# EDGAR Filing Document

**Accession Number:** 0001681576
**File Stem:** 0001099263-26-004458
**Filing Date:** 2026-4
**Character Count:** 624998
**Document Hash:** f7fa0df128b099092f30da99c92cc2ab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-004458.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001099263-26-004458

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Total Return Fund, Inc.
- **CENTRAL INDEX KEY:** 0001681576

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23180
- **FILM NUMBER:** 26899730

**BUSINESS ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

## Series and Classes Contracts Data

### T. Rowe Price Total Return Fund (Series ID: S000055582)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000174964 | T. Rowe Price Total Return Fund                | PTTFX           |
| C000174965 | T. Rowe Price Total Return Fund--Advisor Class | PTATX           |
| C000174966 | T. Rowe Price Total Return Fund--I Class       | PTKIX           |

## 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 TOTAL RETURN FUND, INC.

- **b. Investment Company Act file number:** 811-23180

- **c. CIK number of Registrant:** 0001681576

- **d. LEI of Registrant:** 54930030REW0J45PM043

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

  - **Street Address 1:** 1307 Point Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

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

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

- **a. Name of Series:** T. Rowe Price Total Return Fund

- **b. EDGAR series identifier (if any):** S000055582

- **c. LEI of Series:** 549300ZQ4TOEETMBQY79

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

- **a. Date of fiscal year-end:** 2026-05-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $696824102.76

**Total Liabilities:** $57120865.57

**Net Assets:** $639703237.19

**Delayed Delivery Securities:** $64970.75

**Stand-by Commitments:** $43321164.62

**Cash Not Reported:** $678556.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -411.124737 | **1-Year:** -20068.996123 | **5-Year:** -91230.196303 | **10-Year:** -59346.102576 | **30-Year:** -14700.229739

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

- **3-Month:** -252.356618 | **1-Year:** -4085.018057 | **5-Year:** -11392.957679 | **10-Year:** -8376.059826 | **30-Year:** -5420.151685

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000174964 | -0.02%               | 0.30%                | 1.41%                |
| Class ID C000174965 | -0.04%               | 0.27%                | 1.51%                |
| Class ID C000174966 | 0.00%                | 0.31%                | 1.54%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $417327.43               | $-2712303.55                               |
| Month 2  | $-207464.66              | $-310302.22                                |
| Month 3  | $184578.48               | $6600850.07                                |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Agg Total Return Value Unhedged USD (Returns)

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                             | Title                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BJH6 10YR MINI JGB FUT MAR26                     | 10YR MINI JGB FUT MAR26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |          1 | NC      | $-152.01      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BJH6 10YR MINI JGB FUT MAR26                     | 10YR MINI JGB FUT MAR26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |         19 | NC      | $-2888.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BJH6 10YR MINI JGB FUT MAR26                     | 10YR MINI JGB FUT MAR26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |          3 | NC      | $-456.02      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| 1261229 BC LTD 144A                              | 1261229 BC LTD                                                                | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     530000 | PA      | $550583.19    | 0.09%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH TL B 1L BANKDEBT                   | 1261229 BC LTD                                                                | CUSIP: 91911K9L8<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     532325 | PA      | $517835.11    | 0.08%             | 2030-10-08      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE TL B 1L BANKDEBT                      | AADVANTAGE LOYALTY IP                                                         | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |     428857 | PA      | $427935.30    | 0.07%             | 2028-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | ABBVIE INC                                                                    | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     605000 | PA      | $594064.00    | 0.09%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ACRISURE INC SER A-2 CVT PFD STK PP              | ACRISURE INC SEC A-2 CVT PFD STK PP                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      20764 | NS      | $499997.12    | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ACRISURE LLC TL B 1L BANKDEBT                    | ACRISURE LLC                                                                  | CUSIP: 00488PAX3<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |     263675 | PA      | $255545.90    | 0.04%             | 2032-06-21      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                          | ADVANCE AUTO PARTS INC                                                        | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     345000 | PA      | $353518.63    | 0.06%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                          | ADVANCE AUTO PARTS INC                                                        | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     165000 | PA      | $169168.60    | 0.03%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AES ANDES SA 144A                                | AES ANDES SA                                                                  | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     428000 | PA      | $446037.88    | 0.07%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                     | AES CORP/THE                                                                  | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1015000 | PA      | $1057998.87   | 0.17%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AETHON III SR 2L PP                              | AETHON III SR 2L PP                                                           | CUSIP: 000000000<br>LEI: 5493003Y9J3720W2G906 | Long             | DBT              | CORP              | US        |     390000 | PA      | $387075.00    | 0.06%             | 2027-01-10      | Variable      | 10.08%                | Yes           |                  3 | On Loan: No      |
| AFRMT 2025-2A B 144A                             | AFFIRM MASTER TRUST                                                           | CUSIP: 00833BAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     590000 | PA      | $594391.43    | 0.09%             | 2033-07-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-2A A 144A                             | AFFIRM MASTER TRUST                                                           | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     560000 | PA      | $563940.78    | 0.09%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AGGREKO TL B 1L BANKDEBT                         | AGGREKO HOLDINGS INC                                                          | CUSIP: 01330EAD0<br>LEI: 213800VFJ5CIN2NUQ821 | Long             | LON              | CORP              | US        |     346820 | PA      | $346605.06    | 0.05%             | 2031-05-21      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| AH PARENT,INC. SER A PREFERRED SHARES PP         | AH PARENT,INC. SER A PREFERRED SHARES PP                                      | CUSIP: TC3I9NQ04<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       1310 | NS      | $1259434.00   | 0.20%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ALBION FINANCING 1SARL 144A                      | ALBION FINANCING 1 SARL / AGGREKO HOLDINGS INC                                | CUSIP: 01330AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     200000 | PA      | $209327.96    | 0.03%             | 2030-05-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALDAR PROPERTIES PJSC                            | ALDAR PROPERTIES PJSC                                                         | CUSIP: YS4097384<br>LEI: 98450048CD8AEF13B480 | Long             | DBT              | CORP              | AE        |     640000 | PA      | $665644.73    | 0.10%             | 2055-04-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| ALERA GROUP INC TL B 1L USD BANKDEBT             | ALERA GROUP INC                                                               | CUSIP: 01451PAE6<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |     174562 | PA      | $165809.94    | 0.03%             | 2032-05-30      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ALERA TL B 2L BANKDEBT                           | ALERA GROUP INC                                                               | CUSIP: 01451PAD8<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |    1030000 | PA      | $1007473.90   | 0.16%             | 2033-05-30      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                         | ALEXANDRIA REAL ESTATE EQUITIES INC                                           | CUSIP: 015271BE8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     195000 | PA      | $200238.81    | 0.03%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                         | ALEXANDRIA REAL ESTATE EQUITIES INC                                           | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     155000 | PA      | $155807.45    | 0.02%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                         | ALEXANDRIA REAL ESTATE EQUITIES INC                                           | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     127000 | PA      | $109006.62    | 0.02%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDI TL B 1L USD BANKDEBT  | ALLIANT HOLDINGS INTERMEDI                                                    | CUSIP: 01881UAN5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |     781862 | PA      | $762854.96    | 0.12%             | 2031-09-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-A C 144A                              | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                              | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     108305 | PA      | $110238.36    | 0.02%             | 2032-05-17      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-B C 144A                              | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                              | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     133224 | PA      | $134537.39    | 0.02%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-B A2 144A                             | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                              | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     133224 | PA      | $134505.75    | 0.02%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC 144A                        | ALPHA GENERATION LLC                                                          | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |     290000 | PA      | $301585.94    | 0.05%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                     | ALPHABET INC                                                                  | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     315000 | PA      | $322128.29    | 0.05%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA 144A                            | ALTICE FRANCE SA                                                              | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     152439 | PA      | $146345.59    | 0.02%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | AMERICAN TOWER CORP                                                           | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     230000 | PA      | $232306.01    | 0.04%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMCAR 2023-1 C                                   | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1                               | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     430000 | PA      | $437621.19    | 0.07%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AXIS 2022-1A D 144A                              | AMUR EQUIPMENT FINANCE RECEIVABLES X LLC                                      | CUSIP: 03236VAE1<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |    2520000 | PA      | $2510496.83   | 0.39%             | 2028-08-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| AXIS 2024-1A B 144A                              | AMUR EQUIPMENT FINANCE RECEIVABLES XIII LLC                                   | CUSIP: 03237CAC6<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |     835000 | PA      | $852508.95    | 0.13%             | 2031-01-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| AOMT 2022-6 A1 144A                              | ANGEL OAK MORTGAGE TRUST 2022-6                                               | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1387311 | PA      | $1381675.03   | 0.22%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| AOMT 2025-3 A1 144A                              | ANGEL OAK MORTGAGE TRUST 2025-3                                               | CUSIP: 03466RAA9<br>LEI: 254900U85BAJNPG0MG65 | Long             | ABS-MBS          | CORP              | US        |     140222 | PA      | $141379.26    | 0.02%             | 2070-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| AP GRANGE HOLDINGS PP                            | AP GRANGE HOLDINGS PP                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $735000.00    | 0.11%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| APID 2021-37A B 144A                             | APIDOS CLO XXXVII                                                             | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |     525000 | PA      | $525989.10    | 0.08%             | 2034-10-22      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL 2L BANKDEBT               | APPLIED SYSTEMS INC                                                           | CUSIP: 03827FBC4<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |    1261052 | PA      | $1240559.61   | 0.19%             | 2032-02-23      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL B2 1L USD BANKDEBT        | APPLIED SYSTEMS INC                                                           | CUSIP: 03827FBD2<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |     927843 | PA      | $907996.47    | 0.14%             | 2031-02-24      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                        | APTIV SWISS HOLDINGS LTD                                                      | CUSIP: 03835VAJ5<br>LEI: 254900HTTDFIJZ32GX53 | Long             | DBT              | CORP              | JE        |     985000 | PA      | $641830.48    | 0.10%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORP CVT 6.750000  B             | ARES MANAGEMENT CORP                                                          | CUSIP: 03990B309<br>LEI: 529900JUV61FH7B8VW38 | Long             | EP               | CORP              | US        |       3117 | NS      | $117199.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES STRATEGIC INCOME FU 144A                    | ARES STRATEGIC INCOME FUND                                                    | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     175000 | PA      | $174950.08    | 0.03%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                            | ARGENTINE REPUBLIC GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1440000 | PA      | $1085734.65   | 0.17%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                            | ARGENTINE REPUBLIC GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     745500 | PA      | $658562.81    | 0.10%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ARSENAL AIC PARENT LLC 144A                      | ARSENAL AIC PARENT LLC                                                        | CUSIP: 04288BAC4<br>LEI: 254900G9F9HA5EP57J39 | Long             | DBT              | CORP              | US        |     240000 | PA      | $264606.72    | 0.04%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| ARSENAL AIC PARENT LLC TL B 1L USD BANKDEBT      | ARSENAL AIC PARENT LLC                                                        | CUSIP: 04287KAG6<br>LEI: 254900G9F9HA5EP57J39 | Long             | LON              | CORP              | US        |     196835 | PA      | $196835.13    | 0.03%             | 2030-08-18      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HLDG LTD                         | ASPEN INSURANCE HOLDINGS LTD                                                  | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |     305000 | PA      | $320891.20    | 0.05%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASURION TL B4 2L BANKDEBT                        | ASURION LLC                                                                   | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     333000 | PA      | $332793.60    | 0.05%             | 2029-01-20      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| ASURION LLC TL B13 1L BANKDEBT                   | ASURION LLC                                                                   | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     174125 | PA      | $173559.09    | 0.03%             | 2030-09-19      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO 144A                      | ASURION LLC AND ASURION CO-ISSUER INC                                         | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $631234.84    | 0.10%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO 144A                      | ASURION LLC AND ASURION CO-ISSUER INC                                         | CUSIP: 045941AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     521000 | PA      | $517916.08    | 0.08%             | 2034-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T INC                                                                      | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     395000 | PA      | $397413.67    | 0.06%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH TL B 1L BANKDEBT                    | ATHENAHEALTH GROUP INC                                                        | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |     404424 | PA      | $393302.53    | 0.06%             | 2029-02-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| MINERVA MERGER SUB INC 144A                      | ATHENAHEALTH GROUP INC                                                        | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |     270000 | PA      | $253856.48    | 0.04%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND 144A                        | ATLAS WAREHOUSE LENDING CO LP                                                 | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |     250000 | PA      | $250482.43    | 0.04%             | 2030-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | AUD/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | AU        |          1 | NC      | $32.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | AUD/USD FWD 20260424 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | AU        |          1 | NC      | $-131707.55   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTL INC                       | AUD/USD FWD 20260424 NOMAGB2L                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | N/A              | DFE              | CORP              | AU        |          1 | NC      | $-48288.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | AUD/USD FWD 20260424 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | AU        |          1 | NC      | $317138.58    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOKINITON TL B 1L BANKDEBT                     | AUTOKINITON US HOLDINGS                                                       | CUSIP: 05278HAC0<br>LEI: 254900EHNKMJ1OSEZL85 | Long             | LON              | CORP              | US        |     544333 | PA      | $541905.22    | 0.08%             | 2028-04-06      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A3 144A                             | AUXILIOR TERM FUNDING 2024-1 LLC                                              | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     410000 | PA      | $416545.69    | 0.07%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| AVALARA TL B 1L BANKDEBT                         | AVALARA INC                                                                   | CUSIP: 05338KAD9<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |     642365 | PA      | $594875.39    | 0.09%             | 2032-03-26      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE 144A                     | AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE INC                          | CUSIP: 053773BJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $192133.26    | 0.03%             | 2030-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| AESOP 2025-3A B 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                      | CUSIP: 05377RKX1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     195000 | PA      | $195873.70    | 0.03%             | 2030-02-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| AESOP 2023-2A D 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                      | CUSIP: 05377RKG8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     245000 | PA      | $246890.10    | 0.04%             | 2027-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AESOP 2023-3A D 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                      | CUSIP: 05377RKH6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     140000 | PA      | $141886.50    | 0.02%             | 2028-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AESOP 2022-5A C 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                      | CUSIP: 05377RFX7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      40000 | PA      | $40071.49     | 0.01%             | 2027-04-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| AESOP 2024-3A B 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                      | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     410000 | PA      | $425704.27    | 0.07%             | 2030-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| AESOP 2023-2A C 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                      | CUSIP: 05377RGN8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100578.32    | 0.02%             | 2027-10-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| AXIAN TELE HOLD 144A                             | AXIAN TELECOM HOLDING & MANAGEMENT PLC                                        | CUSIP: 05465QAA7<br>LEI: 984500B7DCD97EB04857 | Long             | DBT              | CORP              | AE        |     320000 | PA      | $325206.15    | 0.05%             | 2030-07-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC 144A                         | AXON ENTERPRISE INC                                                           | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     295000 | PA      | $306019.23    | 0.05%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC 144A                         | AXON ENTERPRISE INC                                                           | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155060.11    | 0.02%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BCC 2022-3A BR 144A                              | BAIN CAPITAL CREDIT CLO 2022-3 LTD                                            | CUSIP: 05684NAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     915000 | PA      | $916584.78    | 0.14%             | 2035-07-17      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN21 D 144A                            | BANK 2019-BNK21                                                               | CUSIP: 06540BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1036000 | PA      | $780506.86    | 0.12%             | 2052-10-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | BANK OF AMERICA CORP                                                          | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     614000 | PA      | $643492.11    | 0.10%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | BANK OF AMERICA CORP                                                          | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     935000 | PA      | $970300.70    | 0.15%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | BANK OF AMERICA CORP                                                          | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     685000 | PA      | $717538.85    | 0.11%             | 2036-05-09      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| BARBADOS 144A                                    | BARBADOS GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 067070AK8<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |     200000 | PA      | $214711.32    | 0.03%             | 2035-06-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | BARCLAYS PLC                                                                  | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $209451.77    | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | BARCLAYS PLC                                                                  | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     625000 | PA      | $648583.59    | 0.10%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BABSN 2021-3A B1R 144A                           | BARINGS CLO LTD 2021-III                                                      | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |    1330000 | PA      | $1330969.57   | 0.21%             | 2035-01-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT CAPITAL CORP                                                              | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     470000 | PA      | $493419.16    | 0.08%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BATLN 2018-12A CRR 144A                          | BATTALION CLO XII LTD                                                         | CUSIP: 07133RBA2<br>LEI: 549300JIE0P78OIZGS60 | Long             | ABS-CBDO         | CORP              | KY        |     660000 | PA      | $659570.34    | 0.10%             | 2031-05-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BATLN 2020-15A CR 144A                           | BATTALION CLO XV LTD                                                          | CUSIP: 07131AAT1<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |     635000 | PA      | $634768.86    | 0.10%             | 2033-01-17      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP TL B 1L BANKDEBT              | BAUSCH + LOMB CORP                                                            | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |     778427 | PA      | $778037.83    | 0.12%             | 2031-01-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC 144A                        | BAYER US FINANCE LLC                                                          | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     390000 | PA      | $419759.07    | 0.07%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCING TRUST 2024-2F A PP             | BAYVIEW FINANCING TRUST 2024-2F A                                             | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     282622 | PA      | $283385.45    | 0.04%             | 2029-11-01      | Variable      | 6.43%                 | Yes           |                  3 | On Loan: No      |
| BVINV 2021-6 A5 144A                             | BAYVIEW OPPORTUNITY MASTER FUND VI TRUST 2021-INV6                            | CUSIP: 07335UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534615 | PA      | $487324.54    | 0.08%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BVCLN 2024-CAR1 C 144A                           | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                             | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |      87450 | PA      | $87775.79     | 0.01%             | 2031-12-26      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BVCLN 2024-CAR1 B 144A                           | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                             | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     152164 | PA      | $152770.25    | 0.02%             | 2031-12-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY D 144A                           | BBCMS 2019-BWAY MORTGAGE TRUST                                                | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365000 | PA      | $4577.10      | 0.00%             | 2034-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| ENVESTNET TL B 1L USD BANKDEBT                   | BCPE PEQUOD BUYER INC                                                         | CUSIP: 05624AAB8<br>LEI: 254900HEEOS2IWC84V94 | Long             | LON              | CORP              | US        |     318402 | PA      | $307458.52    | 0.05%             | 2031-11-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC 144A                        | BEIGNET INVESTOR LLC                                                          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     910000 | PA      | $966385.20    | 0.15%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BSP 2021-23A B1R 144A                            | BENEFIT STREET PARTNERS CLO XXIII LTD                                         | CUSIP: 08186VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250236.75    | 0.04%             | 2034-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND 144A                         | BENIN GOVERNMENT INTERNATIONAL BOND                                           | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |     330000 | PA      | $347397.26    | 0.05%             | 2038-02-13      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| BFLD 2025-5MW C 144A                             | BFLD COMMERCIAL MORTGAGE TRUST 2025-5MW                                       | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265000 | PA      | $270564.07    | 0.04%             | 2042-10-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BINOM 2022-INV1 A3 144A                          | BINOM SECURITIZATION TRUST 2022-INV1                                          | CUSIP: 090975AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360797 | PA      | $355190.42    | 0.06%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                             | CUSIP: ZR4791987<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     655000 | PA      | $748121.76    | 0.12%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LEND                          | BLACKSTONE SECURED LENDING FUND                                               | CUSIP: 09261XAM4<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198566.35    | 0.03%             | 2029-09-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BLUE OWL GP STAKES IV TL PP                      | BLUE OWL GP STAKES IV TL PP 4.8800 20281030                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     530000 | PA      | $530000.00    | 0.08%             | 2028-10-30      | Fixed         | 4.88%                 | Yes           |                  3 | On Loan: No      |
| BOEING CO/THE CVT 6.000000                       | BOEING CO/THE                                                                 | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |       2848 | NS      | $207704.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                                    | BOEING CO/THE                                                                 | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1514608.65   | 0.24%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | BOEING CO/THE                                                                 | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     204000 | PA      | $151447.88    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BON SECOURS MERCY                                | BON SECOURS MERCY HEALTH INC                                                  | CUSIP: 09778PAA3<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |     230000 | PA      | $226245.64    | 0.04%             | 2030-06-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY 144A                          | BOSTON GAS CO                                                                 | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     365000 | PA      | $374595.16    | 0.06%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                         | BRAZIL NOTAS DO TESOURO NACIONAL SERIE F                                      | CUSIP: BT2749815<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   18950000 | PA      | $3175965.29   | 0.50%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BRAZIL                                           | BRAZILIAN GOVERNMENT INTERNATIONAL BOND                                       | CUSIP: 105756CN8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     995000 | PA      | $1010938.33   | 0.16%             | 2056-01-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BREAKWATER ENRGY HOLD 144A                       | BREAKWATER ENERGY HOLDINGS SARL                                               | CUSIP: 10637BAA3<br>LEI: 984500969HAFA937F390 | Long             | DBT              | CORP              | LU        |     250000 | PA      | $265514.11    | 0.04%             | 2030-11-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                           | BRIXMOR OPERATING PARTNERSHIP LP                                              | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100859.24    | 0.02%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                           | BRIXMOR OPERATING PARTNERSHIP LP                                              | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     145000 | PA      | $149782.15    | 0.02%             | 2032-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | BRL/USD FWD 20260303 BARCGB5G                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $28656.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                      | BRL/USD FWD 20260303 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $-95696.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | BRL/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $2202.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | BRL/USD FWD 20260303 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $11445.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | BRL/USD FWD 20260303 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $-58387.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | BRL/USD FWD 20260303 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $45880.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | BRL/USD FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $3602.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | BRL/USD FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | BR        |          1 | NC      | $-17.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSREP 2021-DC C 144A                             | BSREP 2021-DC C                                                               | CUSIP: 05591UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     778838 | PA      | $693165.65    | 0.11%             | 2038-08-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BX 2024-GPA3 B 144A                              | BX COMMERCIAL MORTGAGE TRUST 2024-GPA3                                        | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443031 | PA      | $443307.55    | 0.07%             | 2039-12-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX 2024-MDHS B 144A                              | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                        | CUSIP: 12433BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     595000 | PA      | $595743.75    | 0.09%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BX 2024-MDHS A 144A                              | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                        | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     563189 | PA      | $563541.10    | 0.09%             | 2041-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX 2026-CSMO C 144A                              | BX COMMERCIAL MORTGAGE TRUST 2026-CSMO                                        | CUSIP: 12433LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $230575.00    | 0.04%             | 2042-02-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BX 2025-TAIL A 144A                              | BX TRUST 2025-TAIL                                                            | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225000 | PA      | $225000.00    | 0.04%             | 2035-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX 2025-VOLT A 144A                              | BX TRUST 2025-VOLT                                                            | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     745000 | PA      | $745698.44    | 0.12%             | 2044-12-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX 2025-VOLT B 144A                              | BX TRUST 2025-VOLT                                                            | CUSIP: 05619PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     555000 | PA      | $556038.24    | 0.09%             | 2044-12-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC CB 0.00% 3/26                      | CABLE ONE INC                                                                 | CUSIP: 12685JAE5<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |     205000 | PA      | $203790.04    | 0.03%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC CB 1.125% 03/28                    | CABLE ONE INC                                                                 | CUSIP: 12685JAG0<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |     220000 | PA      | $171166.12    | 0.03%             | 2028-03-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CAD/USD FWD 20260302 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CA        |          1 | NC      | $203.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CAD/USD FWD 20260401 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CA        |          1 | NC      | $-219.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT TL B 1L BANKDEBT           | CAESARS ENTERTAIN INC                                                         | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |     182378 | PA      | $180462.89    | 0.03%             | 2031-02-06      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                                | CAIXABANK SA                                                                  | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $643985.49    | 0.10%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CNM6 CAN 10YR BOND FUT JUN26                     | CAN 10YR BOND FUT JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |        -14 | NC      | $-4434.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| XQM6 CAN 5YR BOND FUT  JUN26                     | CAN 5YR BOND FUT  JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |        -29 | NC      | $-5571.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CARMX 2022-2 C                                   | CARMAX AUTO OWNER TRUST 2022-2                                                | CUSIP: 14317HAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1605000 | PA      | $1604955.54   | 0.25%             | 2027-12-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| CARMX 2023-3 C                                   | CARMAX AUTO OWNER TRUST 2023-3                                                | CUSIP: 14319BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     480000 | PA      | $489345.89    | 0.08%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-1 C                                   | CARMAX AUTO OWNER TRUST 2024-1                                                | CUSIP: 14318WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     515000 | PA      | $527444.15    | 0.08%             | 2029-08-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-2 D                                   | CARMAX AUTO OWNER TRUST 2024-2                                                | CUSIP: 14319EAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1190000 | PA      | $1236320.16   | 0.19%             | 2030-10-15      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-3 D                                   | CARMAX AUTO OWNER TRUST 2024-3                                                | CUSIP: 14319GAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     215000 | PA      | $220996.84    | 0.03%             | 2031-01-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CMXS 2024-A C                                    | CARMAX SELECT RECEIVABLES TRUST 2024-A                                        | CUSIP: 14319FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     970000 | PA      | $995698.50    | 0.16%             | 2030-01-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| CMXS 2024-A B                                    | CARMAX SELECT RECEIVABLES TRUST 2024-A                                        | CUSIP: 14319FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     230000 | PA      | $233921.04    | 0.04%             | 2030-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-P1 D                                  | CARVANA AUTO RECEIVABLES TRUST 2021-P1                                        | CUSIP: 14687BAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     525000 | PA      | $524461.14    | 0.08%             | 2027-12-10      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| CRVNA 2022-N1 D 144A                             | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                        | CUSIP: 14686GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     322833 | PA      | $320888.36    | 0.05%             | 2028-12-11      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CRVNA 2022-P1 C                                  | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                        | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1210000 | PA      | $1197769.68   | 0.19%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N1 B 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                        | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330000 | PA      | $332954.49    | 0.05%             | 2030-05-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N1 C 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                        | CUSIP: 14687QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     865000 | PA      | $884377.82    | 0.14%             | 2030-05-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N2 B 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                        | CUSIP: 14687VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     350000 | PA      | $353738.60    | 0.06%             | 2030-09-10      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N2 C 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                        | CUSIP: 14687VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450000 | PA      | $459647.19    | 0.07%             | 2030-09-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P3 B                                  | CARVANA AUTO RECEIVABLES TRUST 2025-P3                                        | CUSIP: 14688AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     125000 | PA      | $126646.41    | 0.02%             | 2031-10-10      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CARVANA CO 144A                                  | CARVANA CO                                                                    | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     416304 | PA      | $456319.20    | 0.07%             | 2031-06-01      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CARVANA CO CDS 12/20/2030                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $995.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CARVANA CO PAY 12/20/2030                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $995.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                      | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                  | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     210000 | PA      | $187602.99    | 0.03%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                      | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                  | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $257961.94    | 0.04%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP 144A                      | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                  | CUSIP: 1248EPCU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     260000 | PA      | $265870.81    | 0.04%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 A5                                   | CD 2017-CD6 MORTGAGE TRUST                                                    | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515000 | PA      | $509365.90    | 0.08%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BARCLAYS                                         | CDX HY S45 V2 PAY 102 4/15/2026 BARC                                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-84117.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                         | CDX HY S45 V2 PAY 107 4/15/2026 BARC                                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |          1 | NC      | $396320.94    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CDX IG CDST S45 5Y 15-100 12/20/2030                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $1447845.95   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CDX IG CDST S45 5Y 15-100 12/20/2030                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $1504542.18   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | CELANESE US HOLDINGS LLC                                                      | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     305000 | PA      | $321304.49    | 0.05%             | 2032-07-15      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                            | CELLNEX FINANCE CO SA                                                         | CUSIP: BN9906411<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $429091.28    | 0.07%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENT 2025-CITY A 144A                            | CENT 2025-CITY                                                                | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     755000 | PA      | $773822.60    | 0.12%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | CENTENE CORP                                                                  | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1397000 | PA      | $1362821.82   | 0.21%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CFE FIBRA E 144A                                 | CFE FIBRA E                                                                   | CUSIP: 125276AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     198334 | PA      | $197961.02    | 0.03%             | 2040-09-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER NEXT GENERATION TL B 1L USD BANKDEBT     | CHARTER NEXT GENERATION                                                       | CUSIP: 16125TAP7<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |     918518 | PA      | $917369.39    | 0.14%             | 2030-11-29      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CACLN 2025-1 B 144A                              | CHASE AUTO CREDIT LINKED NOTES SERIES 2025-1                                  | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     459925 | PA      | $463845.99    | 0.07%             | 2033-02-25      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CHASE 2024-RPL4 A1B 144A                         | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                                   | CUSIP: 16160NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94155 | PA      | $85659.90     | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| CHPRK 2018-1A BR 144A                            | CHENANGO PARK CLO LTD                                                         | CUSIP: 16409TAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1085000 | PA      | $1086394.23   | 0.17%             | 2030-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CHF/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CH        |          1 | NC      | $-46.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX 144A                       | CHILE ELECTRICITY LUX MPC II SARL                                             | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     283476 | PA      | $293464.18    | 0.05%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CHILE                                            | CHILE GOVERNMENT INTERNATIONAL BOND                                           | CUSIP: 168863DS4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    1240000 | PA      | $980107.06    | 0.15%             | 2041-05-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHPE LLC SERIES A SR SECURED NOTE PP             | CHPE LLC SR SECURED NOTE PP                                                   | CUSIP: 000000000<br>LEI: 2549001XI2F7Q85COR50 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200000.00    | 0.03%             | 2035-09-30      | Fixed         | 5.51%                 | Yes           |                  3 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS 144A                    | CHS/COMMUNITY HEALTH SYSTEMS INC                                              | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     311000 | PA      | $337492.48    | 0.05%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                  | CIGNA GROUP/THE                                                               | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     190000 | PA      | $192583.39    | 0.03%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | CITIGROUP INC                                                                 | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     380000 | PA      | $391503.39    | 0.06%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | CITIGROUP INC                                                                 | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     970000 | PA      | $996221.69    | 0.16%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | CITIGROUP INC                                                                 | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     330000 | PA      | $335561.11    | 0.05%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CMLTI 2020-EXP2 A3 144A                          | CITIGROUP MORTGAGE LOAN TRUST INC                                             | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     868247 | PA      | $782978.51    | 0.12%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL TL B 1L BANKDEBT                  | CLARIOS GLOBAL LP                                                             | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |     463838 | PA      | $462292.92    | 0.07%             | 2032-01-28      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN 144A                    | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                     | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $157092.57    | 0.02%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARUS 2024-1A B 144A                            | CLARUS CAPITAL FUNDING 2024-1 LLC                                             | CUSIP: 18271JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     270000 | PA      | $271491.05    | 0.04%             | 2032-08-20      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO 144A                    | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CUSIP: 18453HAH9<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      95000 | PA      | $102557.96    | 0.02%             | 2033-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL WORLDWIDE 144A                     | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CUSIP: 18453HAD8<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     199000 | PA      | $200450.14    | 0.03%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL WORLDWIDE 144A                     | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     205000 | PA      | $206697.44    | 0.03%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR TL B 1L BANKDEBT           | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |     481150 | PA      | $482453.94    | 0.08%             | 2028-08-21      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO 144A                    | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     115000 | PA      | $121492.97    | 0.02%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC               | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |        750 | NS      | $1800.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CLOUD SOFTWARE GRP INC 144A                      | CLOUD SOFTWARE GROUP INC                                                      | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     750000 | PA      | $730875.59    | 0.11%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC 144A                      | CLOUD SOFTWARE GROUP INC                                                      | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     155000 | PA      | $155135.90    | 0.02%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CITRIX TL B 1L BANKDEBT                          | CLOUD SOFTWARE GRP INC                                                        | CUSIP: 88632NBL3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |     188775 | PA      | $174711.26    | 0.03%             | 2032-08-13      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| CITRIX TL B2 1L BANKDEBT                         | CLOUD SOFTWARE GRP INC                                                        | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |     400926 | PA      | $371457.96    | 0.06%             | 2031-03-21      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | CMBX BBB- CDSI S17 12/15/2056                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-246470.53   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | CMBX BBB- CDSI S17 12/15/2056                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-246336.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | CMBX BBB- CDSI S17 12/15/2056                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-246470.53   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CMBX BBB- CDSI S17 12/15/2056                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-123168.40   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CMBX BBB- CDSI S17 12/15/2056                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-246336.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | CMBX BBB- CDSI S17 12/15/2056                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-246336.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CMBX BBB- CDSI S17 12/15/2056                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-332594.80   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CMG MEDIA CORPORATION 144A                       | CMG MEDIA CORP                                                                | CUSIP: 125773AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $439084.25    | 0.07%             | 2029-06-18      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CNH/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CN        |          1 | NC      | $160.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | CNH/USD FWD 20260303 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | CN        |          1 | NC      | $-14771.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COBRA ACQUISITIONCO LLC 144A                     | COBRA ACQUISITIONCO LLC                                                       | CUSIP: 19106CAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $127497.22    | 0.02%             | 2029-11-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| COFINIMMO                                        | COFINIMMO SA                                                                  | CUSIP: BM7559321<br>LEI: 549300TM914CSF6KI389 | Long             | DBT              | CORP              | BE        |     300000 | PA      | $319200.86    | 0.05%             | 2030-12-02      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COGENTRIX TL B 1L BANKDEBT                       | COGENTRIX FINANCE HOLDCO                                                      | CUSIP: 19239LAC0<br>LEI: 254900V51P55ABN4UU67 | Long             | LON              | CORP              | US        |     244470 | PA      | $243782.58    | 0.04%             | 2032-02-26      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CLGIX 2022-1CAN A2 144A                          | COLOGIX CANADIAN ISSUER LP                                                    | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    1460000 | PA      | $1064219.64   | 0.17%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| COLOMBIA                                         | COLOMBIA GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1810000 | PA      | $1886744.74   | 0.29%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COLOMBIA                                         | COLOMBIA GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     330000 | PA      | $330354.61    | 0.05%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| COLOMBIA                                         | COLOMBIA GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     650000 | PA      | $646316.29    | 0.10%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 M1 144A                              | COLT 2021-3 MORTGAGE LOAN TRUST                                               | CUSIP: 19688FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20000 | PA      | $15542.93     | 0.00%             | 2066-09-27      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| COLT 2025-10 A1F 144A                            | COLT 2025-10 MORTGAGE LOAN TRUST                                              | CUSIP: 12675XAD8<br>LEI: 213800STFGFKQEQSRE63 | Long             | ABS-MBS          | CORP              | US        |     406735 | PA      | $407114.98    | 0.06%             | 2070-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC 144A                    | COMISION FEDERAL DE ELECTRICIDAD                                              | CUSIP: 200447AQ3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     720000 | PA      | $728948.48    | 0.11%             | 2034-01-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 AHR                               | COMM 2016-CR28 MORTGAGE TRUST                                                 | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29902 | PA      | $29822.80     | 0.00%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 B                                 | COMM 2016-CR28 MORTGAGE TRUST                                                 | CUSIP: 12593YBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1130000 | PA      | $1107411.30   | 0.17%             | 2049-02-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                              | COMMONSPIRIT HEALTH                                                           | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |      56000 | PA      | $52679.98     | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT CABS SER A                | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3R6<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |      91794 | PA      | $67861.51     | 0.01%             | 2033-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUB IMPT CVI-SUBSER CW NT             | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |    2856679 | PA      | $1949683.74   | 0.30%             | 2043-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3K1<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |      71329 | PA      | $72998.23     | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3L9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |      64116 | PA      | $65161.40     | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3H8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |      77444 | PA      | $82721.51     | 0.01%             | 2029-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3M7<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |      55029 | PA      | $55096.21     | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3N5<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |      74817 | PA      | $72517.00     | 0.01%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                   | CUSIP: 74514L3G0<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |      78721 | PA      | $80553.66     | 0.01%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC 144A                      | COMSTOCK RESOURCES INC                                                        | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     205000 | PA      | $204365.86    | 0.03%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CONE 2024-DFW1 A 144A                            | CONE TRUST 2024-DFW1                                                          | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675000 | PA      | $674818.63    | 0.11%             | 2041-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| INMARSAT TL B 1L BANKDEBT                        | CONNECT FINCO SARL                                                            | CUSIP: 4576399B0<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |     201168 | PA      | $200759.15    | 0.03%             | 2029-09-27      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE 144A                    | CONNECT FINCO SARL / CONNECT US FINCO LLC                                     | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     290000 | PA      | $307667.78    | 0.05%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R01 1M1 144A                            | CONNECTICUT AVENUE SECURITIES SERIES 2025-R01                                 | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209482 | PA      | $209611.09    | 0.03%             | 2045-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R02 1A1 144A                            | CONNECTICUT AVENUE SECURITIES TRUST 2025-R02                                  | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     808621 | PA      | $809375.91    | 0.13%             | 2045-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R06 1M1 144A                            | CONNECTICUT AVENUE SECURITIES TRUST 2025-R06                                  | CUSIP: 20754YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235100 | PA      | $235642.19    | 0.04%             | 2045-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | COP/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CO        |          1 | NC      | $-117.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | COP/USD FWD 20260306 BARCGB5G                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | CO        |          1 | NC      | $-19863.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | COP/USD FWD 20260306 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CO        |          1 | NC      | $57486.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | COP/USD FWD 20260306 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | CO        |          1 | NC      | $-29500.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | COP/USD FWD 20260306 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CO        |          1 | NC      | $-30160.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                     | COP/USD FWD 20260306 WFBIUS6W                                                 | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | CO        |          1 | NC      | $-1277.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CORNERSTONE TL B 1L BANKDEBT                     | CORNERSTONE GENERATION L                                                      | CUSIP: 21924NAB4<br>LEI: 254900JBGAU2N55LVN75 | Long             | LON              | CORP              | US        |     402387 | PA      | $402890.32    | 0.06%             | 2032-08-11      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CORPORACION INMOBILIARIA 144A                    | CORP INMOBILIARIA VESTA SAB DE CV                                             | CUSIP: 21989DAB8<br>LEI: 4469000001BIRIFZJ959 | Long             | DBT              | CORP              | MX        |     340000 | PA      | $342675.90    | 0.05%             | 2033-01-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVERNMENT 144A                       | COSTA RICA GOVERNMENT INTERNATIONAL BOND                                      | CUSIP: 221602AE5<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    1250000 | PA      | $1550850.00   | 0.24%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CPM HOLDINGS TL 1L BANKDEBT                      | CPM HOLDINGS INC                                                              | CUSIP: 12620BAR1<br>LEI: 549300FBUISJCXV8IB65 | Long             | LON              | CORP              | US        |     328150 | PA      | $321432.99    | 0.05%             | 2028-09-28      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE TL B 1L BANKDEBT                | CRC INSURANCE GROUP LLC                                                       | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     205444 | PA      | $201283.32    | 0.03%             | 2031-05-06      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE HOLDING TL 2L BANKDEBT          | CRC INSURANCE GROUP LLC                                                       | CUSIP: 89788VAE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     649737 | PA      | $643778.76    | 0.10%             | 2032-05-06      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE 144A                     | CRESCENT ENERGY FINANCE LLC                                                   | CUSIP: 45344LAJ2<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     195000 | PA      | $209657.05    | 0.03%             | 2030-10-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE 144A                     | CRESCENT ENERGY FINANCE LLC                                                   | CUSIP: 45344LAD5<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     125000 | PA      | $126323.19    | 0.02%             | 2032-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE 144A                     | CRESCENT ENERGY FINANCE LLC                                                   | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     457000 | PA      | $454160.11    | 0.07%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 A1 144A                            | CROSS 2024-H2 MORTGAGE TRUST                                                  | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60503 | PA      | $61086.80     | 0.01%             | 2069-04-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 A1 144A                            | CROSS 2024-H6 MORTGAGE TRUST                                                  | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730309 | PA      | $732940.67    | 0.11%             | 2069-09-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 A1 144A                            | CROSS 2025-H4 MORTGAGE TRUST                                                  | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2358197 | PA      | $2384237.23   | 0.37%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H5 A1B 144A                           | CROSS 2025-H5 MORTGAGE TRUST                                                  | CUSIP: 227920AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395303 | PA      | $398724.95    | 0.06%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| CRNPT 2018-7A AR 144A                            | CROWN POINT CLO 7 LTD                                                         | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      46858 | PA      | $46850.65     | 0.01%             | 2031-10-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 A5                                 | CSAIL 2016-C6 COMMERCIAL MORTGAGE TRUST                                       | CUSIP: 12636MAE8<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |      72398 | PA      | $72190.75     | 0.01%             | 2049-01-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C18 C                                 | CSAIL 2019-C18 COMMERCIAL MORTGAGE TRUST                                      | CUSIP: 12597DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645000 | PA      | $607825.04    | 0.10%             | 2052-12-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC 144A                            | CSC HOLDINGS LLC                                                              | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     200000 | PA      | $142535.17    | 0.02%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC 144A                            | CSC HOLDINGS LLC                                                              | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     200000 | PA      | $158417.21    | 0.02%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| ALTICE TL B5 1L BANKDEBT                         | CSC HOLDINGS LLC                                                              | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     812832 | PA      | $701067.69    | 0.11%             | 2027-04-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC 144A                            | CSC HOLDINGS LLC                                                              | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     230000 | PA      | $194584.75    | 0.03%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS HEALTH CORP                                                               | CUSIP: 126650DV9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     725000 | PA      | $689948.60    | 0.11%             | 2053-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS HEALTH CORP                                                               | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     185000 | PA      | $194595.52    | 0.03%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS HEALTH CORP                                                               | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     837000 | PA      | $872564.46    | 0.14%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CYRUS 2024-2A A2 144A                            | CYRUSONE DATA CENTERS ISSUER I LLC                                            | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1275000 | PA      | $1259375.26   | 0.20%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CZK/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CZ        |          1 | NC      | $-21.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEFT 2024-1 D 144A                               | DELL EQUIPMENT FINANCE TRUST 2024-1                                           | CUSIP: 24702GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     175000 | PA      | $177243.73    | 0.03%             | 2030-09-23      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 D 144A                               | DELL EQUIPMENT FINANCE TRUST 2024-2                                           | CUSIP: 24704EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     210000 | PA      | $211895.25    | 0.03%             | 2031-02-24      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 B 144A                               | DELL EQUIPMENT FINANCE TRUST 2024-2                                           | CUSIP: 24704EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100964.66    | 0.02%             | 2030-08-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FORMULA ONE TL B1 1L BANKDEBT                    | DELTA 2 LUX SARL                                                              | CUSIP: 3469959L9<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |     200000 | PA      | $200150.00    | 0.03%             | 2031-09-10      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| INFOBLOX TL 2L BANKDEBT                          | DELTA TOPCO INC                                                               | CUSIP: 24780DAH0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     524352 | PA      | $446354.60    | 0.07%             | 2030-11-29      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | DIAMONDBACK ENERGY INC                                                        | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     653000 | PA      | $679082.21    | 0.11%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | DIAMONDBACK ENERGY INC                                                        | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1013000 | PA      | $988216.11    | 0.15%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV TL B 1L BANKDEBT                         | DIRECTV FINANCING LLC                                                         | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     164989 | PA      | $164708.99    | 0.03%             | 2031-02-17      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC 144A                       | DIRECTV FINANCING LLC                                                         | CUSIP: 25461LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     105000 | PA      | $105079.37    | 0.02%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC 144A                       | DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                      | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $235247.24    | 0.04%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| DUCK CREEK TL B 1L BANKDEBT                      | DISCO PARENT INC                                                              | CUSIP: 25461GAB9<br>LEI: 2549003DLSZ9JWHH1Q80 | Long             | LON              | CORP              | US        |     204488 | PA      | $198864.09    | 0.03%             | 2032-08-06      | Floating      | 6.67%                 | No            |                  3 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | DISCOVERY GLOBAL HOLDINGS INC                                                 | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     240000 | PA      | $168627.19    | 0.03%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP 144A                               | DISH DBS CORP                                                                 | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     170000 | PA      | $164650.88    | 0.03%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                    | DISH DBS CORP                                                                 | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $222418.20    | 0.03%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP 144A                               | DISH DBS CORP                                                                 | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     350000 | PA      | $340076.36    | 0.05%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1A A4 144A                            | DLLST 2024-1 LLC                                                              | CUSIP: 23346HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     215000 | PA      | $216931.45    | 0.03%             | 2030-04-22      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DRIVE 2025-2 B                                   | DRIVE AUTO RECEIVABLES TRUST 2025-2                                           | CUSIP: 262103AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     270000 | PA      | $270768.77    | 0.04%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| DRSLF 2021-93A BR 144A                           | DRYDEN 93 CLO LTD                                                             | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1102720.30   | 0.17%             | 2038-01-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| DYE & DURHAM CORP TL B 1L BANKDEBT               | DYE & DURHAM CORP                                                             | CUSIP: 000000000<br>LEI: 549300XUQDPIC5QRY347 | Long             | LON              | CORP              | CA        |     109787 | PA      | $97344.90     | 0.02%             | 2031-04-11      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| DYE & DURHAM LIMITED 144A                        | DYE & DURHAM LTD                                                              | CUSIP: 267486AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     225000 | PA      | $187493.65    | 0.03%             | 2029-04-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: —       |
| EAGLE FUNDING LUXCO SARL 144A                    | EAGLE FUNDING LUXCO SARL                                                      | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     690000 | PA      | $703800.61    | 0.11%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                    | ECHOSTAR CORP                                                                 | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     780000 | PA      | $851883.22    | 0.13%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR 144A                         | ECUADOR GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: 27927WAQ5<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     540000 | PA      | $545042.01    | 0.09%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| EFMT 2023-1 A2 144A                              | EFMT 2023-1                                                                   | CUSIP: 26844QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302500 | PA      | $301557.92    | 0.05%             | 2068-02-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-INV2 A2 144A                           | EFMT 2024-INV2                                                                | CUSIP: 26844LAB4<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |     425431 | PA      | $427195.86    | 0.07%             | 2069-10-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1 A1 144A                           | EFMT 2025-INV1                                                                | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |     281402 | PA      | $285002.87    | 0.04%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2 A1 144A                           | EFMT 2025-INV2                                                                | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |     304533 | PA      | $307409.90    | 0.05%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV4 A1F 144A                          | EFMT 2025-INV4                                                                | CUSIP: 26846DAD6<br>LEI: 254900KQZEY4W9F3MX66 | Long             | ABS-MBS          | CORP              | US        |     192468 | PA      | $192668.49    | 0.03%             | 2070-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM3 A1 144A                           | EFMT 2025-NQM3                                                                | CUSIP: 26846YAC2<br>LEI: 2549007I2BIJP4S0O647 | Long             | ABS-MBS          | CORP              | US        |    1459518 | PA      | $1475579.71   | 0.23%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM6 A1 144A                           | EFMT 2025-NQM6                                                                | CUSIP: 281916AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176819 | PA      | $177825.59    | 0.03%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| EG GROUP TL B 1L BANKDEBT                        | EG AMERICA LLC                                                                | CUSIP: 28228QAB5<br>LEI: 549300BY1CRYVPEG9R57 | Long             | LON              | CORP              | US        |     377000 | PA      | $376151.75    | 0.06%             | 2031-02-10      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC 144A                       | EG GLOBAL FINANCE PLC                                                         | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |     265000 | PA      | $284918.11    | 0.04%             | 2028-11-30      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | EGP/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | EG        |          1 | NC      | $-52.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | EGP/USD FWD 20260303 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | EG        |          1 | NC      | $-1129.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | EGP/USD FWD 20260303 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | EG        |          1 | NC      | $-2370.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | EGP/USD FWD 20260312 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | EG        |          1 | NC      | $129402.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EHGVT 2023-A C 144A                              | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                         | CUSIP: 28415AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     205441 | PA      | $213590.62    | 0.03%             | 2038-02-25      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A A 144A                              | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                         | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     153273 | PA      | $159236.99    | 0.02%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC TL B 1L BANKDEBT           | ELLUCIAN HOLDINGS INC                                                         | CUSIP: 28917XAB6<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |     220028 | PA      | $212406.44    | 0.03%             | 2029-10-09      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC TL 2L BANKDEBT             | ELLUCIAN HOLDINGS INC                                                         | CUSIP: 83578B9H8<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |    1153297 | PA      | $1107164.67   | 0.17%             | 2032-11-22      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| DURAVANT TL 2L BANKDEBT                          | ENGINEERED MACHINERY HOLDINGS INC                                             | CUSIP: 26658NAQ2<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |     990000 | PA      | $994950.00    | 0.16%             | 2029-05-21      | Floating      | 9.93%                 | No            |                  3 | On Loan: No      |
| EFF 2025-3 A3 144A                               | ENTERPRISE FLEET FINANCING 2025-3 LLC                                         | CUSIP: 29375UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     255000 | PA      | $258688.88    | 0.04%             | 2029-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR TL B 1L BANKDEBT                        | EOC BORROWER LLC                                                              | CUSIP: 26875YAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     268650 | PA      | $267508.24    | 0.04%             | 2032-03-24      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORP TL B 1L BANKDEBT            | EPICOR SOFTWARE CORP                                                          | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |     745662 | PA      | $722151.38    | 0.11%             | 2031-05-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | EUR/USD FWD 20260303 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6438.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OEM6 EURO-BOBL FUTURE  JUN26                     | EURO-BOBL FUTURE  JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -20 | NC      | $-4755.16     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| IKM6 EURO-BTP FUTURE   JUN26                     | EURO-BTP FUTURE   JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |          6 | NC      | $1268.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RXM6 EURO-BUND FUTURE  JUN26                     | EURO-BUND FUTURE  JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -21 | NC      | $-8218.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBM6 EURO-BUXL 30Y BND JUN26                     | EURO-BUXL 30Y BND JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |          2 | NC      | $1320.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OATM6 EURO-OAT FUTURE   JUN26                    | EURO-OAT FUTURE   JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |          9 | NC      | $2541.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DUM6 EURO-SCHATZ FUT   JUN26                     | EURO-SCHATZ FUT   JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -23 | NC      | $-1386.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EW SCRIPPS CO TL B3 1L USD BANKDEBT              | EW SCRIPPS CO                                                                 | CUSIP: 26928BAR0<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |     292038 | PA      | $282692.88    | 0.04%             | 2029-11-30      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS TL B2 1L BANKDEBT                     | EW SCRIPPS CO                                                                 | CUSIP: 26928BAQ2<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |     162324 | PA      | $163541.43    | 0.03%             | 2028-06-30      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS CO 144A                               | EW SCRIPPS CO/THE                                                             | CUSIP: 811054AH8<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |     280000 | PA      | $282954.90    | 0.04%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| EART 2023-1A D                                   | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1                                    | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     120750 | PA      | $122608.13    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| EART 2025-4A C                                   | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                    | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     805000 | PA      | $813340.12    | 0.13%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| EART 2025-4A B                                   | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                    | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     225000 | PA      | $226785.92    | 0.04%             | 2030-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ESART 2025-2 B                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                             | CUSIP: 30185EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     230000 | PA      | $233078.00    | 0.04%             | 2031-11-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ESART 2025-2 C                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                             | CUSIP: 30185EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     475000 | PA      | $482910.08    | 0.08%             | 2031-12-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ESART 2025-3 B                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-3                             | CUSIP: 30185FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     865000 | PA      | $873482.88    | 0.14%             | 2032-03-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| ESART 2025-3 C                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-3                             | CUSIP: 30185FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     830000 | PA      | $846375.65    | 0.13%             | 2032-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ESA 2025-ESH C 144A                              | EXTENDED STAY AMERICA TRUST 2025-ESH                                          | CUSIP: 30227TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $375939.94    | 0.06%             | 2042-10-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNS 319 2                                        | FANNIE MAE INTEREST STRIP                                                     | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $11.47        | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2160000 | PA      | $2169676.80   | 0.34%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F042632<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745000 | PA      | $736688.78    | 0.12%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F030637<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4370000 | PA      | $3953032.08   | 0.62%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F020638<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7790000 | PA      | $6453742.35   | 1.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F022634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6645000 | PA      | $5756895.75   | 0.90%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F032633<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4470000 | PA      | $4213556.10   | 0.66%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F040636<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2520000 | PA      | $2449818.00   | 0.38%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8610000 | PA      | $8831793.60   | 1.38%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA MAR                               | FANNIE MAE OR FREDDIE MAC                                                     | CUSIP: 01F020430<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1435000 | PA      | $1336554.70   | 0.21%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9439 | PA      | $9254.59      | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     741399 | PA      | $618698.72    | 0.10%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        963 | PA      | $990.92       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111463 | PA      | $103020.78    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3009 | PA      | $3203.27      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21461 | PA      | $21069.40     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748046 | PA      | $681665.12    | 0.11%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374578 | PA      | $392713.10    | 0.06%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162553 | PA      | $166896.35    | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31415QP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7737 | PA      | $8062.53      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137309 | PA      | $1000593.28   | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14558 | PA      | $14604.84     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146810 | PA      | $148514.82    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316755 | PA      | $318459.83    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16934 | PA      | $18025.68     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5428 | PA      | $5278.92      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1083760 | PA      | $905535.37    | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31408DT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1632 | PA      | $1654.89      | 0.00%             | 2035-12-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2892 | PA      | $2974.79      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1179168 | PA      | $986499.34    | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7303 | PA      | $7200.01      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1998 | PA      | $2051.80      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1874139 | PA      | $1566591.34   | 0.24%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18648 | PA      | $17877.03     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XQXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278242 | PA      | $286282.58    | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5080 | PA      | $5293.62      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10005 | PA      | $9591.36      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2679407 | PA      | $2231485.13   | 0.35%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6285 | PA      | $6188.81      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EHGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15289 | PA      | $15520.65     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566005 | PA      | $564239.76    | 0.09%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17351 | PA      | $17359.30     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700342 | PA      | $588866.72    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570734 | PA      | $566767.25    | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6023 | PA      | $5829.01      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8484 | PA      | $8840.51      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89545 | PA      | $83514.68     | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3622 | PA      | $3855.92      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286004 | PA      | $239572.36    | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1190574 | PA      | $1046595.53   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3138ETRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26018 | PA      | $25891.85     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $43.59        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     918736 | PA      | $937546.03    | 0.15%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     737313 | PA      | $772019.51    | 0.12%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XMBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2020672 | PA      | $1765142.18   | 0.28%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551707 | PA      | $458086.89    | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416CJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22109 | PA      | $23533.98     | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131449 | PA      | $123226.21    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2613.21      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311245 | PA      | $315053.90    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417F4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9939 | PA      | $9317.93      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32844 | PA      | $28812.77     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4037 | PA      | $4095.33      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2721 | PA      | $2916.44      | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138XMF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123246 | PA      | $122406.09    | 0.02%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188651 | PA      | $1044168.53   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79848 | PA      | $81058.59     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $175.05       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89698 | PA      | $91199.46     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23070 | PA      | $23130.06     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2806 | PA      | $2876.61      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        343 | PA      | $349.20       | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7782 | PA      | $7743.16      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6595 | PA      | $6992.29      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3645 | PA      | $3626.73      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1986433 | PA      | $1973630.66   | 0.31%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418MZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2533 | PA      | $2596.07      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7096 | PA      | $7156.49      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2289 | PA      | $2354.08      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34070 | PA      | $34158.90     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        626 | PA      | $670.94       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13969 | PA      | $14180.81     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2065 | PA      | $2116.86      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112868 | PA      | $112171.14    | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3677 | PA      | $3776.34      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1401948 | PA      | $1452807.97   | 0.23%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1502 | PA      | $1523.61      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31400B5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.76        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7072 | PA      | $7173.15      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                        | FANNIE MAE POOL                                                               | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1448 | PA      | $1527.86      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19298 | PA      | $19591.12     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10607 | PA      | $10937.65     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2948 | PA      | $2835.82      | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XMB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250958 | PA      | $261876.64    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2966 | PA      | $2967.95      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        804 | PA      | $823.25       | 0.00%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        814 | PA      | $866.26       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20602 | PA      | $21930.14     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592369 | PA      | $551665.39    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56561 | PA      | $56589.78     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1160127 | PA      | $1019111.74   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1354 | PA      | $1374.55      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EJXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7817 | PA      | $7820.77      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432155 | PA      | $362821.11    | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31411CNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        551 | PA      | $590.10       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2324.53      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48829 | PA      | $50538.26     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9663 | PA      | $10069.28     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2547 | PA      | $2583.57      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250461 | PA      | $234824.35    | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10929 | PA      | $11344.00     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     814424 | PA      | $801420.35    | 0.13%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327561 | PA      | $337001.10    | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140X6Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60169 | PA      | $59651.92     | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2150 | PA      | $2279.38      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13761 | PA      | $13406.90     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1186355 | PA      | $1076620.60   | 0.17%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410ELD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        625 | PA      | $670.17       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2422 | PA      | $2377.18      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9574 | PA      | $9881.69      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1689747 | PA      | $1766682.72   | 0.28%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19364 | PA      | $19265.85     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890430 | PA      | $746950.88    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6231 | PA      | $6199.80      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1249252 | PA      | $1136350.55   | 0.18%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EMKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20221 | PA      | $20872.08     | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     780759 | PA      | $818260.70    | 0.13%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140QDGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4589 | PA      | $4393.22      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31408GJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $247.68       | 0.00%             | 2035-12-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1516 | PA      | $1556.57      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1759 | PA      | $1856.20      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410GA78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2292 | PA      | $2349.16      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2980 | PA      | $3060.19      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34223 | PA      | $33989.81     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410K3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44594 | PA      | $47469.52     | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5482 | PA      | $5618.93      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410DUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1238 | PA      | $1327.14      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56109 | PA      | $57709.88     | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $231.88       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76012 | PA      | $76895.28     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140Y67K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363565 | PA      | $379989.69    | 0.06%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        593 | PA      | $625.91       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $4693.46      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286195 | PA      | $292935.84    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1111 | PA      | $1178.15      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86659 | PA      | $90638.82     | 0.01%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140XK6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1077290 | PA      | $1027529.56   | 0.16%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58059 | PA      | $56702.87     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1421 | PA      | $1481.07      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9904 | PA      | $9721.81      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418Q3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28711 | PA      | $29801.62     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $390.84       | 0.00%             | 2036-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QBUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113217 | PA      | $114177.57    | 0.02%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44347 | PA      | $45019.98     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2377 | PA      | $2382.22      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40647 | PA      | $39538.68     | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140A94B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1118413 | PA      | $1140003.01   | 0.18%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119322 | PA      | $104010.16    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2298 | PA      | $2286.56      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26822 | PA      | $27545.81     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1735 | PA      | $1760.34      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2288 | PA      | $2384.53      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $394.95       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3138WJVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73205 | PA      | $71184.48     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13959 | PA      | $13704.28     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EQLC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25561 | PA      | $25948.55     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34564 | PA      | $32403.18     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4148 | PA      | $4089.51      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16179 | PA      | $16403.89     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1870957 | PA      | $1564600.73   | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6313 | PA      | $6533.54      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1707 | PA      | $1778.48      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67729 | PA      | $68231.96     | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7273 | PA      | $7168.70      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1410 | PA      | $1469.10      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351278 | PA      | $355998.43    | 0.06%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17394 | PA      | $17575.31     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49202 | PA      | $41325.09     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        802 | PA      | $816.77       | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37264 | PA      | $36577.00     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EG6X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $373.96       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10584 | PA      | $10518.25     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EHPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3294 | PA      | $3341.45      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47571 | PA      | $48292.05     | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10645 | PA      | $10302.78     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22259 | PA      | $22596.83     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1369 | PA      | $1451.27      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2282 | PA      | $2407.73      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7872 | PA      | $7714.55      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10217 | PA      | $10165.42     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99477 | PA      | $87849.46     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $294.15       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XJHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1885245 | PA      | $1850815.69   | 0.29%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138957 | PA      | $139027.27    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7402 | PA      | $7812.60      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355996 | PA      | $298149.86    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $337.87       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1795 | PA      | $1843.35      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     963492 | PA      | $985706.36    | 0.15%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47224 | PA      | $45272.49     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18631 | PA      | $18890.50     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        596 | PA      | $618.74       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        635 | PA      | $659.44       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416BL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24007 | PA      | $25332.81     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12171 | PA      | $12340.57     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18777 | PA      | $19283.82     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4236 | PA      | $4413.77      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        816 | PA      | $849.84       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3255 | PA      | $3342.48      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5787 | PA      | $6160.86      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     447044 | PA      | $426778.06    | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223608 | PA      | $228984.28    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3157 | PA      | $3346.85      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12905 | PA      | $13737.14     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19256 | PA      | $19137.69     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140Y6W48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1171648 | PA      | $1212295.07   | 0.19%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16836 | PA      | $17316.01     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140LVQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732986 | PA      | $684004.98    | 0.11%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6297 | PA      | $6090.26      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17252 | PA      | $16320.52     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499487 | PA      | $452955.73    | 0.07%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        714 | PA      | $718.24       | 0.00%             | 2035-12-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1501 | PA      | $1538.65      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $81.31        | 0.00%             | 2035-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1654 | PA      | $1698.42      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5357 | PA      | $5295.80      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2602 | PA      | $2584.54      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56547 | PA      | $58160.37     | 0.01%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842712 | PA      | $785358.81    | 0.12%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5288 | PA      | $5510.23      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11965 | PA      | $12131.69     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138Y32E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27292 | PA      | $26998.33     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2838 | PA      | $2919.01      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1237028 | PA      | $1180950.74   | 0.18%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134947 | PA      | $126985.18    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9824 | PA      | $9965.06      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418MZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11624 | PA      | $12112.67     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140W3RE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1007580 | PA      | $1050502.76   | 0.16%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        810 | PA      | $830.81       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140Y7S82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146691 | PA      | $150055.76    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1135 | PA      | $1202.88      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4802 | PA      | $5111.26      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1152 | PA      | $1167.87      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     773990 | PA      | $674207.83    | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140W3PV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1170532 | PA      | $1197068.47   | 0.19%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39202 | PA      | $38650.15     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138ELX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9466 | PA      | $9988.62      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7022 | PA      | $7198.12      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11467 | PA      | $11776.16     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140FGMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23522 | PA      | $21907.61     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139825 | PA      | $137271.57    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $339.91       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416BM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15955 | PA      | $16587.36     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        366 | PA      | $380.84       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9009 | PA      | $9145.57      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410GL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1687 | PA      | $1812.43      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34877 | PA      | $36000.19     | 0.01%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.35         | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138ERHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102290 | PA      | $99791.97     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4968 | PA      | $4891.78      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69424 | PA      | $70086.03     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31383JVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $109.85       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307526 | PA      | $281121.83    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4562 | PA      | $4497.34      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11355 | PA      | $11526.97     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1985 | PA      | $2127.55      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12470 | PA      | $12406.66     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157444 | PA      | $137533.86    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140BNZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     674117 | PA      | $687945.91    | 0.11%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3675 | PA      | $3554.37      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11445 | PA      | $11753.29     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328993 | PA      | $277243.22    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140JAMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184696 | PA      | $185962.82    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772127 | PA      | $785930.06    | 0.12%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1218 | PA      | $1240.60      | 0.00%             | 2035-11-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11462 | PA      | $12152.17     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140W3GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322218 | PA      | $329254.12    | 0.05%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552579 | PA      | $484443.12    | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32613 | PA      | $33663.35     | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2036 | PA      | $2064.87      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138AKF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46487 | PA      | $48001.89     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $541.76       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73059 | PA      | $73123.40     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8224 | PA      | $8348.98      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88691 | PA      | $91221.35     | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86362 | PA      | $84670.24     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124151 | PA      | $126034.02    | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31417YTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2435 | PA      | $2422.48      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2370 | PA      | $2429.18      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10726 | PA      | $11177.19     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10093 | PA      | $9662.16      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25038 | PA      | $24215.87     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                               | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2614 | PA      | $2583.92      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1984 | PA      | $2034.16      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42485 | PA      | $41426.42     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     945290 | PA      | $793630.62    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35343 | PA      | $36743.62     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3650 | PA      | $3851.26      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3185 | PA      | $3360.62      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10190 | PA      | $10692.27     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47114 | PA      | $47768.71     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                               | CUSIP: 31408BQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        200 | PA      | $204.51       | 0.00%             | 2035-12-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2917357 | PA      | $2441698.78   | 0.38%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                               | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1739 | PA      | $1815.75      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2023-2 DI                                    | FANNIE MAE REMICS                                                             | CUSIP: 3136BPUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4533517 | PA      | $584403.29    | 0.09%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-75 BI                                   | FANNIE MAE REMICS                                                             | CUSIP: 3136BCJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2867606 | PA      | $365786.81    | 0.06%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-97 AI                                   | FANNIE MAE REMICS                                                             | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2218133 | PA      | $298473.37    | 0.05%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-89 DI                                   | FANNIE MAE REMICS                                                             | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7454464 | PA      | $1209927.72   | 0.19%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FERRARI NV                                       | FERRARI NV                                                                    | CUSIP: YX0724154<br>LEI: 549300RIVY5EX8RCON76 | Long             | DBT              | CORP              | NL        |     275000 | PA      | $334708.49    | 0.05%             | 2030-05-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC APODS 6.7 31 05/19/26 CHAS_C                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2295.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC ARCC 5.1 31 05/19/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-358.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC ARCC 5.8 32 05/19/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $3481.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC ARESSI 5.8 30 05/19/26 CHAS_C                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $4834.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC BCSF 5.95 30 05/19/26 CHAS_C                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $4303.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC BXSL 5.125 31 05/19/26 CHAS_C                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1208.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC CGBD 5.75 31 05/19/26 CHAS_C                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2931.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC GSCRED 5.875 31 05/19/26 CHAS_C                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $3519.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC HLEND 5.45 30 05/19/26 CHAS_C                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $6666.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC HTGC 6 30 05/19/26 CHAS_C                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-693.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OBDC 5.95 29 05/19/26 CHAS_C                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $12761.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OBDC 6.2 30 05/19/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2186.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 5.8 30 05/19/26 CHAS_C                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $9600.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 6.6 29 05/19/26 CHAS_C                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $6399.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 6.65 31 05/19/26 CHAS_C                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $5806.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | FI TRS USD PAY IBXXLLTR 03/20/26/115512102/MSLNGB2XXXX_C                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |          1 | NC      | $75094.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | FI TRS USD PAY IBXXLLTR 12/20/26/119411048/MSLNGB2XXXX_C                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |          1 | NC      | $268561.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FIBRA PROLOGIS 144A                              | FIBRA PROLOGIS                                                                | CUSIP: 31575KAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     260000 | PA      | $263993.54    | 0.04%             | 2035-11-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                              | FIFTH THIRD BANCORP                                                           | CUSIP: 316773DP2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     560000 | PA      | $561072.33    | 0.09%             | 2037-01-29      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FILTRATION GROUP TL B 1L BANKDEBT                | FILTRATION GROUP CORP                                                         | CUSIP: 31732FAX4<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |     565735 | PA      | $566091.27    | 0.09%             | 2028-10-23      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FIRSTENERGY CORP                                                              | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     116000 | PA      | $106525.15    | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FIRSTENERGY CORP                                                              | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     640000 | PA      | $604582.17    | 0.09%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                         | FIRSTENERGY TRANSMISSION LLC                                                  | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     230000 | PA      | $233029.69    | 0.04%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                       | FISERV INC                                                                    | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1655271.03   | 0.26%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II 144A                      | FIVE CORNERS FUNDING TRUST II                                                 | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     301000 | PA      | $285039.62    | 0.04%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FSMT 2017-2 B1 144A                              | FLAGSTAR MORTGAGE TRUST 2017-2                                                | CUSIP: 33850RAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202973 | PA      | $192835.09    | 0.03%             | 2047-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FSMT 2019-1INV A3 144A                           | FLAGSTAR MORTGAGE TRUST 2019-1                                                | CUSIP: 33852AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44919 | PA      | $41606.82     | 0.01%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC 144A                        | FLUTTER TREASURY DAC                                                          | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     655000 | PA      | $673653.85    | 0.11%             | 2029-04-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC 144A                        | FLUTTER TREASURY DAC                                                          | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $200121.86    | 0.03%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORDL 2023-B D                                   | FORD CREDIT AUTO LEASE TRUST 2023-B                                           | CUSIP: 34529NAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330000 | PA      | $331684.65    | 0.05%             | 2028-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | FORD MOTOR CREDIT CO LLC                                                      | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     315000 | PA      | $324071.18    | 0.05%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                       | FOUNDRY JV HOLDCO LLC                                                         | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $213740.50    | 0.03%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                       | FOUNDRY JV HOLDCO LLC                                                         | CUSIP: 350930AE3<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     285000 | PA      | $308726.98    | 0.05%             | 2038-01-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                       | FOUNDRY JV HOLDCO LLC                                                         | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $213385.18    | 0.03%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28345 | PA      | $28390.05     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71135 | PA      | $65821.05     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14051 | PA      | $14268.50     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     745317 | PA      | $721766.32    | 0.11%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18693 | PA      | $19576.51     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1322 | PA      | $1357.13      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3541 | PA      | $3598.51      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2807 | PA      | $2795.95      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $559.11       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2027 | PA      | $2159.42      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58902 | PA      | $57071.54     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2848 | PA      | $2836.67      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312941SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1156 | PA      | $1151.76      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29585 | PA      | $27430.68     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6820 | PA      | $6925.28      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $428.69       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1888132 | PA      | $1828469.93   | 0.29%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2520 | PA      | $2558.83      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $92.01        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15690 | PA      | $15946.04     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3422 | PA      | $3535.92      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $86.23        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        778 | PA      | $798.75       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                                  | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48758 | PA      | $47801.76     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $36.20        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2145 | PA      | $2179.76      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31335CJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164442 | PA      | $163607.01    | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1798 | PA      | $1916.58      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5126 | PA      | $5297.09      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $107.62       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43608 | PA      | $44319.19     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                                        | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7871 | PA      | $7883.84      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $25.37        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20329 | PA      | $21007.36     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1906 | PA      | $2028.14      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4002 | PA      | $4161.62      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1371 | PA      | $1366.03      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6124 | PA      | $6099.71      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $299.13       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3398 | PA      | $3558.54      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1333 | PA      | $1396.16      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41938 | PA      | $44991.09     | 0.01%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31292LV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15891 | PA      | $15388.50     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19188 | PA      | $18582.09     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49030 | PA      | $47057.67     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3214 | PA      | $3263.57      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5170 | PA      | $5252.63      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1113 | PA      | $1150.10      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $478.11       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                         | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1515 | PA      | $1539.29      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1281.70      | 0.00%             | 2036-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $94.68        | 0.00%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG 30YR ARM                       | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128NGAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1707 | PA      | $1745.58      | 0.00%             | 2034-11-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        516 | PA      | $526.62       | 0.00%             | 2037-02-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $822.62       | 0.00%             | 2036-01-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $77.26        | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $77.91        | 0.00%             | 2035-02-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        591 | PA      | $601.59       | 0.00%             | 2037-01-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1023 | PA      | $1048.46      | 0.00%             | 2036-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                     | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $233.78       | 0.00%             | 2036-12-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1150135 | PA      | $1042989.70   | 0.16%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DTZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     408582 | PA      | $417564.21    | 0.07%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133WGCK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32047 | PA      | $32951.40     | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 31427QJ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     410570 | PA      | $413924.86    | 0.06%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3176496 | PA      | $2766507.63   | 0.43%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DVE92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     916199 | PA      | $949546.46    | 0.15%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DQLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248066 | PA      | $250640.49    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65778 | PA      | $68081.18     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3142GVJY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2380968 | PA      | $2438855.68   | 0.38%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132ACSZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     895939 | PA      | $860376.55    | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2952060 | PA      | $2677050.04   | 0.42%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133ANKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328422 | PA      | $290035.66    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     912962 | PA      | $800906.16    | 0.13%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132E0A77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1228341 | PA      | $1256687.12   | 0.20%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DNAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     697101 | PA      | $586141.28    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DPUZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442423 | PA      | $461351.13    | 0.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77406 | PA      | $79474.40     | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1129569 | PA      | $1103033.57   | 0.17%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DSQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318488 | PA      | $326595.93    | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3132D9LJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259164 | PA      | $248561.95    | 0.04%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     620668 | PA      | $639606.33    | 0.10%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164567 | PA      | $170194.64    | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3132CWAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27874 | PA      | $27634.17     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3142GVGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1872736 | PA      | $1934306.97   | 0.30%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 31427PXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358825 | PA      | $374234.20    | 0.06%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DUCT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320561 | PA      | $322218.73    | 0.05%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DMZ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1870137 | PA      | $1718823.12   | 0.27%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3142GSB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125826 | PA      | $130230.89    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1362765 | PA      | $1198947.12   | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132A4LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93247 | PA      | $96248.84     | 0.02%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442776 | PA      | $384098.58    | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133CTLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339707 | PA      | $347861.48    | 0.05%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 31425VMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63008 | PA      | $64714.27     | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3142GVJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     635794 | PA      | $665942.25    | 0.10%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3132CW4G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193916 | PA      | $192243.97    | 0.03%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133KHKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134813 | PA      | $131677.74    | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385746 | PA      | $395929.40    | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DSE24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1092242 | PA      | $1105436.11   | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3132CWG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43171 | PA      | $42095.68     | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32079 | PA      | $31626.54     | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3142JTVW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2216053 | PA      | $2230657.94   | 0.35%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328925 | PA      | $336914.59    | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180795 | PA      | $177254.96    | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     622628 | PA      | $629146.21    | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3133GEL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     474547 | PA      | $442982.09    | 0.07%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133KNGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687507 | PA      | $577205.47    | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133KHDK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124772 | PA      | $122781.89    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     746477 | PA      | $623252.96    | 0.10%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     995186 | PA      | $829090.37    | 0.13%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445474 | PA      | $409673.43    | 0.06%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DQ6R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349065 | PA      | $293990.88    | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133APQD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1173164 | PA      | $1017739.59   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3133KH3Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69657 | PA      | $69880.72     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                              | CUSIP: 3132DTFE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342064 | PA      | $351488.98    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                              | CUSIP: 3132A9UX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102792 | PA      | $101698.76    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 5293 KI                                      | FREDDIE MAC REMICS                                                            | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1642323 | PA      | $215088.04    | 0.03%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 5000 UI                                      | FREDDIE MAC REMICS                                                            | CUSIP: 3137FVHM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3466963 | PA      | $593573.35    | 0.09%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 5086 MI                                      | FREDDIE MAC REMICS                                                            | CUSIP: 3137FFHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5381805 | PA      | $838243.99    | 0.13%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA3 M1 144A                          | FREDDIE MAC STACR REMIC TRUST 2025-DNA3                                       | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |     219152 | PA      | $219151.85    | 0.03%             | 2045-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STACR 2018-SPI2 M2 144A                          | FREDDIE MAC STACR SECURITIZED PARTICIPATION INTERESTS TRUST 2018-SPI2         | CUSIP: 3137G1CT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2280 | PA      | $2224.26      | 0.00%             | 2048-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHS 199 PO                                       | FREDDIE MAC STRIPS                                                            | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $21.24        | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHS 379 C1                                       | FREDDIE MAC STRIPS                                                            | CUSIP: 3142FRPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2552406 | PA      | $256945.62    | 0.04%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FWLS 2017-SC01 M1 144A                           | FREDDIE MAC WHOLE LOAN SECURITIES TRUST                                       | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57287 | PA      | $56762.73     | 0.01%             | 2046-12-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                               | FS LUXEMBOURG SARL                                                            | CUSIP: YN3863779<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |     500000 | PA      | $495510.79    | 0.08%             | 2033-06-25      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | FXO USD CALL/ILS PUT 3.15 04/21/2026 UBSW                                     | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $115668.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST 144A                     | GA GLOBAL FUNDING TRUST                                                       | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     830000 | PA      | $841677.05    | 0.13%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GALDERMA FINANCE EUROPE                          | GALDERMA FINANCE EUROPE BV                                                    | CUSIP: YQ2652101<br>LEI: 7245004RN4I1ORSTHY93 | Long             | DBT              | CORP              | NL        |     270000 | PA      | $325277.24    | 0.05%             | 2030-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-1 A33 144A                             | GALTON FUNDING MORTGAGE TRUST 2017-1                                          | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27414 | PA      | $25511.48     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | GBP/USD FWD 20260303 BOFAUS6N                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | GB        |          1 | NC      | $-8464.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | GBP/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | GB        |          1 | NC      | $-35.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GC TREASURY CENTRE CO 144A                       | GC TREASURY CENTER CO LTD                                                     | CUSIP: 36830AAB3<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |     200000 | PA      | $201129.65    | 0.03%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | GENERAL MOTORS FINANCIAL CO INC                                               | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     181000 | PA      | $196978.97    | 0.03%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | GENERAL MOTORS FINANCIAL CO INC                                               | CUSIP: 37045XFN1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     190000 | PA      | $193299.37    | 0.03%             | 2036-01-08      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| GNMA II TBA MAR                                  | GINNIE MAE                                                                    | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2960000 | PA      | $2970034.40   | 0.46%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA MAR                                  | GINNIE MAE                                                                    | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2165000 | PA      | $2192408.90   | 0.34%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA MAR                                  | GINNIE MAE                                                                    | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2520000 | PA      | $2489659.20   | 0.39%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA MAR                                  | GINNIE MAE                                                                    | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -8205000 | PA      | $-8370741.00  | -1.31%            | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                             | CUSIP: 36179DEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2834 | PA      | $2747.64      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                             | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52046 | PA      | $50483.89     | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                             | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13792 | PA      | $14279.98     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                             | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26264 | PA      | $27157.44     | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                             | CUSIP: 36181BV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3220 | PA      | $3083.60      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                             | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13792 | PA      | $14279.98     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                             | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6976 | PA      | $7222.64      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                             | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14346 | PA      | $14554.13     | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                             | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4587 | PA      | $4752.55      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                             | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9333 | PA      | $9614.35      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                             | CUSIP: 36180CYU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4136 | PA      | $4010.79      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19308 | PA      | $18587.78     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75362 | PA      | $77364.50     | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1322028 | PA      | $1166955.05   | 0.18%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     370628 | PA      | $332963.87    | 0.05%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11717 | PA      | $11889.00     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29266 | PA      | $30129.89     | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73057 | PA      | $70171.97     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11471 | PA      | $11110.38     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207528 | PA      | $209623.72    | 0.03%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9172 | PA      | $9429.77      | 0.00%             | 2035-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12545 | PA      | $11658.76     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66772 | PA      | $68545.58     | 0.01%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179VHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     329073 | PA      | $321955.36    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73694 | PA      | $70818.91     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161471 | PA      | $145047.55    | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     424648 | PA      | $374832.55    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9220 | PA      | $9355.24      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121024 | PA      | $123489.43    | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        257 | PA      | $264.46       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76849 | PA      | $79180.54     | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43796 | PA      | $42399.39     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1038171 | PA      | $879699.37    | 0.14%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115096 | PA      | $118509.41    | 0.02%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202388 | PA      | $204746.37    | 0.03%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29396 | PA      | $29835.48     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30126 | PA      | $31368.70     | 0.00%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2131 | PA      | $2162.70      | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36193VJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10111 | PA      | $9396.37      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16934 | PA      | $15737.34     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52127 | PA      | $53842.77     | 0.01%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211623 | PA      | $218707.88    | 0.03%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164414 | PA      | $165915.97    | 0.03%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43098 | PA      | $41416.75     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202EFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28903 | PA      | $30238.73     | 0.00%             | 2035-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16568 | PA      | $17112.78     | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36183W6J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97848 | PA      | $94534.94     | 0.01%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239820 | PA      | $247681.99    | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2309647 | PA      | $1957172.00   | 0.31%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     588617 | PA      | $519566.27    | 0.08%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2826 | PA      | $2798.70      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $118.80       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     401835 | PA      | $355064.99    | 0.06%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7811 | PA      | $7258.88      | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20715 | PA      | $21329.00     | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9511 | PA      | $9699.17      | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10017 | PA      | $10133.88     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336778 | PA      | $297270.12    | 0.05%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     780396 | PA      | $688847.37    | 0.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499969 | PA      | $458591.34    | 0.07%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14054 | PA      | $13530.41     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8722 | PA      | $8105.63      | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18385 | PA      | $18969.78     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9337 | PA      | $9473.90      | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74364 | PA      | $71597.36     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1583844 | PA      | $1574320.25   | 0.25%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36183EZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19304 | PA      | $18464.80     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14969 | PA      | $15295.32     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31127 | PA      | $28925.95     | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27427 | PA      | $27829.54     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36193VGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12268 | PA      | $11401.23     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36193VJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16984 | PA      | $15784.10     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36280 | PA      | $35122.89     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36194CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14188 | PA      | $13185.05     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2135174 | PA      | $1809666.55   | 0.28%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     981413 | PA      | $866293.45    | 0.14%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42127 | PA      | $40552.98     | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31196 | PA      | $32116.87     | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13914 | PA      | $14118.30     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2340 | PA      | $2374.52      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36194CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36131 | PA      | $33577.78     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22623 | PA      | $23556.81     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8525 | PA      | $7657.65      | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422821 | PA      | $373219.32    | 0.06%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2727 | PA      | $2700.87      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12880 | PA      | $12443.41     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12729 | PA      | $13147.57     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66267 | PA      | $68119.36     | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8138 | PA      | $8405.40      | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74231 | PA      | $76305.31     | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2825 | PA      | $2917.37      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1702125 | PA      | $1635727.45   | 0.26%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3423 | PA      | $3473.38      | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4436 | PA      | $4560.03      | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6028 | PA      | $6206.31      | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21791 | PA      | $22801.02     | 0.00%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100386 | PA      | $97184.13     | 0.02%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1874075 | PA      | $1821419.94   | 0.28%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36193VJC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21536 | PA      | $20014.47     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16516 | PA      | $15348.67     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25092 | PA      | $24304.05     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4436 | PA      | $4532.73      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104917 | PA      | $101622.54    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137494 | PA      | $142048.91    | 0.02%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1392938 | PA      | $1296343.70   | 0.20%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36401 | PA      | $33827.33     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36194PGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17384 | PA      | $16155.39     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10698 | PA      | $11049.87     | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231543 | PA      | $224271.91    | 0.04%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1969 | PA      | $2034.24      | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18932 | PA      | $19461.07     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     970521 | PA      | $979055.94    | 0.15%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     508200 | PA      | $472299.96    | 0.07%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39960 | PA      | $38700.22     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81354 | PA      | $79814.65     | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38011 | PA      | $38785.65     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                            | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5060 | PA      | $5202.54      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP CAPITAL LP / GLP FINANCING II INC                                         | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     645000 | PA      | $652320.05    | 0.10%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-1  B                                  | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-1                     | CUSIP: 38013JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     290000 | PA      | $292315.94    | 0.05%             | 2028-09-18      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-3 C                                   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                     | CUSIP: 36267KAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     255000 | PA      | $259740.68    | 0.04%             | 2029-02-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-3 B                                   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                     | CUSIP: 36267KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155000 | PA      | $157721.01    | 0.02%             | 2029-01-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| GFORT 2023-1 B 144A                              | GMF FLOORPLAN OWNER REVOLVING TRUST                                           | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1555000 | PA      | $1561666.75   | 0.24%             | 2028-06-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL CAP FND                            | GOLUB CAPITAL PRIVATE CREDIT FUND                                             | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |    1027000 | PA      | $1027045.86   | 0.16%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOCUS 2017-1A A2II 144A                          | GOTO FOODS FUNDING LLC                                                        | CUSIP: 34417MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1701812 | PA      | $1700039.72   | 0.27%             | 2047-04-30      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FOCUS 2022-1 A2 144A                             | GOTO FOODS FUNDING LLC                                                        | CUSIP: 34417RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1476450 | PA      | $1487050.32   | 0.23%             | 2052-07-30      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| GNR 2021-96 VI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38382UG39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1255351 | PA      | $183056.62    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2020-181 WI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1681282 | PA      | $204180.49    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-24 OI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15465 | PA      | $2530.93      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-184 JH                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10366 | PA      | $9563.47      | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-57 AI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38382QAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2168234 | PA      | $257028.47    | 0.04%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-63 LM                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     460000 | PA      | $392059.45    | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2018-8 DA                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12349 | PA      | $11836.48     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2016-118 DI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38380AVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81699 | PA      | $5878.43      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2023-55 EI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38383X3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6365452 | PA      | $975368.68    | 0.15%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2020-173 MI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3226635 | PA      | $461436.09    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-82 IG                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                      | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68868 | PA      | $10687.64     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC 144A                              | GRAY MEDIA INC                                                                | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |     270000 | PA      | $280564.41    | 0.04%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| GSMS 2016-GS4 A3                                 | GS MORTGAGE SECURITIES TRUST 2016-GS4                                         | CUSIP: 36251XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1037313 | PA      | $1032181.38   | 0.16%             | 2049-11-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| GSMS 2017-GS8 D 144A                             | GS MORTGAGE SECURITIES TRUST 2017-GS8                                         | CUSIP: 36254KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1025000 | PA      | $828959.83    | 0.13%             | 2050-11-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GSMBS 2021-GR2 A4 144A                           | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                  | CUSIP: 36262JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1231952 | PA      | $1048679.20   | 0.16%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INF CAP                           | HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                     | CUSIP: 41068XAH3<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |     111000 | PA      | $111031.09    | 0.02%             | 2056-11-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INF CAP                           | HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                     | CUSIP: 41068XAG5<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |     393000 | PA      | $414541.41    | 0.06%             | 2056-06-01      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| HARB 2018-1A CR2 144A                            | HARBOR PARK CLO LTD                                                           | CUSIP: 41154XBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1375000 | PA      | $1374400.50   | 0.21%             | 2031-01-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC 144A                          | HARBOUR ENERGY PLC                                                            | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |    1095000 | PA      | $1139825.98   | 0.18%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HNGRY 2020-1A A2 144A                            | HARDEE'S FUNDING LLC                                                          | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1904750 | PA      | $1845328.47   | 0.29%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| HNGRY 2024-1A A2 144A                            | HARDEE'S FUNDING LLC                                                          | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     484945 | PA      | $502653.13    | 0.08%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT 144A                      | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                      | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1125000 | PA      | $1056640.11   | 0.17%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| HAT HOLDINGS I LLC/HAT 144A                      | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                      | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     227000 | PA      | $236130.49    | 0.04%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HEALTH AND HAPPINESS H&H                         | HEALTH & HAPPINESS H&H INTERNATIONAL HOLDINGS LTD                             | CUSIP: YS7023080<br>LEI: 2138007WU5DJFZFDDV59 | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $1058099.73   | 0.17%             | 2028-07-24      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                             | HEATHROW FUNDING LTD                                                          | CUSIP: YS5265238<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     120000 | PA      | $142102.50    | 0.02%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                             | HEATHROW FUNDING LTD                                                          | CUSIP: AX5204471<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     578000 | PA      | $599024.22    | 0.09%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC TL B 1L USD BANKDEBT       | HIGHTOWER HOLDING LLC                                                         | CUSIP: 43117LAP8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | LON              | CORP              | US        |     316777 | PA      | $311828.58    | 0.05%             | 2032-02-03      | Floating      | 6.41%                 | No            |                  3 | On Loan: No      |
| HIGHTOWER HOLDING LLC 144A                       | HIGHTOWER HOLDING LLC                                                         | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |     195000 | PA      | $202448.18    | 0.03%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| HILCORP TL B 1L BANKDEBT                         | HILCORP ENERGY I LP                                                           | CUSIP: 000000000<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |    1606263 | PA      | $1604255.53   | 0.25%             | 2030-02-11      | Floating      | 5.42%                 | No            |                  3 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                    | HILCORP ENERGY I LP / HILCORP FINANCE CO                                      | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $123884.14    | 0.02%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                    | HILCORP ENERGY I LP / HILCORP FINANCE CO                                      | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     584000 | PA      | $615632.42    | 0.10%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| HILT 2024-ORL B 144A                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                       | CUSIP: 403956AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     805000 | PA      | $804496.88    | 0.13%             | 2037-05-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| HGVT 2020-AA C 144A                              | HILTON GRAND VACATIONS TRUST 2020-A                                           | CUSIP: 43285HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20192 | PA      | $20347.27     | 0.00%             | 2039-02-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| HPA 2022-1 A 144A                                | HOME PARTNERS OF AMERICA 2022-1 TRUST                                         | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     460121 | PA      | $458457.11    | 0.07%             | 2039-04-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| HPA 2022-1 D 144A                                | HOME PARTNERS OF AMERICA 2022-1 TRUST                                         | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750315 | PA      | $1737344.97   | 0.27%             | 2039-04-17      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 A1 144A                          | HOMES 2025-NQM2 TRUST                                                         | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377659 | PA      | $380811.49    | 0.06%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| HOMES 2026-AFC1 A1 144A                          | HOMES 2026-AFC1 TRUST                                                         | CUSIP: 403972AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $700683.47    | 0.11%             | 2061-02-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| HOPPER MERGER SUB INC TL B 1L USD BANKDEBT       | HOPPER MERGER SUB INC                                                         | CUSIP: 000000000<br>LEI: 9845009E9B4548A5N478 | Long             | LON              | CORP              | US        |     540000 | PA      | $533250.00    | 0.08%             | 2033-01-14      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HOLOGIC TL 2L BANKDEBT                           | HOPPER MERGER SUB INC                                                         | CUSIP: 000000000<br>LEI: 9845009E9B4548A5N478 | Long             | LON              | CORP              | US        |    1110000 | PA      | $1098900.00   | 0.17%             | 2034-01-05      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| HOWARD HUGHES CORP 144A                          | HOWARD HUGHES CORP/THE                                                        | CUSIP: 44267DAH0<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     311000 | PA      | $310301.02    | 0.05%             | 2034-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP 144A                          | HOWARD HUGHES CORP/THE                                                        | CUSIP: 44267DAG2<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     245000 | PA      | $244876.42    | 0.04%             | 2032-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A C 144A                             | HPEFS EQUIPMENT TRUST 2023-2                                                  | CUSIP: 44328UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     134244 | PA      | $134533.68    | 0.02%             | 2031-01-21      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A D 144A                             | HPEFS EQUIPMENT TRUST 2023-2                                                  | CUSIP: 44328UAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     145000 | PA      | $146152.49    | 0.02%             | 2031-07-21      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-1A C 144A                             | HPEFS EQUIPMENT TRUST 2024-1                                                  | CUSIP: 403963AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1190000 | PA      | $1195557.42   | 0.19%             | 2031-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A B 144A                             | HPEFS EQUIPMENT TRUST 2024-2                                                  | CUSIP: 40444MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     140000 | PA      | $141314.00    | 0.02%             | 2031-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A D 144A                             | HPEFS EQUIPMENT TRUST 2024-2                                                  | CUSIP: 40444MAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     350000 | PA      | $356994.51    | 0.06%             | 2032-04-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| HLM 11A-17 CR 144A                               | HPS LOAN MANAGEMENT 11-2017 LTD                                               | CUSIP: 40436VAJ0<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |     874681 | PA      | $877352.32    | 0.14%             | 2030-05-06      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD TL B 1L BANKDEBT           | HUB INTERNATIONAL LTD                                                         | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |     754768 | PA      | $745650.33    | 0.12%             | 2030-06-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD 144A                       | HUB INTERNATIONAL LTD                                                         | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     351000 | PA      | $358097.09    | 0.06%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD 144A                       | HUB INTERNATIONAL LTD                                                         | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     285000 | PA      | $293922.94    | 0.05%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | HUF/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | HU        |          1 | NC      | $3012.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | HUF/USD FWD 20260417 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | HU        |          1 | NC      | $8813.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HACLN 2024-1 B1 144A                             | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                        | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     224392 | PA      | $228205.44    | 0.04%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HACLN 2024-2 B1 144A                             | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                        | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     534557 | PA      | $540516.58    | 0.08%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| ISHARES IBOXX USD HIGH YIELD CORPORATE BOND ETF  | HYG US 03/20/26 C81                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       -394 | NC      | $-2955.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES IBOXX USD HIGH YIELD CORPORATE BOND ETF  | HYG US 03/20/26 P81                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       -394 | NC      | $-27580.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYT 2024-RGCY A 144A                             | HYT COMMERCIAL MORTGAGE TRUST 2024-RGCY                                       | CUSIP: 449173AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     545000 | PA      | $545497.53    | 0.09%             | 2041-09-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                     | HYUNDAI CAPITAL AMERICA                                                       | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $209030.44    | 0.03%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_CDX EM CDSI S44 5Y 12/20/2030 MSLN                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $-260118.61   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_CDX EM HY CDSI S44 5Y 12/20/2030 MSLN                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $727500.39    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_CDX HY CDSI S45 V2 5Y 12/20/2030 BOFA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1453738.04  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_DOW CHEMICAL CO/THE CDS 12/20/2030 BARC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $3374.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_ITRX EUR SNRFIN CDSI S44 5Y 12/20/2030 DEUT                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |          1 | NC      | $1758179.50   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_ITRX EUR SUBFIN CDSI S44 5Y 12/20/2030 DEUT                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |          1 | NC      | $-97959.42    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_ORACLE CORP CDS 12/20/2030 MSLN                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $-81567.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_SES SA CDS 12/20/2030 CHAS                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |          1 | NC      | $-81644.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_WHIRLPOOL CORP CDS 12/20/2030 BARC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $7194.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INSTRUCTURE TL B 1L BANKDEBT                     | ICON PARENT INC                                                               | CUSIP: 45115DAC2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     278602 | PA      | $263220.15    | 0.04%             | 2031-11-13      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | IDR/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ID        |          1 | NC      | $1215.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | IDR/USD FWD 20260303 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | ID        |          1 | NC      | $-1772.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | IDR/USD FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ID        |          1 | NC      | $-460.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS TL 1L BANKDEBT              | IHEARTCOMMUNICATIONS INC                                                      | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |     219446 | PA      | $189454.18    | 0.03%             | 2029-05-01      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| ILPT 2022-LPFX C 144A                            | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPFX                                      | CUSIP: 449653AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1595000 | PA      | $1475615.53   | 0.23%             | 2032-03-15      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | ILS/USD FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IL        |          1 | NC      | $-86.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC 144A                     | IMPERIAL BRANDS FINANCE PLC                                                   | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     630000 | PA      | $651777.75    | 0.10%             | 2035-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC 144A                     | IMPERIAL BRANDS FINANCE PLC                                                   | CUSIP: 45262BAL7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     350000 | PA      | $362863.52    | 0.06%             | 2055-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| IMPRL 2021-NQM2 A1 144A                          | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                                        | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     857867 | PA      | $743793.81    | 0.12%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| IMPRL 2022-NQM4 A2 144A                          | IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                        | CUSIP: 45276NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1033166 | PA      | $1030727.85   | 0.16%             | 2067-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| INFRASTRUTTURE WIRELESS                          | INFRASTRUTTURE WIRELESS ITALIANE SPA                                          | CUSIP: YQ6778167<br>LEI: 81560066183FE361C071 | Long             | DBT              | CORP              | IT        |     824000 | PA      | $993904.18    | 0.16%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | INR/USD FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IN        |          1 | NC      | $36.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | INR/USD FWD 20260304 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | IN        |          1 | NC      | $3197.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INSIGNIA FINANCIAL TL B 1L BANKDEBT              | INSIGNIA FINANCIAL LTD                                                        | CUSIP: 000000000<br>LEI: 5493000NLB9VUM2IHC87 | Long             | LON              | CORP              | AU        |     110000 | PA      | $108350.00    | 0.02%             | 2032-11-24      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| IPOTEKA-BANK ATIB                                | IPOTEKA-BANK ATIB                                                             | CUSIP: YK5636922<br>LEI: 213800UWVX5JSNXJS434 | Long             | DBT              | CORP              | UZ        |     680000 | PA      | $699093.49    | 0.11%             | 2030-10-09      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| INSPIRE BRANDS TL B 1L BANKDEBT                  | IRB HOLDING CORP                                                              | CUSIP: 44988LAM9<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |     180280 | PA      | $179510.58    | 0.03%             | 2030-12-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ISRAEL                                           | ISRAEL GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 46515CJZ8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     470000 | PA      | $468603.22    | 0.07%             | 2036-01-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                  | ISRAEL GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     708000 | PA      | $736852.91    | 0.12%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST 144A                                 | IVORY COAST GOVERNMENT INTERNATIONAL BOND                                     | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1015000 | PA      | $1099104.34   | 0.17%             | 2036-04-01      | Fixed         | 8.07%                 | No            |                  2 | On Loan: No      |
| JPMMT 2023-DSC2 A1 144A                          | J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                          | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066824 | PA      | $1090851.13   | 0.17%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JACK 2019-1A A23 144A                            | JACK IN THE BOX FUNDING LLC                                                   | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     942400 | PA      | $909246.56    | 0.14%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| JTWN 2020-15A A1R 144A                           | JAMESTOWN CLO XV LTD                                                          | CUSIP: 47050EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1370000 | PA      | $1373941.49   | 0.21%             | 2035-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                     | JANE STREET GROUP / JSG FINANCE INC                                           | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185000 | PA      | $185599.13    | 0.03%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                     | JANE STREET GROUP / JSG FINANCE INC                                           | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     515000 | PA      | $528373.08    | 0.08%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                     | JANE STREET GROUP / JSG FINANCE INC                                           | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     298000 | PA      | $308722.54    | 0.05%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC TL B 1L BANKDEBT           | JANE STREET GROUP LLC                                                         | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |     255103 | PA      | $246720.39    | 0.04%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| NAVACORD TL 1L BANKDEBT                          | JONES DESLAURIERS INSURA                                                      | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | LON              | CORP              | CA        |     796999 | PA      | $764122.62    | 0.12%             | 2033-02-02      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                    | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                    | CUSIP: 48020RAE5<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |     545000 | PA      | $507333.02    | 0.08%             | 2033-10-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                    | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                    | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |     175000 | PA      | $181584.74    | 0.03%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                    | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                    | CUSIP: 48020RAG0<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |     475000 | PA      | $341931.16    | 0.05%             | 2033-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-INV3 A3 144A                          | JP MORGAN MORTGAGE TRUST 2019-INV3                                            | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65574 | PA      | $60769.27     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-INV3 A15 144A                         | JP MORGAN MORTGAGE TRUST 2019-INV3                                            | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57049 | PA      | $52558.78     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-INV2 A15 144A                         | JP MORGAN MORTGAGE TRUST 2020-INV2                                            | CUSIP: 46652KBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207429 | PA      | $185420.81    | 0.03%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-NMQ3 A1 144A                          | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                                     | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1402422 | PA      | $1415758.26   | 0.22%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMORGAN CHASE & CO                                                           | CUSIP: 46647PFE1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     430000 | PA      | $428753.04    | 0.07%             | 2036-10-22      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | JPY/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | JP        |          1 | NC      | $-164.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: YK2163615<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      57218 | PA      | $587.03       | 0.00%             | 2029-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: YK2138690<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      57218 | PA      | $614.08       | 0.00%             | 2028-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: YK2407939<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      28609 | PA      | $528.70       | 0.00%             | 2026-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: YK2128873<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      35764 | PA      | $407.66       | 0.00%             | 2027-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: YK2410966<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      71525 | PA      | $939.43       | 0.00%             | 2031-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: YK2439700<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |     134935 | PA      | $1310.97      | 0.00%             | 2032-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  . 144A            | KAISA GROUP HOLDINGS LTD                                                      | CUSIP: YK2170958<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      71525 | PA      | $209.44       | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KASEYA TL 2L BANKDEBT                            | KASEYA INC                                                                    | CUSIP: 48578AAE8<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |     381520 | PA      | $307760.47    | 0.05%             | 2033-03-21      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| JSC KASPI.KZ 144A                                | KASPI.KZ JSC                                                                  | CUSIP: 466281AA0<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |     770000 | PA      | $793442.90    | 0.12%             | 2030-03-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                            | KENTUCKY UTILITIES CO                                                         | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |      70000 | PA      | $72079.29     | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER SER A CVT PIPE COMMIT PP        | KEURIG DR PEPPER SER A CVT PIPE COMMIT P                                      | CUSIP: 000000000<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | EP               | CORP              | US        |        362 | NS      | $362000.00    | 0.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| JP MORGAN CHASE BANK                             | KRW/USD FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | KR        |          1 | NC      | $-30.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | KRW/USD FWD 20260304 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | KR        |          1 | NC      | $2616.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | KRW/USD FWD 20260304 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | KR        |          1 | NC      | $-4433.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | KRW/USD FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | KR        |          1 | NC      | $4.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | KRW/USD FWD 20260402 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | KR        |          1 | NC      | $-1846.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | KZT/USD FWD 20260410 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | KZ        |          1 | NC      | $14587.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP TL B 1L BANKDEBT                | LAMAR MEDIA CORP                                                              | CUSIP: 513076BE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     200000 | PA      | $199750.00    | 0.03%             | 2032-09-23      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                       | LEVEL 3 FINANCING INC                                                         | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     520000 | PA      | $540491.12    | 0.08%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                       | LEVEL 3 FINANCING INC                                                         | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103556.91    | 0.02%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 TL B4 1L BANKDEBT                        | LEVEL 3 FINANCING INC                                                         | CUSIP: 52729KAU0<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |     830000 | PA      | $831245.00    | 0.13%             | 2032-03-29      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC 144A                        | LIFEPOINT HEALTH INC                                                          | CUSIP: 53219LAX7<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     633000 | PA      | $663068.99    | 0.10%             | 2032-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH TL B 1L BANKDEBT                | LIFEPOINT HEALTH INC                                                          | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |     591208 | PA      | $591373.92    | 0.09%             | 2031-05-17      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC 144A                        | LIFEPOINT HEALTH INC                                                          | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     360000 | PA      | $391154.72    | 0.06%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| LGC GROUP TL B 1L BANKDEBT                       | LOIRE FINCO LUXEMBOURG                                                        | CUSIP: 5039999D8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     347382 | PA      | $346773.64    | 0.05%             | 2030-01-21      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| G M6 LONG GILT FUTURE  JUN26                     | LONG GILT FUTURE  JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |         -8 | NC      | $-13808.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LOUISVILLE GAS & ELEC                            | LOUISVILLE GAS AND ELECTRIC CO                                                | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |      70000 | PA      | $71795.00     | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                 | LPL HOLDINGS INC                                                              | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      70000 | PA      | $71121.28     | 0.01%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LTI HOLDINGS INC TL B 1L USD BANKDEBT            | LTI HOLDINGS INC                                                              | CUSIP: 50217UBF3<br>LEI: 5493003GUY3WBOTOAP97 | Long             | LON              | CORP              | US        |     555125 | PA      | $555069.06    | 0.09%             | 2029-07-29      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUXCO 3                            | LuxCo 3 Shares                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | EC               | CORP              | FR        |        905 | NS      | $16967.34     | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MACLEAN TL B 2L BANKDEBT                         | MACLEAN                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1173150.00   | 0.18%             | 2033-01-22      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MDPK 2016-24A CR2 144A                           | MADISON PARK FUNDING XXIV LTD                                                 | CUSIP: 55820NBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     725000 | PA      | $724759.30    | 0.11%             | 2029-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                           | MARVELL TECHNOLOGY INC                                                        | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |     710000 | PA      | $737470.30    | 0.12%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO 144A                        | MATADOR RESOURCES CO                                                          | CUSIP: 576485AJ5<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      85000 | PA      | $85103.65     | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO 144A                        | MATADOR RESOURCES CO                                                          | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |     185000 | PA      | $188247.94    | 0.03%             | 2033-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC 144A                      | MATCH GROUP HOLDINGS II LLC                                                   | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     195000 | PA      | $194579.74    | 0.03%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP TL 1L BANKDEBT                       | MCAFEE CORP                                                                   | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |     306221 | PA      | $265646.52    | 0.04%             | 2029-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| CONDOR MERGER SUB INC 144A                       | MCAFEE CORP                                                                   | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |     305000 | PA      | $249525.85    | 0.04%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MEDLINE TL B 1L BANKDEBT                         | MEDLINE BORROWER LP                                                           | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      36985 | PA      | $37024.45     | 0.01%             | 2028-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MEDLINE TL B 1L BANKDEBT                         | MEDLINE BORROWER LP                                                           | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |     393025 | PA      | $393669.56    | 0.06%             | 2030-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP 144A                         | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                     | CUSIP: 58506DAA6<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     185000 | PA      | $190920.70    | 0.03%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BETTCHER TL 1L BANKDEBT                          | MERLIN BUYER INC                                                              | CUSIP: 59010LAB3<br>LEI: 2549008CJ699WXZAWW31 | Long             | LON              | CORP              | US        |     160287 | PA      | $161038.51    | 0.03%             | 2028-12-14      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                               | META PLATFORMS INC                                                            | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     460000 | PA      | $450259.57    | 0.07%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                               | META PLATFORMS INC                                                            | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     550000 | PA      | $543079.88    | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MST 2018-1A A 144A                               | METLIFE SECURITIZATION TRUST 2018-1                                           | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112245 | PA      | $110390.50    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | MEXICO GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 91087BBR0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     620000 | PA      | $629083.26    | 0.10%             | 2038-02-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MITER BRANDS TL B2 1L BANKDEBT                   | MI WINDOWS AND DOORS LLC                                                      | CUSIP: 55336CAK8<br>LEI: 2549001JQBGDT0WEQ156 | Long             | LON              | CORP              | US        |     230692 | PA      | $228788.68    | 0.04%             | 2031-03-28      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL 144A                            | MIDCAP FINANCIAL ISSUER TRUST                                                 | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $397702.13    | 0.06%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                              | MIDCAP FINANCIAL SR UNSECURED FRN 144A P                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     650000 | PA      | $651402.53    | 0.10%             | 2029-04-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC 144A                       | MOLINA HEALTHCARE INC                                                         | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     110000 | PA      | $110428.70    | 0.02%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MONTENEGRO 144A                                  | MONTENEGRO GOVERNMENT INTERNATIONAL BOND                                      | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |    2155000 | PA      | $2314081.57   | 0.36%             | 2031-03-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | MORGAN STANLEY                                                                | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     160000 | PA      | $165548.63    | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-DSC2 A1 144A                           | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                      | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128717 | PA      | $130226.98    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM5 A1 144A                           | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                      | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167867 | PA      | $169444.57    | 0.03%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL 144A                     | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                               | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185000 | PA      | $198026.76    | 0.03%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                          | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                               | CUSIP: BR5786222<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     905000 | PA      | $1047533.77   | 0.16%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| MVWOT 2020-1A C 144A                             | MVW 2020-1 LLC                                                                | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      44436 | PA      | $44232.55     | 0.01%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-1A B 144A                             | MVW 2023-1 LLC                                                                | CUSIP: 62848PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     473793 | PA      | $481701.42    | 0.08%             | 2040-10-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | MXN/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MX        |          1 | NC      | $-429.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                      | MYR/USD FWD 20260303 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $233.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | MYR/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $570.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | MYR/USD FWD 20260303 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $1738.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | MYR/USD FWD 20260303 SCBLGB2L                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $230.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | MYR/USD FWD 20260309 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $260430.18    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | MYR/USD FWD 20260309 SCBLGB2L                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $-165382.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | MYR/USD FWD 20260402 MRMDUS33                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $-1937.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Navacord Class A Pref Shares PFD PP              | NAVACORD CLASS A PREF SHARES PFD PP                                           | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | EP               | CORP              | CA        |        732 | NS      | $527246.07    | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SLM CORP                                         | NAVIENT CORP                                                                  | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     148000 | PA      | $121608.08    | 0.02%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | NAVIENT CORP                                                                  | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     470000 | PA      | $475713.72    | 0.07%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | NAVIENT CORP                                                                  | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     184000 | PA      | $171252.96    | 0.03%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| NAVIENT CORP                                     | NAVIENT CORP                                                                  | CUSIP: 63938CAP3<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     250000 | PA      | $265302.19    | 0.04%             | 2031-03-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| NAVSL 2020-BA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                              | CUSIP: 63941GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     975000 | PA      | $866003.97    | 0.14%             | 2069-01-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-CA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                              | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $548535.12    | 0.09%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-FA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F                              | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $352592.80    | 0.06%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-HA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                              | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1340000 | PA      | $1185455.52   | 0.19%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| NAVMT 2024-1 C 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                             | CUSIP: 63938PBY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     130000 | PA      | $130296.89    | 0.02%             | 2029-04-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| NAVMT 2024-1 B 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                             | CUSIP: 63938PBX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85000 | PA      | $85183.14     | 0.01%             | 2029-04-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 B 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1                   | CUSIP: 63938PCA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     140000 | PA      | $140320.52    | 0.02%             | 2030-09-25      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 C 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1                   | CUSIP: 63938PCB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      65000 | PA      | $65163.55     | 0.01%             | 2030-09-25      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC 144A                        | NEPTUNE BIDCO US INC                                                          | CUSIP: 640695AC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |     540000 | PA      | $545121.42    | 0.09%             | 2031-05-15      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC 144A                        | NEPTUNE BIDCO US INC                                                          | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |     196000 | PA      | $196594.49    | 0.03%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC 144A                        | NEPTUNE BIDCO US INC                                                          | CUSIP: 640695AD4<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |     215000 | PA      | $210693.78    | 0.03%             | 2033-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NIELSEN TL B 1L BANKDEBT                         | NEPTUNE BIDCO US INC                                                          | CUSIP: 64069JAK8<br>LEI: 549300VG15T3VCYZ4531 | Long             | LON              | CORP              | US        |     440000 | PA      | $413710.00    | 0.06%             | 2033-02-03      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| NEUB 2021-43A AR 144A                            | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                     | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |     435000 | PA      | $434479.31    | 0.07%             | 2036-07-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| NRMLT 2022-SFR1 D 144A                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-SFR1                                 | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620000 | PA      | $606597.96    | 0.09%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM4 A1 144A                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                 | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     454552 | PA      | $460259.00    | 0.07%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC 144A                           | NEWELL BRANDS INC                                                             | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     167000 | PA      | $175769.31    | 0.03%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                | NEWELL BRANDS INC                                                             | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     152000 | PA      | $152010.31    | 0.02%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| NFL SR SECURED NOTE PP                           | NFL SR SECURED NOTE PP                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     395000 | PA      | $395000.00    | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| NGL ENERGY PARTNERS LP 144A                      | NGL ENERGY OPERATING LLC / NGL ENERGY FINANCE CORP                            | CUSIP: 62922LAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     155000 | PA      | $162611.95    | 0.03%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                        | NIAGARA MOHAWK POWER CORP                                                     | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     420000 | PA      | $426749.51    | 0.07%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NIGERIA T- BILL                                  | NIGERIA OMO BILL                                                              | CUSIP: YK8452269<br>LEI: 549300G1JG004Y3K8S97 | Long             | DBT              | NUSS              | NG        | 2877000000 | PA      | $2047193.45   | 0.32%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE 144A                     | NISSAN MOTOR ACCEPTANCE CO LLC                                                | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     195000 | PA      | $195434.07    | 0.03%             | 2030-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO 144A                             | NISSAN MOTOR CO LTD                                                           | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     285000 | PA      | $300799.42    | 0.05%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | NOK/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NO        |          1 | NC      | $44.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | NOK/USD FWD 20260303 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | NO        |          1 | NC      | $-898.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOODS 2018-14BA AR 144A                          | NORTHWOODS CAPITAL XIV-B LTD                                                  | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |     460123 | PA      | $461142.44    | 0.07%             | 2031-11-13      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 144A                              | NRG ENERGY INC                                                                | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     300000 | PA      | $305335.24    | 0.05%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                            | NTT FINANCE CORP                                                              | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     225000 | PA      | $232651.11    | 0.04%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NYMT 2025-INV1 A1 144A                           | NYMT LOAN TRUST 2025-INV1                                                     | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |     214592 | PA      | $216292.96    | 0.03%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | NZD/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NZ        |          1 | NC      | $-911.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 1A4 144A                           | OBX 2019-EXP2 TRUST                                                           | CUSIP: 67113KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23564 | PA      | $23267.29     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 A25 144A                           | OBX 2019-INV2 TRUST                                                           | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68542 | PA      | $65532.18     | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 A8 144A                            | OBX 2020-EXP2 TRUST                                                           | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18787 | PA      | $17010.27     | 0.00%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 A9 144A                            | OBX 2020-EXP2 TRUST                                                           | CUSIP: 67448VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38423 | PA      | $34789.99     | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP3 1A9 144A                           | OBX 2020-EXP3 TRUST                                                           | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300802 | PA      | $269736.18    | 0.04%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 A1 144A                            | OBX 2024-HYB1 TRUST                                                           | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271487 | PA      | $272096.36    | 0.04%             | 2053-03-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1B 144A                          | OBX 2025-NQM14 TRUST                                                          | CUSIP: 673924AB2<br>LEI: 254900T4WKE0IYMYAI09 | Long             | ABS-MBS          | CORP              | US        |     865088 | PA      | $869964.75    | 0.14%             | 2065-07-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                         | OCCIDENTAL PETROLEUM CORP                                                     | CUSIP: 674599EM3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $1065864.05   | 0.17%             | 2054-10-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                         | OCCIDENTAL PETROLEUM CORP                                                     | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     119000 | PA      | $124277.26    | 0.02%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A B1R2 144A                           | OCP CLO 2017-13 LTD                                                           | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |     705000 | PA      | $706698.35    | 0.11%             | 2037-11-26      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| OCT47 2020-1A A2R2 144A                          | OCTAGON INVESTMENT PARTNERS 47 LTD                                            | CUSIP: 67576XAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1655000 | PA      | $1657436.16   | 0.26%             | 2038-01-22      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| OCT47 2020-1A BR2 144A                           | OCTAGON INVESTMENT PARTNERS 47 LTD                                            | CUSIP: 67576XBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1690000 | PA      | $1694175.99   | 0.26%             | 2038-01-22      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-3A C 144A                              | OCTANE RECEIVABLES TRUST 2023-3                                               | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $102259.24    | 0.02%             | 2029-08-20      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-RVM1 A 144A                            | OCTANE RECEIVABLES TRUST 2024-RVM1                                            | CUSIP: 67579FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     140282 | PA      | $142785.33    | 0.02%             | 2046-01-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| OCTL 2025-RVM1 C 144A                            | OCTANE RECEIVABLES TRUST 2025-RVM1                                            | CUSIP: 67571HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     840000 | PA      | $855668.52    | 0.13%             | 2046-12-20      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| OCTL 2025-RVM1 B 144A                            | OCTANE RECEIVABLES TRUST 2025-RVM1                                            | CUSIP: 67571HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     410000 | PA      | $414252.15    | 0.06%             | 2046-12-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| ONEDIGITAL TL B 1L BANKDEBT                      | ONEDIGITAL BORROWER LLC                                                       | CUSIP: 68277FAN9<br>LEI: 2549009GTKWWAO1E9X77 | Long             | LON              | CORP              | US        |     386600 | PA      | $371862.77    | 0.06%             | 2031-07-02      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| ONEDIGITAL TL 2L BANKDEBT                        | ONEDIGITAL BORROWER LLC                                                       | CUSIP: 68252HAB0<br>LEI: 2549009GTKWWAO1E9X77 | Long             | LON              | CORP              | US        |    1273752 | PA      | $1269778.12   | 0.20%             | 2032-07-02      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                             | ONEMAIN FINANCE CORP                                                          | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     115000 | PA      | $118728.65    | 0.02%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONE TORONTO GAMING TL B 1L BANKDEBT              | ONTARIO GAMING GTA LP                                                         | CUSIP: 000000000<br>LEI: 894500EC9KLZLOC3V025 | Long             | LON              | CORP              | CA        |     454259 | PA      | $427216.83    | 0.07%             | 2030-08-01      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| ONTARIO GAMING GTA LP 144A                       | ONTARIO GAMING GTA LP/OTG CO-ISSUER INC                                       | CUSIP: 68306MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     105000 | PA      | $101363.96    | 0.02%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO 144A                                  | OPAL BIDCO SAS                                                                | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |     445000 | PA      | $458197.84    | 0.07%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPELLA TL B 1L BANKDEBT                          | OPAL US LLC                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     778050 | PA      | $776882.93    | 0.12%             | 2032-04-28      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | ORACLE CORP                                                                   | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     510000 | PA      | $489077.67    | 0.08%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | ORACLE CORP                                                                   | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $1213479.21   | 0.19%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | ORACLE CORP                                                                   | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     705000 | PA      | $681326.64    | 0.11%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORANGE SA 144A                                   | ORANGE SA                                                                     | CUSIP: 685218AF6<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |     845000 | PA      | $848156.32    | 0.13%             | 2036-01-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORGANON FINANCE 1 LLC 144A                       | ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                              | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $221723.64    | 0.03%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC 144A                          | OSAIC HOLDINGS INC                                                            | CUSIP: 00791GAC1<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |     210000 | PA      | $209415.19    | 0.03%             | 2033-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OZLMF 2012-2A BR4 144A                           | OZLM FUNDING II LTD                                                           | CUSIP: 67108BCJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1495000 | PA      | $1497689.51   | 0.23%             | 2037-07-30      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                   | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     157000 | PA      | $152912.65    | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                   | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $171880.61    | 0.03%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                   | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     715000 | PA      | $728758.27    | 0.11%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                   | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     240000 | PA      | $207147.54    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                       | PACIFICORP                                                                    | CUSIP: 695114DG0<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     365000 | PA      | $358518.24    | 0.06%             | 2056-08-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| PSTAT 2024-3A BR 144A                            | PALMER SQUARE LOAN FUNDING 2024-3 LTD                                         | CUSIP: 69690EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     470000 | PA      | $468529.37    | 0.07%             | 2032-08-08      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER 144A                       | PANTHER ESCROW ISSUER LLC                                                     | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     215000 | PA      | $218688.36    | 0.03%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PATTERSON TL B 1L BANKDEBT                       | PARADIGM PARENT LLC                                                           | CUSIP: 000000000<br>LEI: 254900EDT9YE5UFH3458 | Long             | LON              | CORP              | US        |     224438 | PA      | $187124.77    | 0.03%             | 2032-04-16      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| PARADIGM PRNT/CO-ISSUER 144A                     | PARADIGM PARENT LLC AND PARADIGM PARENT CO-ISSUER INC                         | CUSIP: 69902PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185000 | PA      | $160473.30    | 0.03%             | 2032-04-17      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PEN/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PE        |          1 | NC      | $-2.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PEN/USD FWD 20260406 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PE        |          1 | NC      | $469.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC 144A                    | PERMIAN RESOURCES OPERATING LLC                                               | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     139000 | PA      | $148731.17    | 0.02%             | 2031-07-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC 144A                    | PERMIAN RESOURCES OPERATING LLC                                               | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     190000 | PA      | $196395.00    | 0.03%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | PETROLEOS MEXICANOS                                                           | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1145000 | PA      | $1232460.83   | 0.19%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | PETROLEOS MEXICANOS                                                           | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1435000 | PA      | $1679402.12   | 0.26%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PG&E CORP                                        | PG&E CORP                                                                     | CUSIP: 69331CAN8<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     320000 | PA      | $319612.82    | 0.05%             | 2056-09-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                        | PG&E CORP                                                                     | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     189000 | PA      | $195655.91    | 0.03%             | 2055-03-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | PHP/USD FWD 20260303 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $741.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | PHP/USD FWD 20260306 BOFAUS6N                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-27318.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PHP/USD FWD 20260306 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-54413.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | PHP/USD FWD 20260306 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-27947.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | PHP/USD FWD 20260306 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $115992.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | PHP/USD FWD 20260306 SCBLGB2L                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-27823.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | PHP/USD FWD 20260406 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $84.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PLN/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PL        |          1 | NC      | $-879.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC FINANCIAL SERVICES GROUP INC/THE                                          | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     235000 | PA      | $243418.61    | 0.04%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PORT BEAUMONT TX JEFF GULF COAST EN 144A AMT     | PORT OF BEAUMONT NAVIGATION DISTRICT                                          | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |     865000 | PA      | $866880.16    | 0.14%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PREF 2024-1A A2 144A                             | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                        | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20101 | PA      | $20168.45     | 0.00%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PRAEMIA HEALTHCARE SACA                          | PRAEMIA HEALTHCARE SACA                                                       | CUSIP: DA8983425<br>LEI: 96950067NFR9MWI0CJ45 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $356757.04    | 0.06%             | 2032-06-05      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ACQUIROR LP 144A                         | PRAIRIE ACQUIROR LP                                                           | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |     195000 | PA      | $203557.20    | 0.03%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| TALLGRASS TL B 1L BANKDEBT                       | PRAIRIE ACQUIROR LP                                                           | CUSIP: 73955HAG9<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |     275982 | PA      | $276051.36    | 0.04%             | 2029-08-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| PRO MACH TL B 1L BANKDEBT                        | PRO MACH GROUP INC                                                            | CUSIP: 74273JAL7<br>LEI: 5493008SZGSVUCSNB151 | Long             | LON              | CORP              | US        |     335000 | PA      | $334665.00    | 0.05%             | 2032-10-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR8 E1 144A                           | PROGRESS RESIDENTIAL 2021-SFR8 TRUST                                          | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $739465.20    | 0.12%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| QLIK TL B 2L BANKDEBT                            | PROJECT ALPHA INTERMEDIA                                                      | CUSIP: 74339D9B6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     979184 | PA      | $729491.95    | 0.11%             | 2033-05-09      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                          | PUBLIC SERVICE CO OF OKLAHOMA                                                 | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     815000 | PA      | $844505.72    | 0.13%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QUALITY TECH TL 1L BANKDEBT                      | QUALITYTECH LP                                                                | CUSIP: 74758JAB3<br>LEI: 549300GWD2FYVWRWCZ90 | Long             | LON              | CORP              | US        |     208425 | PA      | $206601.28    | 0.03%             | 2031-11-04      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC 144A                       | QUIKRETE HOLDINGS INC                                                         | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     270000 | PA      | $280649.42    | 0.04%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC 144A                       | QUIKRETE HOLDINGS INC                                                         | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     196000 | PA      | $203694.44    | 0.03%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC TL B 1L BANKDEBT           | QUIKRETE HOLDINGS INC                                                         | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |     265092 | PA      | $264821.42    | 0.04%             | 2032-01-30      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC PIK-TERM FIFO 1L USD BKDBTPIK | RADIATE HOLDCO LLC                                                            | CUSIP: 75025KAM0<br>LEI: 5493000GQJ5RDX9DNJ71 | Long             | LON              | CORP              | US        |     307718 | PA      | $266431.90    | 0.04%             | 2029-09-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| RADIATE TLB/DD STRIP BANKDEBT                    | RADIATE HOLDCO LLC                                                            | CUSIP: 000000000<br>LEI: 5493000GQJ5RDX9DNJ71 | Long             | LON              | CORP              | US        |     186825 | PA      | $186358.36    | 0.03%             | 2029-06-26      | Floating      | 7.67%                 | No            |                  3 | On Loan: No      |
| RAIZEN FUELS FINANCE 144A                        | RAIZEN FUELS FINANCE SA                                                       | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     760000 | PA      | $335511.26    | 0.05%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                             | RAIZEN FUELS FINANCE SA                                                       | CUSIP: YN7790887<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $141536.36    | 0.02%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP 144A                        | RANGE RESOURCES CORP                                                          | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |     215000 | PA      | $212823.70    | 0.03%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REALT 2025-1A A1 144A                            | REAL ESTATE ASSET LIQUIDITY TRUST                                             | CUSIP: 75585RSS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    1453641 | PA      | $1073395.68   | 0.17%             | 2060-01-12      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| REALT 2025-1A A2 144A                            | REAL ESTATE ASSET LIQUIDITY TRUST                                             | CUSIP: 75585RSU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    2530000 | PA      | $1888193.69   | 0.30%             | 2060-01-12      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                               | REALTY INCOME CORP                                                            | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     185000 | PA      | $190223.45    | 0.03%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                               | REGAL REXNORD CORP                                                            | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     700000 | PA      | $747751.03    | 0.12%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                               | REGAL REXNORD CORP                                                            | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |      53000 | PA      | $54957.48     | 0.01%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GRP OF AMER                          | REINSURANCE GROUP OF AMERICA INC                                              | CUSIP: 759351AR0<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |     736000 | PA      | $786787.02    | 0.12%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MACLEAN TL B 1L BANKDEBT                         | RESILIENCE PARENT LLC                                                         | CUSIP: 75908HAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     290000 | PA      | $289275.00    | 0.05%             | 2033-01-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| RIVIAN AUTO INC 4.625% 03/29 CB                  | RIVIAN AUTO INC SR UNSECURED 144A 03/29 4.625                                 | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |      85000 | PA      | $93368.74     | 0.01%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| RIVIAN HLD/AUTO LLC 144A                         | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                          | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     780000 | PA      | $737931.62    | 0.12%             | 2031-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                     | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 775921AA7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $299311.38    | 0.05%             | 2036-07-04      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                     | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     978000 | PA      | $1042199.62   | 0.16%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                     | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: YK6552730<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     370000 | PA      | $453397.89    | 0.07%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC 144A                              | SABRE GLBL INC                                                                | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |      10000 | PA      | $7382.53      | 0.00%             | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| SABRE TL B 1L BANKDEBT                           | SABRE GLBL INC                                                                | CUSIP: 78571YBK5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |     112169 | PA      | $77489.56     | 0.01%             | 2029-11-15      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| SANDISK TL 1L BANKDEBT                           | SANDISK CORP                                                                  | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      29417 | PA      | $29416.54     | 0.00%             | 2032-02-20      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| SBCLN 2023-B C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-B                         | CUSIP: 80290CCC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     619431 | PA      | $627773.35    | 0.10%             | 2033-12-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-A B 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                         | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     174904 | PA      | $177383.37    | 0.03%             | 2032-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-A C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                         | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     210477 | PA      | $213266.35    | 0.03%             | 2032-06-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-B C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                         | CUSIP: 80280BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     212576 | PA      | $214322.94    | 0.03%             | 2033-01-18      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-B B 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                         | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     204400 | PA      | $205874.05    | 0.03%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| SBCLN 2025-A B 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                         | CUSIP: 80290CCR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $251433.25    | 0.04%             | 2034-01-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SBCLN 2025-A C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                         | CUSIP: 80290CCS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $251587.15    | 0.04%             | 2034-01-16      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| SDART 2026-1 C                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                                 | CUSIP: 80288FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $802770.88    | 0.13%             | 2032-04-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| SAN 2025-NQM2 A1 144A                            | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                           | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620458 | PA      | $627860.06    | 0.10%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                             | SBA TOWER TRUST                                                               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $91781.39     | 0.01%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                             | SBA TOWER TRUST                                                               | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2830000 | PA      | $2870115.53   | 0.45%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SCFET 2024-1A D 144A                             | SCF EQUIPMENT LEASING 2024-1 LLC                                              | CUSIP: 783896AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $738020.15    | 0.12%             | 2033-06-21      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| SCUL 27A BRR 144A                                | SCULPTOR CLO XXVII LTD                                                        | CUSIP: 81124UBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     590000 | PA      | $590000.00    | 0.09%             | 2037-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SEB4P 2021-1A A2 144A                            | SEB FUNDING LLC                                                               | CUSIP: 78433DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     902738 | PA      | $902732.90    | 0.14%             | 2052-01-30      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| SEB4P 2024-1A A2 144A                            | SEB FUNDING LLC                                                               | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     865000 | PA      | $889298.54    | 0.14%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-A B 144A                              | SECURITIZED TERM AUTO RECEIVABLES TRUST                                       | CUSIP: 81378RAB0<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |     185288 | PA      | $187255.37    | 0.03%             | 2031-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-B C 144A                              | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                | CUSIP: 81378WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      56405 | PA      | $57106.83     | 0.01%             | 2032-12-29      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-B B 144A                              | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                | CUSIP: 81378WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     151589 | PA      | $153287.32    | 0.02%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | SEK/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SE        |          1 | NC      | $-7067.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEMT 2013-4 B1                                   | SEQUOIA MORTGAGE TRUST 2013-4                                                 | CUSIP: 81744YAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152712 | PA      | $149686.50    | 0.02%             | 2043-04-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| SEMT 2017-CH2 A19 144A                           | SEQUOIA MORTGAGE TRUST 2017-CH2                                               | CUSIP: 81746JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35308 | PA      | $33760.41     | 0.01%             | 2047-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH1 A2 144A                            | SEQUOIA MORTGAGE TRUST 2018-CH1                                               | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |      14729 | PA      | $13741.93     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH3 A19 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH3                                               | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |       1798 | PA      | $1793.01      | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                    | SERVICE PROPERTIES TRUST                                                      | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     445000 | PA      | $468149.71    | 0.07%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                    | SERVICE PROPERTIES TRUST                                                      | CUSIP: 81761LAF9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     210000 | PA      | $191629.68    | 0.03%             | 2027-09-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-1A C 144A                             | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                              | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95000 | PA      | $98028.85     | 0.02%             | 2032-01-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | SGD/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SG        |          1 | NC      | $-1.98        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHACK 2019-14A BRR 144A                          | SHACKLETON 2019-XIV CLO LTD                                                   | CUSIP: 81880XAY8<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |    1190000 | PA      | $1191175.72   | 0.19%             | 2034-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                              | SHERWIN-WILLIAMS CO/THE                                                       | CUSIP: 824348BW5<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     194000 | PA      | $199350.64    | 0.03%             | 2035-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SRFC 2023-2A C 144A                              | SIERRA TIMESHARE 2023-2 RECEIVABLES FUNDING LLC                               | CUSIP: 82650BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     301164 | PA      | $312722.75    | 0.05%             | 2040-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| SPEAK 2018-5A BR 144A                            | SIGNAL PEAK CLO 5 LTD                                                         | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     950000 | PA      | $950900.60    | 0.15%             | 2037-04-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION TL B6 1L BANKDEBT            | SINCLAIR TELEVISION GROU                                                      | CUSIP: 829229AU7<br>LEI: 549300CQGEN0CH65UD62 | Long             | LON              | CORP              | US        |     139298 | PA      | $118403.51    | 0.02%             | 2029-12-31      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC 144A                         | SIRIUS XM RADIO LLC                                                           | CUSIP: 82966BAA3<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     190000 | PA      | $189444.82    | 0.03%             | 2032-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS/CAN WON/MILLEN 144A                    | SIX FLAGS ENTERTAINMENT CORP/CANADA'S WONDERLAND CO/MILLENNIUM OPERATIONS LLC | CUSIP: 83003AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     195000 | PA      | $197210.49    | 0.03%             | 2032-01-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC 144A                       | SM ENERGY CO                                                                  | CUSIP: 17888HAD5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     425000 | PA      | $469837.28    | 0.07%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC 144A                       | SM ENERGY CO                                                                  | CUSIP: 17888HAA1<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     115000 | PA      | $118855.08    | 0.02%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| SMB 2017-B A2A 144A                              | SMB PRIVATE EDUCATION LOAN TRUST 2017-B                                       | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |       4574 | PA      | $4567.59      | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SMB 2020-PTB A2A 144A                            | SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                     | CUSIP: 78449DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     183166 | PA      | $174770.91    | 0.03%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                            | SOCIETE GENERALE SA                                                           | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     995000 | PA      | $1020463.72   | 0.16%             | 2029-04-13      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                            | SOCIETE GENERALE SA                                                           | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     435000 | PA      | $477634.27    | 0.07%             | 2034-01-10      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                   | SOLVENTUM CORP                                                                | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     653000 | PA      | $652859.66    | 0.10%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SNDPT 2019-1A BRR 144A                           | SOUND POINT CLO XXII LTD                                                      | CUSIP: 83611KAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250246.50    | 0.04%             | 2032-01-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SOUTH32 TREASURY USA 144A                        | SOUTH32 TREASURY LTD                                                          | CUSIP: 84055BAA1<br>LEI: 213800HFGZMXST64GP53 | Long             | DBT              | CORP              | AU        |    2120000 | PA      | $2092189.88   | 0.33%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | SOUTHERN CALIFORNIA EDISON CO                                                 | CUSIP: 842400JL8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     420000 | PA      | $421771.29    | 0.07%             | 2033-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                            | SOUTHERN CALIFORNIA GAS CO                                                    | CUSIP: 842434DC3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     310000 | PA      | $326073.85    | 0.05%             | 2035-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO CVT 7.125000  A                      | SOUTHERN CO/THE                                                               | CUSIP: 842587842<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EP               | CORP              | US        |       3950 | NS      | $210535.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SRI LANKA 144A                       | SRI LANKA GOVERNMENT INTERNATIONAL BOND                                       | CUSIP: YS0722613<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |    1750000 | PA      | $1745948.46   | 0.27%             | 2036-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| MIDAS OPCO HOLDINGS LLC 144A                     | STAGWELL GLOBAL LLC                                                           | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |     205000 | PA      | $188674.86    | 0.03%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-CA C 144A                             | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C                 | CUSIP: 85855EAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     970000 | PA      | $975531.91    | 0.15%             | 2030-08-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| STRIPE INC SERIES A 5.04 2030 PP                 | STRIPE INC SERIES A 5.04 2030 PP                                              | CUSIP: 000000000<br>LEI: 549300CLHGIPTCYHQ143 | Long             | DBT              | CORP              | US        |     670000 | PA      | $670000.00    | 0.10%             | 2030-09-26      | Fixed         | 5.04%                 | Yes           |                  3 | On Loan: No      |
| SUNOCO LP 144A                                   | SUNOCO LP                                                                     | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     155000 | PA      | $163720.00    | 0.03%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                    | SUTTER HEALTH                                                                 | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     460000 | PA      | $488783.44    | 0.08%             | 2035-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                    | SUTTER HEALTH                                                                 | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     150000 | PA      | $157377.46    | 0.02%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SYMP 2015-16A ARR 144A                           | SYMPHONY CLO XVI LTD                                                          | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |     269090 | PA      | $269076.66    | 0.04%             | 2031-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                     | SYNOPSYS INC                                                                  | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     595000 | PA      | $594597.12    | 0.09%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-MOBILE USA INC                                                              | CUSIP: 87264ADZ5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     925000 | PA      | $930673.33    | 0.15%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-MOBILE USA INC                                                              | CUSIP: 87264ADW2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $1016565.17   | 0.16%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund            | T. Rowe Price Government Reserve Fund                                         | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |   15928916 | NS      | $15928915.98  | 2.49%             |  |  |  | No            |                  1 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                     | TALEN ENERGY SUPPLY LLC                                                       | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     192000 | PA      | $202073.66    | 0.03%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT             | TALEN ENERGY SUPPLY LLC                                                       | CUSIP: 87422LAY6<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |     356077 | PA      | $356700.58    | 0.06%             | 2031-12-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC TL B 1L USD BANKDEBT     | TALEN ENERGY SUPPLY LLC                                                       | CUSIP: 87422LAV2<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |     553696 | PA      | $554881.23    | 0.09%             | 2030-05-17      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT             | TALEN ENERGY SUPPLY LLC                                                       | CUSIP: 87422LBA7<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |     112089 | PA      | $112284.66    | 0.02%             | 2032-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                     | TALEN ENERGY SUPPLY LLC                                                       | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     185000 | PA      | $190184.43    | 0.03%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                     | TALEN ENERGY SUPPLY LLC                                                       | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     330000 | PA      | $335777.71    | 0.05%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN 144A                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                  | CUSIP: 87470LAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     155000 | PA      | $160689.00    | 0.03%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | TARGA RESOURCES CORP                                                          | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     785000 | PA      | $813554.64    | 0.13%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP 144A                       | TENET HEALTHCARE CORP                                                         | CUSIP: 88033GDV9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      75000 | PA      | $77543.29     | 0.01%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                            | TENET HEALTHCARE CORP                                                         | CUSIP: 88033GAV2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     180000 | PA      | $196566.61    | 0.03%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| COX MEDIA TL B2 1L BANKDEBT                      | TERRIER MEDIA BUYER INC                                                       | CUSIP: 88145LAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     460226 | PA      | $434222.81    | 0.07%             | 2029-06-18      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| THAIOIL TRSRY CENTER 144A                        | THAIOIL TREASURY CENTER CO LTD                                                | CUSIP: 88323RAC9<br>LEI: 549300NH03B9E8VGJR89 | Long             | DBT              | CORP              | TH        |     200000 | PA      | $201118.63    | 0.03%             | N/A             | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | THB/USD FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $10.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | THB/USD FWD 20260304 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $-1741.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | THB/USD FWD 20260306 BOFAUS6N                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $110590.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | THB/USD FWD 20260306 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $-19018.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                      | THB/USD FWD 20260402 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $-327.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | THB/USD FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $8.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TK ELEVATOR TL B 1L BANKDEBT                     | TK ELEVATOR US NEWCO INC                                                      | CUSIP: 8869969C3<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |     638512 | PA      | $638224.64    | 0.10%             | 2030-04-30      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| TKO GROUP TL B5 1L BANKDEBT                      | TKO WORLDWIDE HOLDINGS                                                        | CUSIP: 90266UAL7<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |     406245 | PA      | $406330.28    | 0.06%             | 2031-11-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                            | TORONTO-DOMINION BANK/THE                                                     | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     395000 | PA      | $398410.56    | 0.06%             | 2035-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| TPMT 2026-1 A1A 144A                             | TOWD POINT MORTGAGE TRUST                                                     | CUSIP: 891959AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588906 | PA      | $594539.62    | 0.09%             | 2066-01-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-2 A1B 144A                             | TOWD POINT MORTGAGE TRUST 2024-2                                              | CUSIP: 89183AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290740 | PA      | $296786.91    | 0.05%             | 2064-12-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-3 A1B 144A                             | TOWD POINT MORTGAGE TRUST 2024-3                                              | CUSIP: 89183FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130436 | PA      | $132308.12    | 0.02%             | 2065-07-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-5 A1B 144A                             | TOWD POINT MORTGAGE TRUST 2024-5                                              | CUSIP: 891944AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1356939 | PA      | $1375876.59   | 0.22%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1A 144A                             | TOWD POINT MORTGAGE TRUST 2025-1                                              | CUSIP: 89190KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581102 | PA      | $592708.36    | 0.09%             | 2065-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1B 144A                             | TOWD POINT MORTGAGE TRUST 2025-1                                              | CUSIP: 89190KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288333 | PA      | $292312.02    | 0.05%             | 2065-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| TOWNSQUARE TL B 1L BANKDEBT                      | TOWNSQUARE MEDIA INC                                                          | CUSIP: 8922319C7<br>LEI: 549300XBA8C68H0DR538 | Long             | LON              | CORP              | US        |     323761 | PA      | $239583.13    | 0.04%             | 2030-02-19      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| TPIC CLASS A SR TERM NOTES PP                    | TPIC Rollup Sr Term Notes PP                                                  | CUSIP: 000000000<br>LEI: 98450079E44D2D1B6432 | Long             | DBT              | CORP              | US        |     106968 | PA      | $106967.58    | 0.02%             | 2026-12-10      | Fixed         | 46.47%                | Yes           |                  3 | On Loan: No      |
| TPIC SPV I LLC 2024-1 A1 PP                      | TPIC SPV I LLC                                                                | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |    1309818 | PA      | $1166173.40   | 0.18%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| TRANSDIGM INC 144A                               | TRANSDIGM INC                                                                 | CUSIP: 893647CB1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     195000 | PA      | $198077.99    | 0.03%             | 2034-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                               | TRANSDIGM INC                                                                 | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     185000 | PA      | $192067.52    | 0.03%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                               | TRANSDIGM INC                                                                 | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     460000 | PA      | $482091.87    | 0.08%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM TL M 1L BANKDEBT                       | TRANSDIGM INC                                                                 | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     289275 | PA      | $289107.22    | 0.05%             | 2032-08-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC TL N 1L BANKDEBT                   | TRANSDIGM INC                                                                 | CUSIP: 89364MCG7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     100000 | PA      | $100076.00    | 0.02%             | 2033-02-10      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN AQUILA LTD 144A                       | TRANSOCEAN AQUILA LTD                                                         | CUSIP: 893790AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     104846 | PA      | $107503.38    | 0.02%             | 2028-09-30      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC 144A                              | TRANSOCEAN INTERNATIONAL LTD                                                  | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |     141400 | PA      | $147841.40    | 0.02%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC 144A                              | TRANSOCEAN INTERNATIONAL LTD                                                  | CUSIP: 893814AA1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      60000 | PA      | $64345.92     | 0.01%             | 2032-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC 144A                              | TRANSOCEAN INTERNATIONAL LTD                                                  | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |     130000 | PA      | $135330.26    | 0.02%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GRS - SECURITY LENDING COLLATERAL                | TREASURY RESERVE FUND - Collateral                                            | CUSIP: 000000000<br>LEI: 549300SIV6FPS9Y7IH33 | Long             | STIV             | RF                | US        |    2170072 | NS      | $2170072.50   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| TCN 2024-SFR2 D 144A                             | TRICON RESIDENTIAL 2024-SFR2 TRUST                                            | CUSIP: 89616VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     870000 | PA      | $880498.55    | 0.14%             | 2040-06-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TCN 2024-SFR2 A 144A                             | TRICON RESIDENTIAL 2024-SFR2 TRUST                                            | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     132580 | PA      | $133170.20    | 0.02%             | 2040-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | TRS LQD 3M 04/15/2026/118708964/CHASGB2LXXX_C                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2851.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | TRY/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TR        |          1 | NC      | $22.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                  | TRY/USD FWD 20260303 SBOSGB2X                                                 | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | TR        |          1 | NC      | $4153.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | TRY/USD FWD 20260416 BARCGB5G                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | TR        |          1 | NC      | $19635.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | TWD/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TW        |          1 | NC      | $281.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | TWD/USD FWD 20260303 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | TW        |          1 | NC      | $5208.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | TWD/USD FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TW        |          1 | NC      | $5.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | TWD/USD FWD 20260402 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | TW        |          1 | NC      | $-1914.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UKG INC TL B 1L USD BANKDEBT                     | UKG INC                                                                       | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |     330045 | PA      | $311727.21    | 0.05%             | 2031-02-10      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| UKG INC 144A                                     | UKG INC                                                                       | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |     160000 | PA      | $155263.02    | 0.02%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2215000 | PA      | $1480589.06   | 0.23%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12865000 | PA      | $12969528.13  | 2.03%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6535000 | PA      | $6908720.31   | 1.08%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9370000 | PA      | $9718446.88   | 1.52%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6050000 | PA      | $5729539.06   | 0.90%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1350000 | PA      | $1191480.47   | 0.19%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7260000 | PA      | $7377975.00   | 1.15%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9130000 | PA      | $4700523.44   | 0.73%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6475000 | PA      | $6666214.84   | 1.04%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4070000 | PA      | $4202275.00   | 0.66%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5370000 | PA      | $4754128.13   | 0.74%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4895000 | PA      | $5020434.38   | 0.78%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     780000 | PA      | $580856.25    | 0.09%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2255000 | PA      | $1480196.09   | 0.23%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3970000 | PA      | $4079175.00   | 0.64%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1740000 | PA      | $1563553.13   | 0.24%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5495000 | PA      | $5608763.67   | 0.88%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     405000 | PA      | $415188.28    | 0.06%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10795000 | PA      | $6829524.22   | 1.07%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2145000 | PA      | $1800794.53   | 0.28%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     960000 | PA      | $889500.00    | 0.14%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1275000 | PA      | $1096101.56   | 0.17%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1685000 | PA      | $1523082.03   | 0.24%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5605000 | PA      | $5658422.66   | 0.88%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2715000 | PA      | $2561432.81   | 0.40%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     175000 | PA      | $175136.72    | 0.03%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5470000 | PA      | $5545639.84   | 0.87%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4675000 | PA      | $4289312.50   | 0.67%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2815000 | PA      | $2769256.25   | 0.43%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2215000 | PA      | $1487510.94   | 0.23%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1500000 | PA      | $1082812.50   | 0.17%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1995000 | PA      | $1869377.34   | 0.29%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13650000 | PA      | $8164406.25   | 1.28%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13030000 | PA      | $13304851.56  | 2.08%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2395000 | PA      | $2443835.55   | 0.38%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12055000 | PA      | $12663400.78  | 1.98%             | 2031-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1275000 | PA      | $1087933.59   | 0.17%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5690000 | PA      | $4327067.19   | 0.68%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9915000 | PA      | $10014150.00  | 1.57%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6890000 | PA      | $6956746.88   | 1.09%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     580000 | PA      | $525534.38    | 0.08%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                              | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3680000 | PA      | $3447125.00   | 0.54%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UNITEDHEALTH GROUP INC                                                        | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     315000 | PA      | $328506.93    | 0.05%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                           | UNITEDHEALTH GROUP INC                                                        | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     180000 | PA      | $186384.73    | 0.03%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS 144A                    | UNIVISION COMMUNICATIONS INC                                                  | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     130000 | PA      | $133575.77    | 0.02%             | 2031-07-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS 144A                    | UNIVISION COMMUNICATIONS INC                                                  | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     140000 | PA      | $148009.72    | 0.02%             | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| TYM6 US 10YR NOTE (CBT)JUN26                     | US 10YR NOTE (CBT)JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          8 | NC      | $3926.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UXYM6 US 10YR ULTRA FUT JUN26                    | US 10YR ULTRA FUT JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         89 | NC      | $55498.62     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TUM6 US 2YR NOTE (CBT) JUN26                     | US 2YR NOTE (CBT) JUN26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        369 | NC      | $85960.58     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| USCLN 2023-1 B 144A                              | US BANK NA                                                                    | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      43944 | PA      | $44379.15     | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS                                         | USD IRS OPT 1Y/2Y 2 1/8/27 REC BARC                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-188654.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                         | USD IRS OPT 1Y/2Y 2 1/8/27 REC BARC                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-182126.51   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                         | USD IRS OPT 1Y/2Y 2.5 1/8/27 REC BARC                                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $409700.14    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                         | USD IRS OPT 1Y/2Y 2.5 1/8/27 REC BARC                                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $395524.15    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | USD IRS OPT 2M/10Y 4.05 4/6/26 PAY MSLN                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |          1 | NC      | $3691.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/AUD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-476.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/BRL FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3916.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | USD/BRL FWD 20260303 SCBLGB2L                                                 | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $94565.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | USD/BRL FWD 20260602 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-42358.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CAD FWD 20260302 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $337.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | USD/CAD FWD 20260424 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3117.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/CAD FWD 20260424 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-50884.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CHF FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $179.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CLP FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2166.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | USD/CLP FWD 20260303 SOGEFRPP                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2748.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CLP FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $142.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CNH FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-62.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | USD/COP FWD 20260303 BOFAUS6N                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-199.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/COP FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11827.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | USD/COP FWD 20260303 SOGEFRPP                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5555.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | USD/COP FWD 20260306 BOFAUS6N                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16478.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | USD/COP FWD 20260306 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-42441.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                      | USD/COP FWD 20260306 TDOMCATT                                                 | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14572.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/COP FWD 20260406 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10999.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CZK FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1195.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/EGP FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $82.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | USD/EGP FWD 20260303 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $830.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | USD/EGP FWD 20260303 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1141.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | USD/EGP FWD 20260312 GSILGB2X                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11583.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/EGP FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-51.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | USD/EGP FWD 20260402 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4366.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/EUR FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $800.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/EUR FWD 20260522 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $468.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | USD/EUR FWD 20260522 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $23199.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/GBP FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $177.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/HUF FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $37.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | USD/HUF FWD 20260417 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12263.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | USD/HUF FWD 20260417 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-190840.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/IDR FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/ILS FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4126.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/ILS FWD 20260319 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-44.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/INR FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $47.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/INR FWD 20260304 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1012.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/INR FWD 20260406 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/INR FWD 20260406 ROYCGB2L                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1118.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/JPY FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $307.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | USD/JPY FWD 20260303 SOGEFRPP                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8169.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/KRW FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-27.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | USD/KZT FWD 20260410 DEUTGB2L                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10044.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/MXN FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-34.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                      | USD/MYR FWD 20260303 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14614.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/MYR FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-311.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/MYR FWD 20260402 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/NOK FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-181.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/NZD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $16.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/PEN FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-400.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | USD/PEN FWD 20260303 SOGEFRPP                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-521.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | USD/PHP FWD 20260303 UBSWGB2L                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-90.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/SEK FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $193.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | USD/SGD FWD 20260303 BOFAUS6N                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1211.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/SGD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | USD/SGD FWD 20260303 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $951.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | USD/SGD FWD 20260303 MSLNGB2X                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1364.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                      | USD/THB FWD 20260304 BNPAFRPP                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-276.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/THB FWD 20260304 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-73.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/TWD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1196.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | USD/TWD FWD 20260303 CITIGB2L                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4121.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/ZAR FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VACA MUERTA SUR FRN PP                           | VACA MUERTA SUR FRN PP                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |     340000 | PA      | $340306.00    | 0.05%             | 2030-07-08      | Variable      | 9.34%                 | Yes           |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC 144A                      | VENTURE GLOBAL LNG INC                                                        | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     290000 | PA      | $311047.44    | 0.05%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC 144A                      | VENTURE GLOBAL LNG INC                                                        | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     760000 | PA      | $664425.30    | 0.10%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     165000 | PA      | $173648.73    | 0.03%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     475000 | PA      | $539037.01    | 0.08%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     110000 | PA      | $114249.26    | 0.02%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     180000 | PA      | $199747.85    | 0.03%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VEON HOLDINGS BV                                 | VEON MIDCO BV                                                                 | CUSIP: YX4775913<br>LEI: 213800GOFSH7EPKBRE50 | Long             | DBT              | CORP              | NL        |     720000 | PA      | $692797.80    | 0.11%             | 2027-11-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VERD 2024-1A A2 144A                             | VERDANT RECEIVABLES 2024-1 LLC                                                | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     136653 | PA      | $139243.25    | 0.02%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| VERTIV HOLDINGS CO                               | VERTIV HOLDINGS CO                                                            | CUSIP: 92537NAC2<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |      65000 | PA      | $65072.74     | 0.01%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-2 A1 144A                             | VERUS SECURITIZATION TRUST 2025-2                                             | CUSIP: 92540VAA3<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |     130991 | PA      | $132046.92    | 0.02%             | 2070-03-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-INV1 A3 144A                          | VERUS SECURITIZATION TRUST 2025-INV1                                          | CUSIP: 924929AE2<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |     670908 | PA      | $677519.43    | 0.11%             | 2070-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| VIASAT TL B 1L BANKDEBT                          | VIASAT INC                                                                    | CUSIP: 92555WAD7<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | LON              | CORP              | US        |     202897 | PA      | $202873.09    | 0.03%             | 2029-03-02      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| VIASAT INC 144A                                  | VIASAT INC                                                                    | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     140000 | PA      | $138262.84    | 0.02%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VSTA 2020-1 B1 144A                              | VISTA POINT SECURITIZATION TRUST 2020-1                                       | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $552832.17    | 0.09%             | 2065-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP 144A                                 | VISTRA CORP                                                                   | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    1805000 | PA      | $1989594.87   | 0.31%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                    | VISTRA OPERATIONS CO LLC                                                      | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     570000 | PA      | $639241.32    | 0.10%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                    | VISTRA OPERATIONS CO LLC                                                      | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      19000 | PA      | $19696.55     | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC 144A                          | VOYAGER PARENT LLC                                                            | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |     205000 | PA      | $218857.73    | 0.03%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| WAND NEWCO 3 INC 144A                            | WAND NEWCO 3 INC                                                              | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |     185000 | PA      | $192876.94    | 0.03%             | 2032-01-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CALIBER COLLISION TL B 1L BANKDEBT               | WAND NEWCO 3 INC                                                              | CUSIP: 93369PAM6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |     300895 | PA      | $298971.93    | 0.05%             | 2031-01-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| WB 2024-HQ A 144A                                | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                          | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220000 | PA      | $219938.82    | 0.03%             | 2040-03-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | WELLS FARGO & CO                                                              | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $666159.01    | 0.10%             | 2034-10-23      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A A2 144A                              | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                                        | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100365.11    | 0.02%             | 2033-09-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A C 144A                               | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                                        | CUSIP: 97415CAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100703.06    | 0.02%             | 2033-09-20      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| WIN 2016-1 B3 144A                               | WINWATER MORTGAGE LOAN TRUST 2016-1                                           | CUSIP: 97655JCD2<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |     390391 | PA      | $378792.97    | 0.06%             | 2046-01-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC 144A                               | WOLFSPEED INC                                                                 | CUSIP: 977852AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     140574 | PA      | $149318.12    | 0.02%             | 2030-06-23      | Variable      | 13.88%                | No            |                  2 | On Loan: No      |
| WULF COMPUTE LLC 144A                            | WULF COMPUTE LLC                                                              | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     440000 | PA      | $465872.30    | 0.07%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| X/TWITTER TL 1L BANKDEBT                         | X CORP                                                                        | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     335000 | PA      | $351247.50    | 0.05%             | 2029-10-26      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| X/TWITTER TL B1 1L BANKDEBT                      | X CORP                                                                        | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     403959 | PA      | $404799.10    | 0.06%             | 2029-10-26      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| X.AI LLC TL 1L BANKDEBT                          | X.AI LLC                                                                      | CUSIP: 98402XAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      65003 | PA      | $73602.59     | 0.01%             | 2030-06-28      | Floating      | 12.50%                | No            |                  2 | On Loan: No      |
| X.AI LLC/X.AI CO ISSUER 144A                     | X.AI LLC / X.AI CO ISSUER CORP                                                | CUSIP: 983984AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $136672.12    | 0.02%             | 2030-06-30      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING 144A                      | XPLR INFRASTRUCTURE OPERATING PARTNERS LP                                     | CUSIP: 98379YAA0<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     495000 | PA      | $513059.00    | 0.08%             | 2034-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                  | YUM! BRANDS INC                                                               | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     110000 | PA      | $111797.08    | 0.02%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | ZAR/USD FWD 20260303 CHASGB2L                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ZA        |          1 | NC      | $330.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-06

**Name of Applicant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President