJ1<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68585.02     | 0.04%             | 2023-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2019-1 Receivables Funding LLC                                 | SIERRA TIMESHARE 2019-1 RECEIVABLES FUNDING LLC                                 | CUSIP: 82653EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67234 | PA      | $64628.75     | 0.04%             | 2036-01-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Shire Acquisitions Investments Ireland DAC                                      | SHIRE ACQUISITIONS INVESTMENTS IRELAND DAC                                      | CUSIP: 82481LAC3<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |    168000 | PA      | $164836.73    | 0.09%             | 2023-09-23      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co/The                                                         | SHERWIN-WILLIAMS CO/THE                                                         | CUSIP: 824348BR6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107914.62    | 0.06%             | 2025-08-08      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co/The                                                         | SHERWIN-WILLIAMS CO/THE                                                         | CUSIP: 824348BQ8<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73904.63     | 0.04%             | 2024-08-08      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Shelter Growth CRE Issuer Ltd                                                   | SHELTER GROWTH CRE ISSUER LTD                                                   | CUSIP: 822866AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     96134 | PA      | $93177.60     | 0.05%             | 2036-09-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2020-2                                            | SG RESIDENTIAL MORTGAGE TRUST 2020-2                                            | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45530 | PA      | $39452.99     | 0.02%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| 7-Eleven Inc                                                                    | 7-ELEVEN INC                                                                    | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    135000 | PA      | $128470.05    | 0.07%             | 2024-02-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| 7-Eleven Inc                                                                    | 7-ELEVEN INC                                                                    | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84531.57     | 0.05%             | 2023-02-10      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH4                                                 | SEQUOIA MORTGAGE TRUST 2018-CH4                                                 | CUSIP: 81747LAB7<br>LEI: 5493003EWUCLH0O45S72 | Long             | ABS-MBS          | CORP              | US        |      3994 | PA      | $3953.45      | 0.00%             | 2048-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH2                                                 | SEQUOIA MORTGAGE TRUST 2018-CH2                                                 | CUSIP: 81747EAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30427 | PA      | $28047.27     | 0.02%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH3                                                 | SEQUOIA MORTGAGE TRUST 2018-CH3                                                 | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |      5017 | PA      | $4881.53      | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                                   | SEMPRA ENERGY                                                                   | CUSIP: 816851BN8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    175000 | PA      | $168020.65    | 0.09%             | 2025-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                                                         | CHARLES SCHWAB CORP/THE                                                         | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    495000 | PA      | $451862.73    | 0.25%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Schlumberger Finance Canada Ltd                                                 | SCHLUMBERGER FINANCE CANADA LTD                                                 | CUSIP: 80685XAC5<br>LEI: 549300P4EXZFF0LRNF59 | Long             | DBT              | CORP              | CA        |     80000 | PA      | $73340.24     | 0.04%             | 2025-09-17      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-6                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-6                                   | CUSIP: 802918AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455000 | PA      | $440007.70    | 0.25%             | 2028-11-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2022-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-B                           | CUSIP: 80290CAY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213697 | PA      | $212450.44    | 0.12%             | 2032-08-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Santander Bank NA - SBCLN                                                       | SANTANDER BANK NA - SBCLN                                                       | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131449 | PA      | $126431.97    | 0.07%             | 2031-12-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2022-B                                        | SANTANDER RETAIL AUTO LEASE TRUST 2022-B                                        | CUSIP: 80287UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $72211.49     | 0.04%             | 2027-03-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-5                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5                                   | CUSIP: 80287HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $318994.14    | 0.18%             | 2028-10-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2020-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4                                   | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116018 | PA      | $114849.74    | 0.06%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2021-A                                        | SANTANDER RETAIL AUTO LEASE TRUST 2021-A                                        | CUSIP: 80286TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $405553.86    | 0.23%             | 2026-03-20      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-2                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2                                   | CUSIP: 80286MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $348706.22    | 0.20%             | 2029-07-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2020-A                                        | SANTANDER RETAIL AUTO LEASE TRUST 2020-A                                        | CUSIP: 80286KAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $429457.58    | 0.24%             | 2024-11-20      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4                                   | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $416257.55    | 0.23%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-1                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-1                                   | CUSIP: 80286EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $396467.55    | 0.22%             | 2028-04-17      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2021-B                                        | SANTANDER RETAIL AUTO LEASE TRUST 2021-B                                        | CUSIP: 80286DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185000 | PA      | $172760.38    | 0.10%             | 2025-11-20      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2021-C                                        | SANTANDER RETAIL AUTO LEASE TRUST 2021-C                                        | CUSIP: 80286CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $143421.11    | 0.08%             | 2026-03-20      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4                                   | CUSIP: 80285VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $234867.93    | 0.13%             | 2027-10-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust 2020-B                                | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B                                | CUSIP: 802830AR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $110838.98    | 0.06%             | 2026-04-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA Inc                                                      | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    190000 | PA      | $162909.42    | 0.09%             | 2028-01-06      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    255000 | PA      | $255318.75    | 0.14%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300000.00    | 0.17%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2020-PTB                                       | SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                       | CUSIP: 78449DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115955 | PA      | $102417.30    | 0.06%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                               | SMBC AVIATION CAPITAL FINANCE DAC                                               | CUSIP: 78448TAE2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    235000 | PA      | $227228.32    | 0.13%             | 2024-04-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                               | SMBC AVIATION CAPITAL FINANCE DAC                                               | CUSIP: 78448TAD4<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $197718.40    | 0.11%             | 2023-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2022-1                                            | SG RESIDENTIAL MORTGAGE TRUST 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136554 | PA      | $122099.40    | 0.07%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SES SA                                                                          | SES SA                                                                          | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |    455000 | PA      | $451018.75    | 0.25%             | 2023-04-04      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc                                                                  | S&P GLOBAL INC                                                                  | CUSIP: 78409VBA1<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    510000 | PA      | $465057.27    | 0.26%             | 2027-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $155242.81    | 0.09%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $98261.12     | 0.06%             | 2026-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $75402.34     | 0.04%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $306062.63    | 0.17%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $105916.86    | 0.06%             | 2024-10-08      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma PLC                                                              | ROYALTY PHARMA PLC                                                              | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $207917.47    | 0.12%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                                                                 | ROSS STORES INC                                                                 | CUSIP: 778296AF0<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    155000 | PA      | $135995.92    | 0.08%             | 2026-04-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                                                                 | ROSS STORES INC                                                                 | CUSIP: 778296AB9<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    670000 | PA      | $665651.03    | 0.37%             | 2025-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Roper Technologies Inc                                                          | ROPER TECHNOLOGIES INC                                                          | CUSIP: 776743AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85984.74     | 0.05%             | 2024-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Roper Technologies Inc                                                          | ROPER TECHNOLOGIES INC                                                          | CUSIP: 776743AE6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74094.90     | 0.04%             | 2023-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    310000 | PA      | $286318.17    | 0.16%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                 | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral                    | CUSIP: 76105YYY8<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |    202372 | NS      | $202372.50    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                 | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND                                 | CUSIP: 76105Y109<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |   1676133 | NS      | $1676133.29   | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic Services Inc                                                           | REPUBLIC SERVICES INC                                                           | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    220000 | PA      | $211072.62    | 0.12%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                              | REALTY INCOME CORP                                                              | CUSIP: 756109AQ7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    450000 | PA      | $441298.80    | 0.25%             | 2024-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RELX Capital Inc                                                                | RELX CAPITAL INC                                                                | CUSIP: 74949LAB8<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159408.64    | 0.09%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Qorvo Inc                                                                       | QORVO INC                                                                       | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    125000 | PA      | $114843.75    | 0.06%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| QVC Inc                                                                         | QVC INC                                                                         | CUSIP: 747262AS2<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    360000 | PA      | $335250.00    | 0.19%             | 2024-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                                  | PUBLIC STORAGE                                                                  | CUSIP: 74460WAB3<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114430.41    | 0.06%             | 2024-04-23      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2022-SFR6 Trust                                            | PROGRESS RESIDENTIAL 2022-SFR6 TRUST                                            | CUSIP: 74334DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $217056.64    | 0.12%             | 2039-07-20      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2020-SFR2 Trust                                            | PROGRESS RESIDENTIAL 2020-SFR2 TRUST                                            | CUSIP: 74333LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394513 | PA      | $362451.20    | 0.20%             | 2037-06-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                                | PRINCIPAL LIFE GLOBAL FUNDING II                                                | CUSIP: 74256LEL9<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    165000 | PA      | $156034.07    | 0.09%             | 2024-04-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP / PAA Finance Corp                              | PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP                              | CUSIP: 72650RBB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $304390.00    | 0.17%             | 2023-01-31      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co                                                    | PIONEER NATURAL RESOURCES CO                                                    | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137800.32    | 0.08%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                                 | PHILIP MORRIS INTERNATIONAL INC                                                 | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    140000 | PA      | $140604.66    | 0.08%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                                 | PHILIP MORRIS INTERNATIONAL INC                                                 | CUSIP: 718172CT4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    270000 | PA      | $270117.99    | 0.15%             | 2024-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Perrigo Finance Unlimited Co                                                    | PERRIGO FINANCE UNLIMITED CO                                                    | CUSIP: 714295AC6<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |    675000 | PA      | $636187.50    | 0.36%             | 2024-12-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046AL3<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    715000 | PA      | $664017.64    | 0.37%             | 2024-09-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co Lp / PTL Finance Corp                                   | PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CUSIP: 709599BF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    172000 | PA      | $166240.92    | 0.09%             | 2024-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co Lp / PTL Finance Corp                                   | PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CUSIP: 709599AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    321000 | PA      | $319244.77    | 0.18%             | 2023-03-14      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co Lp / PTL Finance Corp                                   | PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CUSIP: 709599AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $69968.29     | 0.04%             | 2023-01-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PeaceHealth Obligated Group                                                     | PEACEHEALTH OBLIGATED GROUP                                                     | CUSIP: 70462GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $44805.85     | 0.03%             | 2025-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                                                            | PARKER-HANNIFIN CORP                                                            | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    400000 | PA      | $391578.80    | 0.22%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd                                                     | PARK AEROSPACE HOLDINGS LTD                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     35000 | PA      | $34868.75     | 0.02%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO 2020-3 Ltd                                                    | PALMER SQUARE CLO 2020-3 LTD                                                    | CUSIP: 69701RAL1<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $470929.65    | 0.26%             | 2031-11-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    220000 | PA      | $207343.84    | 0.12%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PSMC 2021-1 Trust                                                               | PSMC 2021-1 TRUST                                                               | CUSIP: 693650AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315848 | PA      | $271592.60    | 0.15%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475BH7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    335000 | PA      | $338289.70    | 0.19%             | 2025-10-28      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                     | ORACLE CORP                                                                     | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143276.98    | 0.08%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK Mortgage Trust                                                    | ONE 2021-PARK MORTGAGE TRUST                                                    | CUSIP: 682413AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $156226.94    | 0.09%             | 2036-03-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK Mortgage Trust                                                    | ONE 2021-PARK MORTGAGE TRUST                                                    | CUSIP: 682413AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $295762.04    | 0.17%             | 2036-03-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust 2022-INV1                                              | OCEANVIEW MORTGAGE TRUST 2022-INV1                                              | CUSIP: 67648BAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209095 | PA      | $178751.85    | 0.10%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2022-2                                                 | OCTANE RECEIVABLES TRUST 2022-2                                                 | CUSIP: 67578XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276257 | PA      | $272875.23    | 0.15%             | 2028-02-22      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2021-2                                                 | OCTANE RECEIVABLES TRUST 2021-2                                                 | CUSIP: 67578AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97645 | PA      | $92820.88     | 0.05%             | 2028-09-20      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2022-1                                                 | OCTANE RECEIVABLES TRUST 2022-1                                                 | CUSIP: 67571EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $173201.89    | 0.10%             | 2028-05-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                                             | OBX 2020-EXP2 TRUST                                                             | CUSIP: 67448VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27596 | PA      | $23426.05     | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                                             | OBX 2020-EXP2 TRUST                                                             | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104866 | PA      | $89501.14     | 0.05%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP1 Trust                                                             | OBX 2020-EXP1 TRUST                                                             | CUSIP: 67448TBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36728 | PA      | $34103.55     | 0.02%             | 2060-02-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 Trust                                                             | OBX 2021-NQM3 TRUST                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100918 | PA      | $75852.13     | 0.04%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 Trust                                                             | OBX 2021-NQM1 TRUST                                                             | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135095 | PA      | $105092.27    | 0.06%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| OBX 2021-J1 Trust                                                               | OBX 2021-J1 TRUST                                                               | CUSIP: 67113XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209717 | PA      | $179807.54    | 0.10%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 Trust                                                             | OBX 2019-EXP2 TRUST                                                             | CUSIP: 67113KAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23661 | PA      | $22549.90     | 0.01%             | 2059-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| OBX 2020-INV1 Trust                                                             | OBX 2020-INV1 TRUST                                                             | CUSIP: 67113CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61739 | PA      | $54821.11     | 0.03%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                             | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAM8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    315000 | PA      | $304320.11    | 0.17%             | 2030-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                             | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAH9<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246334.40    | 0.14%             | 2030-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                                                      | NUCOR CORP                                                                      | CUSIP: 670346AX3<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $122245.38    | 0.07%             | 2025-05-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                                                      | NUCOR CORP                                                                      | CUSIP: 670346AR6<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74543.68     | 0.04%             | 2025-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                              | NORTHWESTERN MUTUAL GLOBAL FUNDING                                              | CUSIP: 66815L2K4<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    215000 | PA      | $209173.07    | 0.12%             | 2027-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Nordstrom Inc                                                                   | NORDSTROM INC                                                                   | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32637.50     | 0.02%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| Nissan Auto Receivables 2020-A Owner Trust                                      | NISSAN AUTO RECEIVABLES 2020-A OWNER TRUST                                      | CUSIP: 65479MAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89939 | PA      | $88717.50     | 0.05%             | 2024-12-16      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co Ltd                                                             | NISSAN MOTOR CO LTD                                                             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    665000 | PA      | $652093.68    | 0.37%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KCG3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    230000 | PA      | $226854.52    | 0.13%             | 2025-06-20      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KBY5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    310000 | PA      | $273913.83    | 0.15%             | 2027-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV2                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                                   | CUSIP: 64831GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395287 | PA      | $337923.74    | 0.19%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV1                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV1                                   | CUSIP: 64829WAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133840 | PA      | $114417.81    | 0.06%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 32 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 32 LTD                                       | CUSIP: 64132DAJ7<br>LEI: 5493007YBEOXQIHH3C54 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $391266.20    | 0.22%             | 2032-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 26 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD                                       | CUSIP: 64131QAL4<br>LEI: 549300P0MOXZPIM3AS61 | Long             | ABS-CBDO         | CORP              | KY        |    255000 | PA      | $245076.10    | 0.14%             | 2030-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 26 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD                                       | CUSIP: 64131QAJ9<br>LEI: 549300P0MOXZPIM3AS61 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245386.09    | 0.14%             | 2030-10-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVII Ltd                                                   | NEUBERGER BERMAN CLO XVII LTD                                                   | CUSIP: 64129UBS3<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |    451229 | PA      | $444911.71    | 0.25%             | 2029-04-22      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust 2021-C                                                | NELNET STUDENT LOAN TRUST 2021-C                                                | CUSIP: 64035GAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308760 | PA      | $274132.18    | 0.15%             | 2062-04-20      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust 2020-1                                                | NELNET STUDENT LOAN TRUST 2020-1                                                | CUSIP: 64034GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150603 | PA      | $146855.68    | 0.08%             | 2068-03-26      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust 2005-4                                                | NELNET STUDENT LOAN TRUST 2005-4                                                | CUSIP: 64031QCJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300277 | PA      | $291885.83    | 0.16%             | 2032-03-22      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2022-A                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2022-A                                | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390827 | PA      | $339122.65    | 0.19%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2021-B                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-B                                | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138594 | PA      | $117054.56    | 0.07%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2021-E                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-E                                | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89204 | PA      | $74727.60     | 0.04%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-F                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F                                | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135321 | PA      | $120118.36    | 0.07%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-G                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G                                | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62173 | PA      | $55143.58     | 0.03%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-G                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G                                | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73626 | PA      | $67404.82     | 0.04%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-D                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D                                | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48924 | PA      | $43972.79     | 0.02%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-D                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D                                | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98976 | PA      | $90140.10     | 0.05%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                             | NATWEST MARKETS PLC                                                             | CUSIP: 63906YAA6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    465000 | PA      | $458772.72    | 0.26%             | 2023-05-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAJ4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $196442.80    | 0.11%             | 2025-07-25      | Fixed         | 4.24%                 | No            |                  2 | On Loan: —       |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAH8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $196825.20    | 0.11%             | 2024-07-26      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAA3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    275000 | PA      | $272781.30    | 0.15%             | 2023-03-03      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HBE7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     35000 | PA      | $33720.79     | 0.02%             | 2027-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    140000 | PA      | $133350.00    | 0.07%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    205000 | PA      | $192805.58    | 0.11%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC                                                        | NXP BV / NXP FUNDING LLC                                                        | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    250000 | PA      | $247661.75    | 0.14%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                                                  | NRG ENERGY INC                                                                  | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    155000 | PA      | $149384.51    | 0.08%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NLT 2021-INV2 Trust                                                             | NLT 2021-INV2 TRUST                                                             | CUSIP: 62917JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102841 | PA      | $79572.99     | 0.04%             | 2056-08-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| NBN Co Ltd                                                                      | NBN CO LTD                                                                      | CUSIP: 62878U2A9<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    405000 | PA      | $355948.02    | 0.20%             | 2026-05-05      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    235000 | PA      | $231512.60    | 0.13%             | 2024-04-05      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-MEAD                                        | MORGAN STANLEY CAPITAL I TRUST 2019-MEAD                                        | CUSIP: 61771LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $600168.40    | 0.34%             | 2036-11-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2014-150E                                        | MORGAN STANLEY CAPITAL I TRUST 2014-150E                                        | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $300691.41    | 0.17%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YEX9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $255438.00    | 0.14%             | 2026-10-16      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    220000 | PA      | $214483.28    | 0.12%             | 2025-04-17      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $234889.25    | 0.13%             | 2026-02-18      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    195000 | PA      | $179434.91    | 0.10%             | 2025-10-21      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123832.63    | 0.07%             | 2024-01-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    295000 | PA      | $293942.72    | 0.17%             | 2023-11-10      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-NUGS                                        | MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                        | CUSIP: 61692AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $102090.78    | 0.06%             | 2036-12-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Mondelez International Holdings Netherlands BV                                  | MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV                                  | CUSIP: 60920LAS3<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $196509.00    | 0.11%             | 2025-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mondelez International Inc                                                      | MONDELEZ INTERNATIONAL INC                                                      | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $172142.85    | 0.10%             | 2027-03-17      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                              | MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $218549.54    | 0.12%             | 2025-09-12      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                              | MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $371672.40    | 0.21%             | 2025-07-19      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Inc                                                        | MICROCHIP TECHNOLOGY INC                                                        | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    220000 | PA      | $203970.36    | 0.11%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Inc                                                        | MICROCHIP TECHNOLOGY INC                                                        | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $285282.00    | 0.16%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Inc                                                        | MICROCHIP TECHNOLOGY INC                                                        | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245679.25    | 0.14%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                              | METROPOLITAN LIFE GLOBAL FUNDING I                                              | CUSIP: 59217GFC8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    335000 | PA      | $327176.41    | 0.18%             | 2025-08-25      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST                                                    | METLIFE SECURITIZATION TRUST                                                    | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129817 | PA      | $121193.14    | 0.07%             | 2055-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance 2021-INV3                                     | MELLO MORTGAGE CAPITAL ACCEPTANCE 2021-INV3                                     | CUSIP: 585491AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174423 | PA      | $149111.02    | 0.08%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                                                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $253406.25    | 0.14%             | 2023-06-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials Inc                                                   | MARTIN MARIETTA MATERIALS INC                                                   | CUSIP: 573284AY2<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    195000 | PA      | $190452.60    | 0.11%             | 2023-07-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903AV5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79780.56     | 0.04%             | 2023-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571900BB4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    425000 | PA      | $417289.65    | 0.23%             | 2024-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Magnetite XXV Ltd                                                               | MAGNETITE XXV LTD                                                               | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493282.37    | 0.28%             | 2032-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    700000 | PA      | $631290.10    | 0.36%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIII Ltd                                                  | MADISON PARK FUNDING XXIII LTD                                                  | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    285000 | PA      | $280582.50    | 0.16%             | 2031-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXV Ltd                                                   | MADISON PARK FUNDING XXXV LTD                                                   | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    455000 | PA      | $442308.18    | 0.25%             | 2032-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXIII Ltd                                                 | MADISON PARK FUNDING XXXIII LTD                                                 | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    485000 | PA      | $478165.04    | 0.27%             | 2032-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXVII Ltd                                                 | MADISON PARK FUNDING XXXVII LTD                                                 | CUSIP: 55817EAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    465000 | PA      | $454098.64    | 0.26%             | 2033-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                                                  | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112059 | PA      | $102943.35    | 0.06%             | 2037-10-20      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust 2017-1                                                          | MVW OWNER TRUST 2017-1                                                          | CUSIP: 553896AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21047 | PA      | $19768.03     | 0.01%             | 2034-12-20      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust 2017-1                                                          | MVW OWNER TRUST 2017-1                                                          | CUSIP: 553896AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12756 | PA      | $12320.87     | 0.01%             | 2034-12-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MHC Trust 2021-MHC2                                                             | MHC TRUST 2021-MHC2                                                             | CUSIP: 55293AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $143836.92    | 0.08%             | 2023-05-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 Ltd                                                                | MF1 2021-FL7 LTD                                                                | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    195000 | PA      | $186587.32    | 0.10%             | 2036-10-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM2 Trust                                                             | MFA 2021-NQM2 TRUST                                                             | CUSIP: 55283WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56666 | PA      | $44803.43     | 0.03%             | 2064-11-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| MFA 2021-INV1 Trust                                                             | MFA 2021-INV1 TRUST                                                             | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61418 | PA      | $53731.24     | 0.03%             | 2056-01-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust 2017-5                                          | LSTAR COMMERCIAL MORTGAGE TRUST 2017-5                                          | CUSIP: 54910TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $133292.77    | 0.07%             | 2050-03-10      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Lowe s Cos Inc                                                                  | LOWE'S COS INC                                                                  | CUSIP: 548661EK9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    305000 | PA      | $300335.64    | 0.17%             | 2025-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Lowe s Cos Inc                                                                  | LOWE'S COS INC                                                                  | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75203.28     | 0.04%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Long Island Power Authority                                                     | LONG ISLAND POWER AUTHORITY                                                     | CUSIP: 542691DP2<br>LEI: 1R46U5SYJ63KQXF39168 | Long             | DBT              | MUN               | US        |     85000 | PA      | $84450.91     | 0.05%             | 2023-03-01      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| LeasePlan Corp NV                                                               | LEASEPLAN CORP NV                                                               | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $375568.80    | 0.21%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                               | LYB INTERNATIONAL FINANCE III LLC                                               | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    177000 | PA      | $157854.26    | 0.09%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing PLC                                                             | LSEGA FINANCING PLC                                                             | CUSIP: 50220PAA1<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    320000 | PA      | $301368.64    | 0.17%             | 2024-04-06      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust 2020-1                                                | KUBOTA CREDIT OWNER TRUST 2020-1                                                | CUSIP: 50117WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61481 | PA      | $61104.93     | 0.03%             | 2024-03-15      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Korea Hydro & Nuclear Power Co Ltd                                              | KOREA HYDRO & NUCLEAR POWER CO LTD                                              | CUSIP: 50064YAQ6<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | NUSS              | KR        |    490000 | PA      | $472139.50    | 0.27%             | 2027-07-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KRC Interim Corp                                                                | KIMCO REALTY OP LLC                                                             | CUSIP: 49446RAR0<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    465000 | PA      | $450351.11    | 0.25%             | 2024-03-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                                         | KEYCORP                                                                         | CUSIP: 49326EEL3<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    105000 | PA      | $102490.40    | 0.06%             | 2025-05-23      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| KT Corp                                                                         | KT CORP                                                                         | CUSIP: 48268KAG6<br>LEI: 9884005ACF8449EANY26 | Long             | DBT              | CORP              | KR        |    450000 | PA      | $438181.84    | 0.25%             | 2025-08-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KIND Trust 2021-KIND                                                            | KIND TRUST 2021-KIND                                                            | CUSIP: 482606AL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243242 | PA      | $219533.07    | 0.12%             | 2038-08-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| KKR CLO 29 Ltd                                                                  | KKR CLO 29 LTD                                                                  | CUSIP: 48254GAA4<br>LEI: 5493000WWM0GGYYSIJ83 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245574.98    | 0.14%             | 2032-01-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust 2021-KDIP                                        | KKR INDUSTRIAL PORTFOLIO TRUST 2021-KDIP                                        | CUSIP: 48254CAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $70646.03     | 0.04%             | 2037-12-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust 2021-KDIP                                        | KKR INDUSTRIAL PORTFOLIO TRUST 2021-KDIP                                        | CUSIP: 48254CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187500 | PA      | $177909.19    | 0.10%             | 2037-12-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA - CACLN                                                  | JPMORGAN CHASE BANK NA - CACLN                                                  | CUSIP: 48128U2P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107756 | PA      | $102485.05    | 0.06%             | 2028-12-26      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| JDE Peet s NV                                                                   | JDE PEET'S NV                                                                   | CUSIP: 47216QAA1<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    150000 | PA      | $136500.00    | 0.08%             | 2024-09-24      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding                                            | JACKSON NATIONAL LIFE GLOBAL FUNDING                                            | CUSIP: 46849LUV1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    290000 | PA      | $269321.55    | 0.15%             | 2025-01-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Jackson Financial Inc                                                           | JACKSON FINANCIAL INC                                                           | CUSIP: 46817MAJ6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    270000 | PA      | $260441.46    | 0.15%             | 2023-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-609M                | CUSIP: 46652RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $193289.63    | 0.11%             | 2033-10-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-609M                | CUSIP: 46652RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $238120.12    | 0.13%             | 2033-10-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCZ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    440000 | PA      | $426715.96    | 0.24%             | 2026-04-26      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    225000 | PA      | $209832.53    | 0.12%             | 2025-06-01      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72683.48     | 0.04%             | 2027-04-22      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    460000 | PA      | $426595.26    | 0.24%             | 2026-04-22      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV1                                              | JP MORGAN MORTGAGE TRUST 2020-INV1                                              | CUSIP: 46591VBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104620 | PA      | $89095.69     | 0.05%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                  | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-BKWD                  | CUSIP: 46591JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $333897.24    | 0.19%             | 2029-09-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Imperial Brands Finance PLC                                                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $190181.40    | 0.11%             | 2025-07-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust 2022-NQM4                                          | IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                          | CUSIP: 45276NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367630 | PA      | $348822.71    | 0.20%             | 2067-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust 2021-NQM2                                          | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                                          | CUSIP: 452761AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113094 | PA      | $85052.73     | 0.05%             | 2056-09-01      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Imperial Brands Finance PLC                                                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    480000 | PA      | $458808.00    | 0.26%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust 2020-B                                           | HYUNDAI AUTO RECEIVABLES TRUST 2020-B                                           | CUSIP: 44933FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $165918.97    | 0.09%             | 2026-12-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital Services Inc                                                    | HYUNDAI CAPITAL SERVICES INC                                                    | CUSIP: 44920UAS7<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |    200000 | PA      | $183049.93    | 0.10%             | 2025-04-24      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    110000 | PA      | $101812.15    | 0.06%             | 2024-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: —       |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ABV8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74657.04     | 0.04%             | 2024-06-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ABR7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    160000 | PA      | $152544.96    | 0.09%             | 2024-01-08      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    470000 | PA      | $468065.01    | 0.26%             | 2023-02-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp                                                               | HYATT HOTELS CORP                                                               | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    140000 | PA      | $135279.06    | 0.08%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust 2021-INV1                                               | HUNDRED ACRE WOOD TRUST 2021-INV1                                               | CUSIP: 44590HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193660 | PA      | $167922.13    | 0.09%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     85000 | PA      | $87045.19     | 0.05%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77611.50     | 0.04%             | 2027-02-03      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131407.25    | 0.07%             | 2023-08-03      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    145000 | PA      | $143444.88    | 0.08%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BD3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    180000 | PA      | $176360.58    | 0.10%             | 2024-10-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2017-A                                             | HILTON GRAND VACATIONS TRUST 2017-A                                             | CUSIP: 43283AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14483 | PA      | $14147.14     | 0.01%             | 2028-12-26      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2017-A                                             | HILTON GRAND VACATIONS TRUST 2017-A                                             | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41638 | PA      | $40983.30     | 0.02%             | 2028-12-26      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Health Care Service Corp A Mutual Legal Reserve Co                              | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAD0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    325000 | PA      | $298168.33    | 0.17%             | 2025-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CW7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $190337.60    | 0.11%             | 2024-11-22      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    375000 | PA      | $342084.38    | 0.19%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $196296.80    | 0.11%             | 2024-03-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    260000 | PA      | $236524.86    | 0.13%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                      | GREAT WOLF TRUST 2019-WOLF                                                      | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $372335.61    | 0.21%             | 2036-12-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                      | GREAT WOLF TRUST 2019-WOLF                                                      | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $315592.71    | 0.18%             | 2036-12-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $95282.88     | 0.05%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $48621.95     | 0.03%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    210000 | PA      | $201112.38    | 0.11%             | 2028-08-23      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    265000 | PA      | $253576.91    | 0.14%             | 2025-01-24      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    325000 | PA      | $311954.50    | 0.18%             | 2024-10-21      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GXZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    280000 | PA      | $276790.08    | 0.16%             | 2024-03-08      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240191.75    | 0.14%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp                                        | GOLDEN STATE TOBACCO SECURITIZATION CORP                                        | CUSIP: 38122NC34<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    200000 | PA      | $190322.10    | 0.11%             | 2024-06-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust 2022-3                                    | GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-3                                    | CUSIP: 380130AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $600736.80    | 0.34%             | 2026-08-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Genuine Parts Co                                                                | GENUINE PARTS CO                                                                | CUSIP: 372460AB1<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |    105000 | PA      | $97920.38     | 0.06%             | 2025-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XCV6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    485000 | PA      | $459242.62    | 0.26%             | 2025-02-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                               | GENERAL MOTORS CO                                                               | CUSIP: 37045VAE0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179819.64    | 0.10%             | 2023-10-02      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2019-H1                                           | GALTON FUNDING MORTGAGE TRUST 2019-H1                                           | CUSIP: 36418XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $203948.08    | 0.11%             | 2059-10-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2019-1                                            | GALTON FUNDING MORTGAGE TRUST 2019-1                                            | CUSIP: 36418WAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23221 | PA      | $22449.99     | 0.01%             | 2059-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2019-1                                            | GALTON FUNDING MORTGAGE TRUST 2019-1                                            | CUSIP: 36418WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15165 | PA      | $14680.87     | 0.01%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2020-H1                                           | GALTON FUNDING MORTGAGE TRUST 2020-H1                                           | CUSIP: 36418HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $274844.01    | 0.15%             | 2060-01-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49398 | PA      | $43744.44     | 0.02%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2022-GR1                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR1                                    | CUSIP: 36266TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450950 | PA      | $385509.62    | 0.22%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2021-ROSS                                     | GS MORTGAGE SECURITIES CORP TRUST 2021-ROSS                                     | CUSIP: 36264YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $144472.82    | 0.08%             | 2026-05-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-HP1                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                    | CUSIP: 36262RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133281 | PA      | $113939.95    | 0.06%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                    | CUSIP: 36262JAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221011 | PA      | $188938.41    | 0.11%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp Trust 2021-PJ5                               | GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-PJ5                               | CUSIP: 36261HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288545 | PA      | $247393.82    | 0.14%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2020-4                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-4                       | CUSIP: 36260KAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $96543.12     | 0.05%             | 2026-05-18      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2020-2                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-2                       | CUSIP: 36258VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59973 | PA      | $59257.45     | 0.03%             | 2024-12-16      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2022-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                    | CUSIP: 36250BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4543 | PA      | $4445.61      | 0.00%             | 2044-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A26K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11515 | PA      | $10698.43     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113944 | PA      | $115875.55    | 0.07%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FEJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3281 | PA      | $3337.40      | 0.00%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69675 | PA      | $70859.48     | 0.04%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EH36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1840 | PA      | $1878.07      | 0.00%             | 2036-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1525 | PA      | $1556.03      | 0.00%             | 2036-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2279 | PA      | $2326.08      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3156 | PA      | $3220.87      | 0.00%             | 2034-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137170 | PA      | $138022.63    | 0.08%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348483 | PA      | $338108.99    | 0.19%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99515 | PA      | $94175.80     | 0.05%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365503 | PA      | $335842.63    | 0.19%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32602 | PA      | $31047.45     | 0.02%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8823 | PA      | $9022.70      | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32485 | PA      | $33468.95     | 0.02%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53557 | PA      | $53923.02     | 0.03%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720581 | PA      | $648950.61    | 0.36%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCT Commercial Mortgage Trust 2021-GCT                                          | GCT COMMERCIAL MORTGAGE TRUST 2021-GCT                                          | CUSIP: 36167RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $129900.71    | 0.07%             | 2038-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GATX Corp                                                                       | GATX CORP                                                                       | CUSIP: 361448BD4<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |    360000 | PA      | $354675.24    | 0.20%             | 2024-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GATX Corp                                                                       | GATX CORP                                                                       | CUSIP: 361448AY9<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |    342000 | PA      | $317071.62    | 0.18%             | 2026-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA5                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA5                                         | CUSIP: 35564KYN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297056 | PA      | $300543.17    | 0.17%             | 2042-06-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA4                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA4                                         | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    314585 | PA      | $313610.45    | 0.18%             | 2042-05-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA3                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                         | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    271646 | PA      | $270287.93    | 0.15%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-HQA1                                         | FREDDIE MAC STACR REMIC TRUST 2022-HQA1                                         | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    333525 | PA      | $329259.09    | 0.19%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA1                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA1                                         | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    172936 | PA      | $168496.04    | 0.09%             | 2042-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-DNA7                                         | FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                         | CUSIP: 35564KMH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90000 | PA      | $84526.35     | 0.05%             | 2041-11-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-DNA5                                         | FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                         | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89220 | PA      | $87994.49     | 0.05%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA6                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA6                                         | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97761 | PA      | $97820.20     | 0.06%             | 2042-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-HQA3                                         | FREDDIE MAC STACR REMIC TRUST 2022-HQA3                                         | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    143615 | PA      | $143449.55    | 0.08%             | 2042-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes                            | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16219 | PA      | $16170.05     | 0.01%             | 2033-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-HQA1                                         | FREDDIE MAC STACR REMIC TRUST 2021-HQA1                                         | CUSIP: 35564KBK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4212 | PA      | $4189.03      | 0.00%             | 2033-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fortinet Inc                                                                    | FORTINET INC                                                                    | CUSIP: 34959EAA7<br>LEI: 549300O0QJWDBAS0QX03 | Long             | DBT              | CORP              | US        |    160000 | PA      | $140267.68    | 0.08%             | 2026-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust 2020-REV2                                          | FORD CREDIT AUTO OWNER TRUST 2020-REV2                                          | CUSIP: 34532JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $125330.58    | 0.07%             | 2033-04-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust A                                      | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QHN7<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $210832.29    | 0.12%             | 2025-09-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2022-A                                             | FORD CREDIT AUTO LEASE TRUST 2022-A                                             | CUSIP: 34528LAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465000 | PA      | $450471.63    | 0.25%             | 2025-10-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust 2019-FBLU                                       | FONTAINEBLEAU MIAMI BEACH TRUST 2019-FBLU                                       | CUSIP: 34461LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895000 | PA      | $833119.43    | 0.47%             | 2036-12-10      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2020-1NV                                                | FLAGSTAR MORTGAGE TRUST 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145797 | PA      | $133646.44    | 0.08%             | 2050-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2021-5INV                                               | FLAGSTAR MORTGAGE TRUST 2021-5INV                                               | CUSIP: 33851PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203096 | PA      | $173623.63    | 0.10%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                                  | FIRSTKEY HOMES 2020-SFR1 TRUST                                                  | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $444814.25    | 0.25%             | 2037-08-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| First American Financial Corp                                                   | FIRST AMERICAN FINANCIAL CORP                                                   | CUSIP: 31847RAF9<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    450000 | PA      | $442899.00    | 0.25%             | 2024-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout 2022-HB2                                         | FINANCE OF AMERICA HECM BUYOUT 2022-HB2                                         | CUSIP: 317380AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417441 | PA      | $408925.67    | 0.23%             | 2024-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bank NA                                                             | FIFTH THIRD BANK NA                                                             | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    335000 | PA      | $337300.11    | 0.19%             | 2025-10-27      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services Inc                                      | FIDELITY NATIONAL INFORMATION SERVICES INC                                      | CUSIP: 31620MBV7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    135000 | PA      | $132544.62    | 0.07%             | 2025-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services Inc                                      | FIDELITY NATIONAL INFORMATION SERVICES INC                                      | CUSIP: 31620MBQ8<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    130000 | PA      | $123079.97    | 0.07%             | 2024-03-01      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services Inc                                      | FIDELITY NATIONAL INFORMATION SERVICES INC                                      | CUSIP: 31620MBP0<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    275000 | PA      | $272828.05    | 0.15%             | 2023-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2017-1                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1                                       | CUSIP: 31574XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37231 | PA      | $29464.69     | 0.02%             | 2066-02-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2017-1                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1                                       | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37231 | PA      | $30362.96     | 0.02%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2019-2                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2                                       | CUSIP: 31573TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22116 | PA      | $20711.07     | 0.01%             | 2059-11-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2021-3                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-3                                       | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98159 | PA      | $78282.34     | 0.04%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2021-2                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2                                       | CUSIP: 31572LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67394 | PA      | $50732.66     | 0.03%             | 2066-06-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2021-2                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231064 | PA      | $177723.15    | 0.10%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122222 | PA      | $121162.17    | 0.07%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ATJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1498 | PA      | $1506.02      | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12932 | PA      | $13438.28     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33272 | PA      | $34392.33     | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17419 | PA      | $18100.15     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11095 | PA      | $11505.19     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326045 | PA      | $305842.32    | 0.17%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282387 | PA      | $271827.78    | 0.15%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275909 | PA      | $265599.11    | 0.15%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376201 | PA      | $330158.08    | 0.19%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63723 | PA      | $57964.90     | 0.03%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109733 | PA      | $89958.99     | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48160 | PA      | $44658.06     | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CKX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142178 | PA      | $148410.48    | 0.08%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24385 | PA      | $25285.71     | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        88 | PA      | $88.01        | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31415VZ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       849 | PA      | $845.43       | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31415LL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6483 | PA      | $6648.08      | 0.00%             | 2038-08-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31414DPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6022 | PA      | $5926.62      | 0.00%             | 2038-05-01      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413VJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17678 | PA      | $17596.20     | 0.01%             | 2038-04-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1603 | PA      | $1579.22      | 0.00%             | 2037-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412MLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $148.02       | 0.00%             | 2023-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411HJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1716 | PA      | $1679.35      | 0.00%             | 2038-05-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1363 | PA      | $1418.98      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       929 | PA      | $920.98       | 0.00%             | 2036-12-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19156 | PA      | $19810.70     | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LAE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $34.39        | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $2.11         | 0.00%             | 2023-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3316 | PA      | $3459.51      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21420 | PA      | $22212.02     | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2951 | PA      | $3071.48      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3310 | PA      | $3447.81      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198125 | PA      | $168043.63    | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25260 | PA      | $24709.26     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8504 | PA      | $8052.14      | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48046 | PA      | $45401.19     | 0.03%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246390 | PA      | $241547.41    | 0.14%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11729 | PA      | $11480.79     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408GJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       637 | PA      | $624.96       | 0.00%             | 2035-12-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1829 | PA      | $1787.15      | 0.00%             | 2035-12-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5116 | PA      | $5054.89      | 0.00%             | 2035-12-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408BQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1625 | PA      | $1591.72      | 0.00%             | 2035-12-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1400 | PA      | $1372.58      | 0.00%             | 2035-07-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1153 | PA      | $1184.55      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403VLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5579 | PA      | $5481.51      | 0.00%             | 2034-01-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81894 | PA      | $85294.99     | 0.05%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5409 | PA      | $5465.84      | 0.00%             | 2036-07-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       593 | PA      | $617.74       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2727 | PA      | $2824.11      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29137 | PA      | $30133.51     | 0.02%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71451 | PA      | $73959.68     | 0.04%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40511 | PA      | $41370.72     | 0.02%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5095 | PA      | $5269.16      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44226 | PA      | $45660.77     | 0.03%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402QVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2939 | PA      | $3039.53      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7875 | PA      | $8144.21      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79604 | PA      | $82322.35     | 0.05%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EK3V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19632 | PA      | $19271.18     | 0.01%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGQ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28573 | PA      | $29630.05     | 0.02%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E2GB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69765 | PA      | $67491.50     | 0.04%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25772 | PA      | $26917.79     | 0.02%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust 2017-SC02                               | FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC02                               | CUSIP: 3137G1BY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33885 | PA      | $32939.08     | 0.02%             | 2047-05-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                         | FREDDIE MAC WHOLE LOAN SECURITIES TRUST                                         | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67017 | PA      | $64095.73     | 0.04%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137A0UA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49142 | PA      | $47057.45     | 0.03%             | 2040-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371LA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134455 | PA      | $137206.94    | 0.08%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1039 | PA      | $1080.19      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214602 | PA      | $182958.23    | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34643 | PA      | $32903.42     | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28010 | PA      | $27261.97     | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335CHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59276 | PA      | $61631.65     | 0.03%             | 2038-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335CHF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59441 | PA      | $61671.95     | 0.03%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93780 | PA      | $87320.75     | 0.05%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64553 | PA      | $64194.80     | 0.04%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161027 | PA      | $151139.21    | 0.08%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31297EJ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2493 | PA      | $2550.30      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QTE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10807 | PA      | $10775.96     | 0.01%             | 2038-06-01      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QSD29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2578 | PA      | $2570.98      | 0.00%             | 2037-05-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5020 | PA      | $5044.72      | 0.00%             | 2036-10-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5002 | PA      | $5076.03      | 0.00%             | 2036-01-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2211 | PA      | $2164.57      | 0.00%             | 2036-11-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJ2R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5570 | PA      | $5524.90      | 0.00%             | 2037-04-01      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1216 | PA      | $1245.60      | 0.00%             | 2036-10-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2007 | PA      | $2037.13      | 0.00%             | 2035-07-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MMH71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       553 | PA      | $551.24       | 0.00%             | 2023-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MC6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $10.49        | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MB6P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3149 | PA      | $3170.55      | 0.00%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2487 | PA      | $2581.74      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXDC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15701 | PA      | $16255.35     | 0.01%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2016 | PA      | $1999.51      | 0.00%             | 2037-02-01      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LU7A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7030 | PA      | $6990.02      | 0.00%             | 2038-02-01      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JRZ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5632 | PA      | $5511.38      | 0.00%             | 2038-05-01      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JPP46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7088 | PA      | $6999.26      | 0.00%             | 2038-07-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2332 | PA      | $2280.02      | 0.00%             | 2037-01-01      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1288 | PA      | $1265.11      | 0.00%             | 2035-02-01      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283H6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48397 | PA      | $50116.36     | 0.03%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11459 | PA      | $11447.62     | 0.01%             | 2030-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust 2021-ESH                                            | EXTENDED STAY AMERICA TRUST 2021-ESH                                            | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190357 | PA      | $182716.99    | 0.10%             | 2038-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-1                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-1                                      | CUSIP: 30167JAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $307117.95    | 0.17%             | 2028-06-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-5                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-5                                      | CUSIP: 30167FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $452151.54    | 0.25%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-2                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2                                      | CUSIP: 30166QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $290816.07    | 0.16%             | 2028-07-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-4                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4                                      | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $132683.29    | 0.07%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2021-3                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-3                                      | CUSIP: 30166AAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $140663.86    | 0.08%             | 2027-06-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                              | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAE7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    470000 | PA      | $466478.76    | 0.26%             | 2023-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                                         | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                         | CUSIP: 29449WAK3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    360000 | PA      | $333119.88    | 0.19%             | 2024-11-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                                         | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                         | CUSIP: 29449WAJ6<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    255000 | PA      | $236659.64    | 0.13%             | 2024-08-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                                         | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                         | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     35000 | PA      | $31878.70     | 0.02%             | 2025-07-07      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61205.17     | 0.03%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    610000 | PA      | $611837.93    | 0.34%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    440000 | PA      | $438951.48    | 0.25%             | 2023-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84130.11     | 0.05%             | 2023-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $205500.00    | 0.12%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    265000 | PA      | $228271.80    | 0.13%             | 2026-07-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GAL2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    405000 | PA      | $386652.29    | 0.22%             | 2024-09-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29273RAY5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    175000 | PA      | $173882.63    | 0.10%             | 2024-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                                                    | ENBRIDGE INC                                                                    | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $141777.75    | 0.08%             | 2025-02-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                                                    | ENBRIDGE INC                                                                    | CUSIP: 29250NBK0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    315000 | PA      | $304395.84    | 0.17%             | 2024-02-16      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                                                    | ENBRIDGE INC                                                                    | CUSIP: 29250NAY1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    265000 | PA      | $250142.78    | 0.14%             | 2025-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2019-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2019-A LLC                                           | CUSIP: 28416TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261646 | PA      | $242608.44    | 0.14%             | 2034-01-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2017-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2017-A LLC                                           | CUSIP: 28416DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53949 | PA      | $51637.00     | 0.03%             | 2030-03-25      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2016-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2016-A LLC                                           | CUSIP: 28415PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163323 | PA      | $161872.53    | 0.09%             | 2028-04-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Edison International                                                            | EDISON INTERNATIONAL                                                            | CUSIP: 281020AJ6<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109532.28    | 0.06%             | 2023-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Ecolab Inc                                                                      | ECOLAB INC                                                                      | CUSIP: 278865BP4<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    290000 | PA      | $295643.69    | 0.17%             | 2028-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ecolab Inc                                                                      | ECOLAB INC                                                                      | CUSIP: 278865BL3<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88526.10     | 0.05%             | 2027-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Eagle RE 2021-2 Ltd                                                             | EAGLE RE 2021-2 LTD                                                             | CUSIP: 26982AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    142231 | PA      | $141386.89    | 0.08%             | 2034-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                                         | ENI SPA                                                                         | CUSIP: 26874RAG3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    470000 | PA      | $465895.96    | 0.26%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dryden 86 CLO Ltd                                                               | DRYDEN 86 CLO LTD                                                               | CUSIP: 26245XAL1<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242402.09    | 0.14%             | 2034-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                                                   | DISCOVER BANK                                                                   | CUSIP: 25466AAD3<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247846.00    | 0.14%             | 2023-08-08      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Diageo Capital PLC                                                              | DIAGEO CAPITAL PLC                                                              | CUSIP: 25243YBF5<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $202562.00    | 0.11%             | 2025-10-24      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp                                                               | DEVON ENERGY CORP                                                               | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    130000 | PA      | $131870.44    | 0.07%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2                                     | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                     | CUSIP: 24381WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57240 | PA      | $45763.31     | 0.03%             | 2066-04-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2                                     | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57240 | PA      | $48107.71     | 0.03%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-1                                     | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1                                     | CUSIP: 24380VAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32180 | PA      | $28309.68     | 0.02%             | 2065-05-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $193216.20    | 0.11%             | 2025-03-28      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $186117.60    | 0.10%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    350000 | PA      | $346054.80    | 0.19%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Daimler Trucks Finance North America LLC                                        | DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                         | CUSIP: 233853AD2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    260000 | PA      | $241696.78    | 0.14%             | 2024-12-13      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                                         | MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                         | CUSIP: 233851DY7<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    435000 | PA      | $432406.10    | 0.24%             | 2023-03-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DAE Funding LLC                                                                 | DAE FUNDING LLC                                                                 | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185981.67    | 0.10%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co                                                                   | DTE ENERGY CO                                                                   | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    240000 | PA      | $234669.84    | 0.13%             | 2024-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Cytec Industries Inc                                                            | CYTEC INDUSTRIES INC                                                            | CUSIP: 232820AJ9<br>LEI: 549300CC16G1Y2NHCH33 | Long             | DBT              | CORP              | US        |    235000 | PA      | $234970.39    | 0.13%             | 2023-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    220000 | PA      | $200116.84    | 0.11%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    255000 | PA      | $220499.01    | 0.12%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAJ0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    345000 | PA      | $341126.34    | 0.19%             | 2023-07-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG/New York NY                                                    | CREDIT SUISSE AG/NEW YORK NY                                                    | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    635000 | PA      | $622068.23    | 0.35%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                          | CREDIT SUISSE GROUP AG                                                          | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    280000 | PA      | $261994.04    | 0.15%             | 2026-07-15      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA/London                                                       | CREDIT AGRICOLE SA/LONDON                                                       | CUSIP: 22535WAF4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    470000 | PA      | $470146.17    | 0.26%             | 2023-04-24      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Credicorp Ltd                                                                   | CREDICORP LTD                                                                   | CUSIP: 22530EAA0<br>LEI: 529900UYAEYQCQ2BKB17 | Long             | DBT              | CORP              | BM        |    200000 | PA      | $187001.99    | 0.11%             | 2025-06-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications Inc                                                          | COX COMMUNICATIONS INC                                                          | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    450000 | PA      | $434280.15    | 0.24%             | 2024-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Cox Communications Inc                                                          | COX COMMUNICATIONS INC                                                          | CUSIP: 224044CA3<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    615000 | PA      | $605929.37    | 0.34%             | 2023-06-30      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233000 | PA      | $234302.84    | 0.13%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc                                                        | COREBRIDGE FINANCIAL INC                                                        | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    205000 | PA      | $196518.54    | 0.11%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                                        | CONSTELLATION BRANDS INC                                                        | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    225000 | PA      | $220515.75    | 0.12%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R08                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R08                                    | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97470 | PA      | $97775.77     | 0.05%             | 2042-07-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R06                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                                    | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232715 | PA      | $235613.04    | 0.13%             | 2042-05-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R07                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R07                                    | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243074 | PA      | $245220.47    | 0.14%             | 2042-06-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R01                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                    | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263282 | PA      | $259924.01    | 0.15%             | 2041-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R04                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                                    | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136198 | PA      | $135715.19    | 0.08%             | 2042-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R03                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                    | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212400 | PA      | $210922.54    | 0.12%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106334.97    | 0.06%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 Mortgage Loan Trust                                                 | COLT 2021-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 19688FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95167 | PA      | $74040.35     | 0.04%             | 2066-09-27      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| COLT 2021-1 Mortgage Loan Trust                                                 | COLT 2021-1 MORTGAGE LOAN TRUST                                                 | CUSIP: 19688EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108671 | PA      | $86520.34     | 0.05%             | 2066-06-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust 2020-ICE5                                                    | COLD STORAGE TRUST 2020-ICE5                                                    | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255578 | PA      | $247395.51    | 0.14%             | 2037-11-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Europacific Partners PLC                                              | COCA-COLA EUROPACIFIC PARTNERS PLC                                              | CUSIP: 19123MAE3<br>LEI: 549300LTH67W4GWMRF57 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $638182.72    | 0.36%             | 2024-05-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                              | CNO GLOBAL FUNDING                                                              | CUSIP: 18977W2B5<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    240000 | PA      | $222168.00    | 0.12%             | 2025-01-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                              | CNO GLOBAL FUNDING                                                              | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    355000 | PA      | $313917.98    | 0.18%             | 2026-10-07      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                               | CITIGROUP MORTGAGE LOAN TRUST INC                                               | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     60652 | PA      | $49388.17     | 0.03%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2013-375P                                   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                   | CUSIP: 17320QAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138135.06    | 0.08%             | 2035-05-10      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2013-375P                                   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                   | CUSIP: 17320QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $189984.78    | 0.11%             | 2035-05-10      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2013-375P                                   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                   | CUSIP: 17320QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $468113.30    | 0.26%             | 2035-05-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    255000 | PA      | $250354.41    | 0.14%             | 2025-05-24      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187069.40    | 0.11%             | 2025-05-01      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    240000 | PA      | $226528.08    | 0.13%             | 2026-04-08      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAD7<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    465000 | PA      | $471393.75    | 0.27%             | 2024-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    375000 | PA      | $376875.00    | 0.21%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    955000 | PA      | $936973.42    | 0.53%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Celulosa Arauco y Constitucion SA                                               | CELULOSA ARAUCO Y CONSTITUCION SA                                               | CUSIP: 151191AZ6<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $197256.41    | 0.11%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    440000 | PA      | $439919.92    | 0.25%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    545000 | PA      | $544092.58    | 0.31%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Cedar Funding XIV CLO Ltd                                                       | CEDAR FUNDING XIV CLO LTD                                                       | CUSIP: 15034AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    290000 | PA      | $284200.99    | 0.16%             | 2033-07-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2021-P4                                          | CARVANA AUTO RECEIVABLES TRUST 2021-P4                                          | CUSIP: 14687KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $163486.05    | 0.09%             | 2028-02-10      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                          | CUSIP: 14686GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $130330.85    | 0.07%             | 2028-12-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Carrier Global Corp                                                             | CARRIER GLOBAL CORP                                                             | CUSIP: 14448CAN4<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     64000 | PA      | $60408.26     | 0.03%             | 2025-02-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2020-4                                                  | CARMAX AUTO OWNER TRUST 2020-4                                                  | CUSIP: 14316HAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $132338.05    | 0.07%             | 2027-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                             | CARDINAL HEALTH INC                                                             | CUSIP: 14149YBH0<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    180000 | PA      | $174448.44    | 0.10%             | 2024-06-15      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                             | CARDINAL HEALTH INC                                                             | CUSIP: 14149YBA5<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    215000 | PA      | $208914.64    | 0.12%             | 2024-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                             | CARDINAL HEALTH INC                                                             | CUSIP: 14149YAY4<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    185000 | PA      | $184394.87    | 0.10%             | 2023-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    205000 | PA      | $200751.99    | 0.11%             | 2026-07-24      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    265000 | PA      | $247849.73    | 0.14%             | 2026-03-03      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCA1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    145000 | PA      | $143240.28    | 0.08%             | 2024-01-29      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co                                                     | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    135000 | PA      | $119761.34    | 0.07%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co                                                     | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13645RBD5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    315000 | PA      | $293769.32    | 0.17%             | 2024-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd                                                  | CANADIAN NATURAL RESOURCES LTD                                                  | CUSIP: 136385AZ4<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    335000 | PA      | $312143.62    | 0.18%             | 2025-07-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    105000 | PA      | $97938.65     | 0.06%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    115000 | PA      | $107370.79    | 0.06%             | 2026-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                 | CSL FINANCE PLC                                                                 | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     90000 | PA      | $86528.34     | 0.05%             | 2027-04-27      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| COLT 2021-6 Mortgage Loan Trust                                                 | COLT 2021-6 MORTGAGE LOAN TRUST                                                 | CUSIP: 12658YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137761 | PA      | $116568.53    | 0.07%             | 2066-12-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                   | CSMC 2020-NET                                                                   | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112392 | PA      | $100392.06    | 0.06%             | 2037-08-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE22 Mortgage Trust                                                 | COMM 2015-CCRE22 MORTGAGE TRUST                                                 | CUSIP: 12592XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92527.95     | 0.05%             | 2048-03-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 Mortgage Trust                                                 | COMM 2014-CCRE19 MORTGAGE TRUST                                                 | CUSIP: 12592GBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $201250.06    | 0.11%             | 2047-08-10      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 Mortgage Trust                                                 | COMM 2014-CCRE19 MORTGAGE TRUST                                                 | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $224360.50    | 0.13%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Comm 2014-UBS2 Mortgage Trust                                                   | COMM 2014-UBS2 MORTGAGE TRUST                                                   | CUSIP: 12591UAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $424429.32    | 0.24%             | 2047-03-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Comm 2014-UBS2 Mortgage Trust                                                   | COMM 2014-UBS2 MORTGAGE TRUST                                                   | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $273645.93    | 0.15%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| CIM Trust 2021-INV1                                                             | CIM TRUST 2021-INV1                                                             | CUSIP: 12566PAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75378 | PA      | $64924.16     | 0.04%             | 2051-07-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust 2020-INV1                                                             | CIM TRUST 2020-INV1                                                             | CUSIP: 12560AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80805 | PA      | $66730.63     | 0.04%             | 2050-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW Finance Corp                                                      | CDW LLC / CDW FINANCE CORP                                                      | CUSIP: 12513GBA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $74062.50     | 0.04%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-CIP                                           | BX COMMERCIAL MORTGAGE TRUST 2021-CIP                                           | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $231573.74    | 0.13%             | 2038-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp/DE                                                               | BRUNSWICK CORP/DE                                                               | CUSIP: 117043AS8<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    290000 | PA      | $267454.24    | 0.15%             | 2024-08-18      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Sky Ltd                                                                         | SKY LTD                                                                         | CUSIP: 111013AL2<br>LEI: 2138003TS48MQKF4BZ29 | Long             | DBT              | CORP              | GB        |    975000 | PA      | $950434.88    | 0.53%             | 2024-09-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding                                            | BRIGHTHOUSE FINANCIAL GLOBAL FUNDING                                            | CUSIP: 10921U2D9<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    545000 | PA      | $531276.90    | 0.30%             | 2023-06-28      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding                                            | BRIGHTHOUSE FINANCIAL GLOBAL FUNDING                                            | CUSIP: 10921U2A5<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188409.80    | 0.11%             | 2024-04-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2021-NQM3                                       | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3                                       | CUSIP: 105690AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142010 | PA      | $127168.80    | 0.07%             | 2060-04-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft Lease Securitization Ltd 2016-1                      | BLACKBIRD CAPITAL AIRCRAFT LEASE SECURITIZATION LTD 2016-1                      | CUSIP: 09228YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     92319 | PA      | $84111.72     | 0.05%             | 2041-12-16      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    336000 | PA      | $328251.84    | 0.18%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     78000 | PA      | $76059.44     | 0.04%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust 2021-INV2                             | BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV2                             | CUSIP: 07336LAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201805 | PA      | $173794.14    | 0.10%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust 2021-INV5                             | BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                             | CUSIP: 07336JAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153163 | PA      | $131632.74    | 0.07%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 Ltd                                                               | BDS 2021-FL10 LTD                                                               | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    185000 | PA      | $178643.76    | 0.10%             | 2036-12-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                         | BAYER US FINANCE II LLC                                                         | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246455.25    | 0.14%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Baxter International Inc                                                        | BAXTER INTERNATIONAL INC                                                        | CUSIP: 071813CE7<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    350000 | PA      | $336677.25    | 0.19%             | 2023-12-01      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd 2013-I                                                          | BARINGS CLO LTD 2013-I                                                          | CUSIP: 06760EAA4<br>LEI: 54930079SUKCXYW8DR07 | Long             | ABS-CBDO         | CORP              | KY        |    368694 | PA      | $366176.49    | 0.21%             | 2028-01-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust 2021-NQM1                                          | BARCLAYS MORTGAGE LOAN TRUST 2021-NQM1                                          | CUSIP: 06744UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261198 | PA      | $221940.32    | 0.12%             | 2051-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    205000 | PA      | $212229.12    | 0.12%             | 2026-11-02      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $197642.00    | 0.11%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $232984.96    | 0.13%             | 2024-12-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198530.40    | 0.11%             | 2024-05-16      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                           | BANQUE FEDERATIVE DU CREDIT MUTUEL SA                                           | CUSIP: 06675FAX5<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    280000 | PA      | $256082.12    | 0.14%             | 2025-02-04      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                           | BANQUE FEDERATIVE DU CREDIT MUTUEL SA                                           | CUSIP: 06675FAV9<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    235000 | PA      | $222579.08    | 0.13%             | 2024-02-27      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp/The                                                | BANK OF NEW YORK MELLON CORP/THE                                                | CUSIP: 06406RBJ5<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    225000 | PA      | $221386.50    | 0.12%             | 2026-07-24      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                                | BANK OF MONTREAL                                                                | CUSIP: 06368LAP1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    390000 | PA      | $384646.08    | 0.22%             | 2024-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                                | BANK OF MONTREAL                                                                | CUSIP: 06368D3S1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    350000 | PA      | $339199.35    | 0.19%             | 2025-06-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group PLC                                                       | BANK OF IRELAND GROUP PLC                                                       | CUSIP: 06279JAA7<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    870000 | PA      | $857237.10    | 0.48%             | 2023-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $185890.30    | 0.10%             | 2025-04-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    265000 | PA      | $252738.72    | 0.14%             | 2026-04-02      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    215000 | PA      | $205785.32    | 0.12%             | 2025-02-04      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $166939.70    | 0.09%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    255000 | PA      | $238021.85    | 0.13%             | 2025-04-22      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    135000 | PA      | $129478.23    | 0.07%             | 2024-10-24      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | BANCO SANTANDER SA                                                              | CUSIP: 05971KAK5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $388971.60    | 0.22%             | 2024-06-30      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | BANCO SANTANDER SA                                                              | CUSIP: 05964HAP0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $192935.20    | 0.11%             | 2025-03-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                              | BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $387380.00    | 0.22%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2022-CSMO                                          | BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                                          | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $257925.04    | 0.15%             | 2027-06-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2022-AHP                                           | BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                           | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $181829.54    | 0.10%             | 2039-01-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-SOAR                                          | BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                          | CUSIP: 05608WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143910 | PA      | $135606.04    | 0.08%             | 2038-06-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                              | BX TRUST 2021-ARIA                                                              | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $135090.80    | 0.08%             | 2036-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                                            | BX COMMERCIAL MORTGAGE TRUST 2019-XL                                            | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101609 | PA      | $100356.25    | 0.06%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL8 Issuer Ltd                                                       | BSPRT 2022-FL8 ISSUER LTD                                                       | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380000 | PA      | $367153.47    | 0.21%             | 2037-02-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BPR Trust 2021-TY                                                               | BPR TRUST 2021-TY                                                               | CUSIP: 05592AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $186644.82    | 0.10%             | 2038-09-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trust 2021-DC                                         | BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                         | CUSIP: 05591UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $150845.29    | 0.08%             | 2038-08-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare Issuer 2019-A LLC                                  | BRE GRAND ISLANDER TIMESHARE ISSUER 2019-A LLC                                  | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106476 | PA      | $100000.10    | 0.06%             | 2033-09-26      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | BPCE SA                                                                         | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1010000 | PA      | $1002312.89   | 0.56%             | 2023-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BCP Trust 2021-330N                                                             | BCP TRUST 2021-330N                                                             | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $112061.24    | 0.06%             | 2038-06-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2021-INV1                                            | BINOM SECURITIZATION TRUST 2021-INV1                                            | CUSIP: 05552UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90767 | PA      | $78563.82     | 0.04%             | 2056-06-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2021-INV1                                            | BINOM SECURITIZATION TRUST 2021-INV1                                            | CUSIP: 05552UAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287428 | PA      | $249977.47    | 0.14%             | 2056-06-25      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust 2022-BIG                                          | BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                          | CUSIP: 05551UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $98501.21     | 0.06%             | 2039-02-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| BAT International Finance PLC                                                   | BAT INTERNATIONAL FINANCE PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    460000 | PA      | $424925.00    | 0.24%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BAT International Finance PLC                                                   | BAT INTERNATIONAL FINANCE PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    225000 | PA      | $199054.80    | 0.11%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BFLD 2019-DPLO                                                                  | BFLD 2019-DPLO                                                                  | CUSIP: 054970AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $495873.66    | 0.28%             | 2034-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2021-JACX                            | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                            | CUSIP: 05493LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $173066.82    | 0.10%             | 2038-09-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd                                                     | AVOLON HOLDINGS FUNDING LTD                                                     | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $172250.00    | 0.10%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd                                                     | AVOLON HOLDINGS FUNDING LTD                                                     | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    250000 | PA      | $230312.50    | 0.13%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd                                                     | AVOLON HOLDINGS FUNDING LTD                                                     | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     75000 | PA      | $71812.50     | 0.04%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd                                                     | AVOLON HOLDINGS FUNDING LTD                                                     | CUSIP: 05401AAB7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    325000 | PA      | $321343.75    | 0.18%             | 2023-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377REX8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $312005.89    | 0.18%             | 2024-09-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $314619.14    | 0.18%             | 2026-08-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RDM3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $395448.77    | 0.22%             | 2025-09-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RDL5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $458934.69    | 0.26%             | 2025-09-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RDE1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $253287.16    | 0.14%             | 2025-03-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                                                                    | AUTOZONE INC                                                                    | CUSIP: 053332AY8<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    120000 | PA      | $116052.36    | 0.07%             | 2025-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A3J8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    535000 | PA      | $512463.66    | 0.29%             | 2024-03-08      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A3F6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    435000 | PA      | $401281.41    | 0.23%             | 2025-01-07      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Astrazeneca Finance LLC                                                         | ASTRAZENECA FINANCE LLC                                                         | CUSIP: 04636NAA1<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    320000 | PA      | $285143.04    | 0.16%             | 2026-05-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| ArcelorMittal SA                                                                | ARCELORMITTAL SA                                                                | CUSIP: 03938LBB9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $96969.70     | 0.05%             | 2024-07-16      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                          | ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2021-FL4 LTD                          | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $193316.09    | 0.11%             | 2036-11-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                          | ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2021-FL3 LTD                          | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $258469.61    | 0.15%             | 2034-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC                                       | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                       | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    519750 | PA      | $510700.11    | 0.29%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                                                             | ELEVANCE HEALTH INC                                                             | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     85000 | PA      | $85853.06     | 0.05%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                     | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $115475.88    | 0.06%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-3                                                 | ANGEL OAK MORTGAGE TRUST 2020-3                                                 | CUSIP: 03465LAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28472 | PA      | $25484.74     | 0.01%             | 2065-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-6                                                 | ANGEL OAK MORTGAGE TRUST 2021-6                                                 | CUSIP: 03465JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104157 | PA      | $79554.09     | 0.04%             | 2066-09-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-6                                                 | ANGEL OAK MORTGAGE TRUST 2021-6                                                 | CUSIP: 03465JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111597 | PA      | $87299.63     | 0.05%             | 2066-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-3                                                 | ANGEL OAK MORTGAGE TRUST 2021-3                                                 | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93105 | PA      | $76462.55     | 0.04%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-2                                                 | ANGEL OAK MORTGAGE TRUST 2021-2                                                 | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110033 | PA      | $90313.22     | 0.05%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-1                                                 | ANGEL OAK MORTGAGE TRUST 2021-1                                                 | CUSIP: 03465CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39654 | PA      | $32028.31     | 0.02%             | 2066-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-1                                                 | ANGEL OAK MORTGAGE TRUST 2021-1                                                 | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138790 | PA      | $113307.31    | 0.06%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-5                                                 | ANGEL OAK MORTGAGE TRUST 2020-5                                                 | CUSIP: 03464WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39056 | PA      | $34811.09     | 0.02%             | 2065-05-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Analog Devices Inc                                                              | ANALOG DEVICES INC                                                              | CUSIP: 032654AT2<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69068.30     | 0.04%             | 2024-10-01      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Amphenol Corp                                                                   | AMPHENOL CORP                                                                   | CUSIP: 032095AK7<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    220000 | PA      | $207062.90    | 0.12%             | 2025-03-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| AmerisourceBergen Corp                                                          | AMERISOURCEBERGEN CORP                                                          | CUSIP: 03073EAL9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    455000 | PA      | $444897.64    | 0.25%             | 2024-05-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2020-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1                                 | CUSIP: 03067DAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $391565.82    | 0.22%             | 2025-12-18      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2020-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1                                 | CUSIP: 03067DAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $420921.92    | 0.24%             | 2025-10-20      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Americredit Automobile Receivables Trust 2022-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-1                                 | CUSIP: 03066TAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $383934.43    | 0.22%             | 2028-02-18      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2021-2                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-2                                 | CUSIP: 03066RAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $208411.75    | 0.12%             | 2027-06-18      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2020-3                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3                                 | CUSIP: 03066PAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $108018.55    | 0.06%             | 2026-08-18      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2020-2                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2                                 | CUSIP: 03066EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97900.50     | 0.06%             | 2026-02-18      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2021-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1                                 | CUSIP: 03063FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $102896.15    | 0.06%             | 2026-12-18      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2021-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1                                 | CUSIP: 03063FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $174853.24    | 0.10%             | 2026-10-19      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                                             | AMERICAN TOWER CORP                                                             | CUSIP: 03027XAZ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    170000 | PA      | $160015.39    | 0.09%             | 2025-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| American International Group Inc                                                | AMERICAN INTERNATIONAL GROUP INC                                                | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    220000 | PA      | $206858.08    | 0.12%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Express Co                                                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816CQ0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    445000 | PA      | $420145.86    | 0.24%             | 2025-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| American Airlines 2017-2 Class B Pass Through Trust                             | AMERICAN AIRLINES 2017-2 CLASS B PASS THROUGH TRUST                             | CUSIP: 02377DAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    302487 | PA      | $267701.22    | 0.15%             | 2025-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America Inc                                               | AMCOR FLEXIBLES NORTH AMERICA INC                                               | CUSIP: 02343JAA8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    185000 | PA      | $179621.68    | 0.10%             | 2025-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust                                                         | ALEXANDER FUNDING TRUST                                                         | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $214311.83    | 0.12%             | 2023-11-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                                     | AKER BP ASA                                                                     | CUSIP: 00973RAE3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    360000 | PA      | $340650.00    | 0.19%             | 2025-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                                  | AIR LEASE CORP                                                                  | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    205000 | PA      | $204786.60    | 0.12%             | 2023-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    330000 | PA      | $304675.80    | 0.17%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    400000 | PA      | $397242.40    | 0.22%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    300000 | PA      | $297099.00    | 0.17%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    205000 | PA      | $203708.71    | 0.11%             | 2023-07-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    715000 | PA      | $684479.51    | 0.38%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    510000 | PA      | $473943.00    | 0.27%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42679.04     | 0.02%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust 2020-A                                                    | ARI FLEET LEASE TRUST 2020-A                                                    | CUSIP: 00217TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $472783.65    | 0.27%             | 2028-11-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Aptiv PLC / Aptiv Corp                                                          | APTIV PLC / APTIV CORP                                                          | CUSIP: 00217GAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    205000 | PA      | $192616.98    | 0.11%             | 2025-02-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00205GAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    535000 | PA      | $516113.43    | 0.29%             | 2025-03-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AES Corp/The                                                                    | AES CORP/THE                                                                    | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    190000 | PA      | $179404.27    | 0.10%             | 2025-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** T. ROWE PRICE FIXED INCOME SERIES, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President