# EDGAR Filing Document

**Accession Number:** 0000816153
**File Stem:** 0001410368-26-051176
**Filing Date:** 2026-5
**Character Count:** 140887
**Document Hash:** aec2abbdd1cd0b68a1c4664dd1625d50
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-051176.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-051176

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** THORNBURG INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000816153

**ORGANIZATION NAME:**
- **EIN:** 061158764
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05201
- **FILM NUMBER:** 261016881

**BUSINESS ADDRESS:**
- **STREET 1:** 2300 NORTH RIDGETOP ROAD
- **CITY:** SANTA FE
- **STATE:** NM
- **ZIP:** 87506-8361
- **BUSINESS PHONE:** 5059840200

**MAIL ADDRESS:**
- **STREET 1:** 2300 NORTH RIDGETOP ROAD
- **CITY:** SANTA FE
- **STATE:** NM
- **ZIP:** 87506-8361

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** THORNBURG INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LIMITED TERM TRUST
- **DATE OF NAME CHANGE:** 19870816

## Series and Classes Contracts Data

### Thornburg Investment Income Builder Fund (Series ID: S000011851)

| Class ID   | Class Name                                          | Ticker Symbol   |
|:---|:---|:---|
| C000032380 | Thornburg Investment Income Builder Fund - Class A  | TIBAX           |
| C000032381 | Thornburg Investment Income Builder Fund - Class C  | TIBCX           |
| C000032382 | Thornburg Investment Income Builder Fund - Class I  | TIBIX           |
| C000042675 | Thornburg Investment Income Builder Fund - Class R3 | TIBRX           |
| C000047041 | Thornburg Investment Income Builder Fund - Class R5 | TIBMX           |
| C000058461 | Thornburg Investment Income Builder Fund - Class R4 | TIBGX           |
| C000177479 | Thornburg Investment Income Builder Fund - Class R6 | TIBOX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** THORNBURG INVESTMENT TRUST

- **b. Investment Company Act file number:** 811-05201

- **c. CIK number of Registrant:** 0000816153

- **d. LEI of Registrant:** 5493001XM52H8S4WYY82

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

  - **Street Address 1:** 2300 NORTH RIDGETOP ROAD

  - **City:** SANTA FE

  - **State:** NM

  - **Foreign country:** US

  - **Zip / Postal Code:** 87506-8361

  - **Telephone number:** 505-984-0200

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

- **a. Name of Series:** Thornburg Investment Income Builder Fund

- **b. EDGAR series identifier (if any):** S000011851

- **c. LEI of Series:** 549300TMVK6SMZQZYS83

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $21186318957.52

**Total Liabilities:** $89385291.61

**Net Assets:** $21096933665.91

**Cash Not Reported:** $3140681.95

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000032380 | 6.49%                | 7.14%                | -3.66%               |
| Class ID C000032381 | 6.40%                | 7.07%                | -3.73%               |
| Class ID C000032382 | 6.49%                | 7.16%                | -3.67%               |
| Class ID C000042675 | 6.46%                | 7.09%                | -3.70%               |
| Class ID C000047041 | 6.48%                | 7.16%                | -3.65%               |
| Class ID C000058461 | 6.46%                | 7.12%                | -3.66%               |
| Class ID C000177479 | 6.51%                | 7.16%                | -3.62%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $15866.43                | $1172664978.47                             |
| Month 2  | $159873382.69            | $1256945562.14                             |
| Month 3  | $13461739.32             | $-967629448.37                             |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACCO BRANDS CORP                                 | ACCO Brands Corp                                                          | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6698625.00    | 0.03%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AES ESPANA BV                                    | AES Espana BV                                                             | CUSIP: 00109YAA3<br>LEI: 7245003VZ59682IZLJ86 | Long             | DBT              | CORP              | NL        |   4850000 | PA      | $4754552.00    | 0.02%             | 2028-05-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                         | AT&T Inc                                                                  | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |  27002773 | NS      | $782810389.27  | 3.71%             |  |  |  | No            |                  1 | On Loan: No      |
| ASP WHCO PARTN 2025 2 LP                         | ASP WHCO PARTN 2025 2 LP                                                  | CUSIP: 00218YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  23750000 | PA      | $23695429.63   | 0.11%             | 2029-03-29      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                       | AbbVie Inc                                                                | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |    476780 | NS      | $103694882.20  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| AEGEA FINANCE SARL                               | Aegea Finance Sarl                                                        | CUSIP: 00775CAC0<br>LEI: 213800V6WTKUT1XWIZ47 | Long             | DBT              | CORP              | LU        |   9500000 | PA      | $9350280.00    | 0.04%             | 2031-01-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                           | American Airlines 2019-1 Class B Pass Through Trust                       | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4330585 | PA      | $4199498.48    | 0.02%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BAE Systems PLC                                  | BAE Systems PLC                                                           | CUSIP: 000000000<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | EC               | CORP              | GB        |  11749400 | NS      | $344474806.80  | 1.63%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2022-6                                           | CUSIP: 03465VAC7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |   3466307 | PA      | $3451383.36    | 0.02%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                 | Antares Holdings LP                                                       | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2915850.00    | 0.01%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                 | Antares Holdings LP                                                       | CUSIP: 03666HAF8<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3109980.00    | 0.01%             | 2028-08-11      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                 | Antares Holdings LP                                                       | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4949000.00    | 0.02%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| MidCap Financial Investment Corp                 | MidCap Financial Investment Corp                                          | CUSIP: 03761U502<br>LEI: 5493005P14I7WFB3FW47 | Long             | EC               | CORP              | US        |   3237783 | NS      | $36392680.92   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Aqua Finance Trust                               | Aqua Finance Trust 2020-A                                                 | CUSIP: 038413AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250042 | PA      | $5202002.82    | 0.02%             | 2046-07-17      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                 | Arches Buyer Inc                                                          | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6266195.00    | 0.03%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                             | BWX Technologies Inc                                                      | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7306050.00    | 0.03%             | 2028-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                           | Bank of New York Mellon Corp/The                                          | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1925518.50    | 0.01%             | 2026-09-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                           | Bank of New York Mellon Corp/The                                          | CUSIP: 064058AL4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  34407000 | PA      | $33730214.31   | 0.16%             | 2026-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                     | Barclays Mortgage Trust 2021-NPL1                                         | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4347431 | PA      | $4349534.94    | 0.02%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                     | Barclays Mortgage Loan Trust 2022-INV1                                    | CUSIP: 06744YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11384937 | PA      | $11187772.09   | 0.05%             | 2062-02-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                     | Barclays Mortgage Trust 2022-RPL1                                         | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9361893 | PA      | $9419979.22    | 0.04%             | 2028-02-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust      | Bear Stearns ARM Trust 2003-6                                             | CUSIP: 07384MXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12214 | PA      | $12175.61      | 0.00%             | 2033-08-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                  | AstraZeneca PLC                                                           | CUSIP: 000000000<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |   1545700 | NS      | $302246095.96  | 1.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom Inc                                     | Broadcom Inc                                                              | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |   2029364 | NS      | $628108451.64  | 2.98%             |  |  |  | No            |                  1 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                         | Burford Capital Global Finance LLC                                        | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |  11500000 | PA      | $10384385.00   | 0.05%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                              | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7252080.00    | 0.03%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                              | CDW LLC / CDW Finance Corp                                                | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4938350.00    | 0.02%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CD&R SMOKEY / RADIO SYS                          | CD&R Smokey Buyer Inc / Radio Systems Corp                                | CUSIP: 12515KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11475000 | PA      | $9731373.75    | 0.05%             | 2029-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J1                                                         | CUSIP: 12559YAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46940517 | PA      | $1010122.37    | 0.00%             | 2049-10-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J1                                                         | CUSIP: 12559YAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41867108 | PA      | $1158559.19    | 0.01%             | 2049-10-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J1                                                         | CUSIP: 12559YBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247478 | PA      | $1088259.05    | 0.01%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J1                                                         | CUSIP: 12559YBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631062 | PA      | $423062.43     | 0.00%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J1                                                         | CUSIP: 12559YBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145464 | PA      | $573009.75     | 0.00%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J1                                                         | CUSIP: 12559YBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58617189 | PA      | $633487.68     | 0.00%             | 2049-10-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J2                                                         | CUSIP: 12568PBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  91980190 | PA      | $1335543.17    | 0.01%             | 2051-01-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J2                                                         | CUSIP: 12568PCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491000 | PA      | $236323.00     | 0.00%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J2                                                         | CUSIP: 12568PCK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164000 | PA      | $77572.13      | 0.00%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J2                                                         | CUSIP: 12568PCL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655000 | PA      | $280636.58     | 0.00%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2020-J2                                                         | CUSIP: 12568PCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  98425160 | PA      | $1187519.24    | 0.01%             | 2051-01-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2023-I1                                                         | CUSIP: 12570DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5000000.00    | 0.02%             | 2058-04-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| CME Group Inc                                    | CME Group Inc                                                             | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |   1063223 | NS      | $314022913.05  | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2020-AFC1 Trust                                                      | CUSIP: 12597MAD7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3808500 | PA      | $3254600.86    | 0.02%             | 2050-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2021-AFC1 Trust                                                      | CUSIP: 12657LAG9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $146677.92     | 0.00%             | 2056-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2021-AFC1 Trust                                                      | CUSIP: 12657LAH7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  61199086 | PA      | $598973.81     | 0.00%             | 2056-03-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2021-AFC1 Trust                                                      | CUSIP: 12657LAJ3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  61199086 | PA      | $10293074.24   | 0.05%             | 2056-03-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                   | CPS Auto Securitization Trust 2021-1                                      | CUSIP: 12657TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5888495 | PA      | $5997429.58    | 0.03%             | 2026-06-16      | Fixed         | 7.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-NQM5 Trust                                                      | CUSIP: 12663DAE4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2983019 | PA      | $2972420.18    | 0.01%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-P1                                    | CUSIP: 14687B106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24000 | PA      | $0.00          | 0.00%             | 2027-12-10      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-P4                                    | CUSIP: 14687KAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17500 | PA      | $1786489.51    | 0.01%             | 2028-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-P2                                    | CUSIP: 14687TAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8000 | PA      | $1058667.64    | 0.01%             | 2028-05-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2022-P1                                    | CUSIP: 14688DAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24000 | PA      | $4980894.43    | 0.02%             | 2029-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Celsius Holdings Inc                             | Celsius Holdings Inc 2025 Term Loan B                                     | CUSIP: 15118XAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6191111 | PA      | $6196930.74    | 0.03%             | 2032-04-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| CNTL AMR BOTTLING CORP                           | Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL | CUSIP: 15239XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |  10443000 | PA      | $10185475.62   | 0.05%             | 2029-04-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Century De Buyer LLC                             | Century De Buyer LLC 2025 Term Loan B                                     | CUSIP: 15651FAE6<br>LEI: 254900PQRPPYRTQIDX74 | Long             | LON              | CORP              | US        |   1477612 | PA      | $1433594.25    | 0.01%             | 2030-10-30      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Home Lending Mortgage Trust 2019-1                                  | CUSIP: 16159WBZ6<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    917943 | PA      | $818532.45     | 0.00%             | 2050-03-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Home Lending Mortgage Trust 2019-1                                  | CUSIP: 16159WCA0<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    429435 | PA      | $340856.40     | 0.00%             | 2050-03-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Home Lending Mortgage Trust 2019-1                                  | CUSIP: 16159WCB8<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    745503 | PA      | $496311.56     | 0.00%             | 2050-03-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Mortgage Finance Corp                                               | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530012 | PA      | $494956.54     | 0.00%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Chimera Investment Corp                          | Chimera Investment Corp                                                   | CUSIP: 16934Q802<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EC               |  | US        |   5197862 | NS      | $65233168.10   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Cisco Systems Inc                                | Cisco Systems Inc                                                         | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |   2613737 | NS      | $202799853.83  | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc                                    | Citigroup Inc                                                             | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |   6986967 | NS      | $792391927.47  | 3.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2004-HYB2                                   | CUSIP: 17307GEF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129131 | PA      | $36812.16      | 0.00%             | 2034-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAF4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $1780210.19    | 0.01%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAG2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1145176.51    | 0.01%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $466607.54     | 0.00%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |  28295093 | PA      | $678516.33     | 0.00%             | 2060-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust Inc                                         | CUSIP: 17328PCD3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $349130.11     | 0.00%             | 2050-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust Inc                                         | CUSIP: 17328PCE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $752850.70     | 0.00%             | 2050-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                     | CUSIP: 17329EBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $206807.00     | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                     | CUSIP: 17329EBY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665000 | PA      | $295808.23     | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                     | CUSIP: 17329EBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509528 | PA      | $201767.13     | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2021-J3                                     | CUSIP: 17330BDP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1033000 | PA      | $561477.03     | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                | Citigroup Mortgage Loan Trust 2021-J3                                     | CUSIP: 17330BDR8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    573149 | PA      | $240292.59     | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| COBANK ACB                                       | CoBank ACB                                                                | CUSIP: 19075QAC6<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | DBT              | USGA              | US        |  29810000 | PA      | $29841300.50   | 0.14%             | 2026-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                           | Cogent Communications Group LLC / Cogent Finance Inc                      | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9886600.00    | 0.05%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cogent IPv4 LLC                                  | Cogent Ipv4 LLC                                                           | CUSIP: 19240JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2598000 | PA      | $2676476.98    | 0.01%             | 2054-05-25      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                        | College Ave Student Loans 2023-A LLC                                      | CUSIP: 193938107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35000 | PA      | $16506283.44   | 0.08%             | 2055-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                         | Comision Federal de Electricidad                                          | CUSIP: 200447AP5<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   8000000 | PA      | $7956160.00    | 0.04%             | 2035-01-24      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                    | CoreCivic Inc                                                             | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |  12869000 | PA      | $13430088.40   | 0.06%             | 2029-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                           | Cushman & Wakefield US Borrower LLC                                       | CUSIP: 23166MAA1<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3004470.00    | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                  | DC Office Trust 2019-MTC                                                  | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3025000 | PA      | $2728589.17    | 0.01%             | 2045-09-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                          | Darling Ingredients Inc                                                   | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $4090378.50    | 0.02%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                              | DataBank Issuer                                                           | CUSIP: 23802WAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9859100.20    | 0.05%             | 2054-01-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13230000 | PA      | $13693182.30   | 0.06%             | 2029-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                         | Deutsche Telekom International Finance BV                                 | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |  26150000 | PA      | $30041381.50   | 0.14%             | 2030-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Foresea Holding SA                               | Foresea Holding SA                                                        | CUSIP: 262051105<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |     14782 | NS      | $639321.50     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Foresea Holding SA                               | Foresea Holdings SA                                                       | CUSIP: 262051204<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |    133041 | NS      | $5754023.25    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| FORESEA HOLDING SA                               | FORESEA Holding SA                                                        | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |   1520371 | PA      | $1492685.04    | 0.01%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD GBP                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $6285691.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CHF                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $867219.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED USD / SOLD EUR                                                  | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $-13107439.59  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| EMERA INC                                        | Emera Inc                                                                 | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |  31457000 | PA      | $31463605.97   | 0.15%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EMPRESA GEN ELEC HAINA                           | Empresa Generadora de Electricidad Haina SA                               | CUSIP: 29249FAA4<br>LEI: 549300Y36L5LRW5RH373 | Long             | DBT              | CORP              | DO        |   7850000 | PA      | $7642524.50    | 0.04%             | 2028-11-08      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                     | Enbridge Inc                                                              | CUSIP: 29250N105<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | EC               | CORP              | CA        |   3309521 | NS      | $179405491.06  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Energizer Holdings, Inc.                         | Energizer Holdings Inc 2025 Term Loan B                                   | CUSIP: 29267YAW2<br>LEI: 5493000D6NN0V57UME20 | Long             | LON              | CORP              | US        |   6436904 | PA      | $6412765.67    | 0.03%             | 2032-03-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                        | CUSIP: 29273RBA6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  13820000 | PA      | $13578150.00   | 0.06%             | 2066-11-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                 | Enstar Group Ltd                                                          | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |   8354000 | PA      | $7378754.04    | 0.03%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                           | Equitable Holdings Inc                                                    | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |   4814078 | NS      | $178650434.58  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| FAIR ISAAC CORP                                  | Fair Isaac Corp                                                           | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |  17800000 | PA      | $17280062.00   | 0.08%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                  | Fair Isaac Corp                                                           | CUSIP: 303250AJ3<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |   2364000 | PA      | $2323126.44    | 0.01%             | 2034-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BK OF TEXAS                          | Farm Credit Bank of Texas                                                 | CUSIP: 30767EAF6<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $5123900.00    | 0.02%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I, LLC                | FAT Brands Fazoli's Native I LLC                                          | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13687621 | PA      | $8912948.95    | 0.04%             | 2051-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                         | FHF Trust 2022-2                                                          | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125836 | PA      | $125898.09     | 0.00%             | 2027-12-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                          | Fidelity National Financial Inc                                           | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   8383000 | PA      | $7884546.82    | 0.04%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                          | Fidelity National Financial Inc                                           | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1617000 | PA      | $1427455.26    | 0.01%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON BANK                               | First Horizon Bank                                                        | CUSIP: 337158208<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | EP               | CORP              | US        |     12000 | NS      | $8877000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                       | Flagship Credit Auto Trust 2019-4                                         | CUSIP: 33845F106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $3378599.85    | 0.02%             | 2027-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                       | Flagship Credit Auto Trust 2019-3                                         | CUSIP: 33846A106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $2022366.06    | 0.01%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KBG0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  85932929 | PA      | $2935855.57    | 0.01%             | 2050-08-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KBH8<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  14728457 | PA      | $412871.06     | 0.00%             | 2050-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KBZ8<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    777895 | PA      | $681315.40     | 0.00%             | 2050-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KCA2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2333686 | PA      | $2065722.77    | 0.01%             | 2050-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KCB0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   3069674 | PA      | $1777878.65    | 0.01%             | 2050-08-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBE0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2272482 | PA      | $1877722.25    | 0.01%             | 2051-12-30      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBF7<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    445406 | PA      | $359424.30     | 0.00%             | 2051-12-30      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBG5<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   3911113 | PA      | $2701788.73    | 0.01%             | 2051-12-30      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBM2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        | 145775590 | PA      | $1438017.88    | 0.01%             | 2051-12-30      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBN0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  11027583 | PA      | $338555.63     | 0.00%             | 2051-12-30      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBV2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  12085023 | PA      | $133567.30     | 0.00%             | 2051-12-30      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust | Fortiva Retail Credit Master Note Business Trust                          | CUSIP: 34962AAZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22585000 | PA      | $22434895.57   | 0.11%             | 2031-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                | GEO Group Inc/The                                                         | CUSIP: 36162JAG1<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |   8975000 | PA      | $9321973.50    | 0.04%             | 2029-04-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAN8<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1152649 | PA      | $184687.05     | 0.00%             | 2050-10-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAQ1<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |  13800974 | PA      | $1898110.06    | 0.01%             | 2050-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAU2<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |  49900010 | PA      | $499.00        | 0.00%             | 2050-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAV0<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   2487296 | PA      | $52423.00      | 0.00%             | 2050-10-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAX6<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   2677786 | PA      | $116422.92     | 0.00%             | 2050-10-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBN7<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1731255 | PA      | $1525595.29    | 0.01%             | 2050-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBP2<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1735353 | PA      | $1536681.26    | 0.01%             | 2050-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBQ0<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   4398412 | PA      | $3128744.52    | 0.01%             | 2050-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBT4<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |  19758800 | PA      | $317184.07     | 0.00%             | 2050-10-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBU1<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |  77524055 | PA      | $859431.68     | 0.00%             | 2050-10-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GSMS Trust 2026-DAWN                                                      | CUSIP: 36274LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13345000 | PA      | $13337379.87   | 0.06%             | 2043-04-10      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2020-H1            | Galton Funding Mortgage Trust 2020-H1                                     | CUSIP: 36418HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4379900 | PA      | $3141344.87    | 0.01%             | 2060-01-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Glebe Funding Trust                              | Glebe Funding Trust 2024-1/The                                            | CUSIP: 37735RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6502741 | PA      | $6512577.65    | 0.03%             | 2028-11-29      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust      | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                     | CUSIP: 38149XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42000 | PA      | $1634298.54    | 0.01%             | 2051-06-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GoTo Group Inc                                   | GoTo Group Inc 2024 First Out Term Loan                                   | CUSIP: 38349FAC0<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |    938706 | PA      | $767391.89     | 0.00%             | 2028-04-28      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| GoTo Group Inc                                   | GoTo Group Inc 2024 Second Out Term Loan                                  | CUSIP: 38349FAD8<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |   1296308 | PA      | $384692.21     | 0.00%             | 2028-04-28      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                   | GoTo Group Inc                                                            | CUSIP: 38349YAA3<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |   1828827 | PA      | $1428057.85    | 0.01%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                   | GoTo Group Inc                                                            | CUSIP: 38349YAB1<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |   2525523 | PA      | $719976.10     | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                            | Finance Department Government of Sharjah                                  | CUSIP: 38381CAC6<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |   7000000 | PA      | $5976670.00    | 0.03%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GREYSTAR REAL ESTATE PAR                         | Greystar Real Estate Partners LLC                                         | CUSIP: 39807UAD8<br>LEI: 254900HGC806SXAS4M46 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2597991.30    | 0.01%             | 2030-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Generali                                         | Generali                                                                  | CUSIP: 000000000<br>LEI: 549300X5UKJVE386ZB61 | Long             | EC               | CORP              | IT        |   4639547 | NS      | $186655986.25  | 0.88%             |  |  |  | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                             | Hercules Capital Inc                                                      | CUSIP: 427096AH5<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   4098000 | PA      | $4040341.14    | 0.02%             | 2026-09-16      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                               | Home Depot Inc/The                                                        | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |    505482 | NS      | $166247974.98  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| HORACE MANN EDUCATORS CO                         | Horace Mann Educators Corp                                                | CUSIP: 440327AL8<br>LEI: 254900G5YAV3A2YK8T32 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10552900.00   | 0.05%             | 2028-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Imagefirst Holdings LLC                          | Imagefirst Holdings LLC 2025 Term Loan B                                  | CUSIP: 45249TAR3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  19800500 | PA      | $19701497.49   | 0.09%             | 2032-03-12      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                          | Imperial Brands Finance PLC                                               | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5101050.00    | 0.02%             | 2027-07-27      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Deutsche Post AG                                 | Deutsche Post AG                                                          | CUSIP: 000000000<br>LEI: 8ER8GIG7CSMVD8VUFE78 | Long             | EC               | CORP              | DE        |   5217600 | NS      | $275003536.92  | 1.30%             |  |  |  | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                | Iron Mountain Inc                                                         | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |   7500000 | PA      | $7647150.00    | 0.04%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                  | JPMorgan Chase Bank NA - CACLN                                            | CUSIP: 46591HBW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    416803 | PA      | $431037.09     | 0.00%             | 2028-09-25      | Fixed         | 28.35%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-7                                           | CUSIP: 46591XCK9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2187423 | PA      | $1914685.20    | 0.01%             | 2051-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-7                                           | CUSIP: 46591XCL7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1552763 | PA      | $1027628.85    | 0.00%             | 2051-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-7                                           | CUSIP: 46591XCM5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2260779 | PA      | $1168918.09    | 0.01%             | 2051-01-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-3                                           | CUSIP: 46592ABL7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  11068322 | PA      | $54294.55      | 0.00%             | 2050-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5          | CUSIP: 46649WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7994207.12    | 0.04%             | 2040-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FAE0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   9843350 | PA      | $242792.13     | 0.00%             | 2050-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBD1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2171327 | PA      | $103281.78     | 0.00%             | 2050-11-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBQ2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  36357788 | PA      | $73290.03      | 0.00%             | 2050-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBS8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1005928 | PA      | $177130.78     | 0.00%             | 2050-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBT6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2321511 | PA      | $62882.53      | 0.00%             | 2050-11-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FCD0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1777463 | PA      | $1580012.82    | 0.01%             | 2050-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FCE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    820499 | PA      | $664699.62     | 0.00%             | 2050-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FCF5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1582548 | PA      | $842450.52     | 0.00%             | 2050-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2021-11                                          | CUSIP: 46654KCG0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   3484055 | PA      | $2799274.56    | 0.01%             | 2052-01-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2021-11                                          | CUSIP: 46654KCH8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   3956128 | PA      | $2083623.61    | 0.01%             | 2052-01-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCW3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2503742 | PA      | $1967545.93    | 0.01%             | 2052-08-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCX1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1593538 | PA      | $784558.09     | 0.00%             | 2052-08-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCY9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1459907 | PA      | $614831.46     | 0.00%             | 2052-08-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-2                                           | CUSIP: 46655DCR1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   3053284 | PA      | $2491438.42    | 0.01%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-2                                           | CUSIP: 46655DCS9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1621774 | PA      | $1048703.15    | 0.00%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-2                                           | CUSIP: 46655DCT7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1795512 | PA      | $757362.27     | 0.00%             | 2052-08-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                          | JT International Financial Services BV                                    | CUSIP: 480914AA8<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $5540300.00    | 0.03%             | 2032-10-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                         | KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc     | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  24136000 | PA      | $25135471.76   | 0.12%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATIONAL ASSN                            | Keybank National Association                                              | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |  10250000 | PA      | $10115110.00   | 0.05%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                          | E.ON SE                                                                   | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | EC               | CORP              | DE        |   8053300 | NS      | $176379058.17  | 0.84%             |  |  |  | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                          | Kinder Morgan Energy Partners LP                                          | CUSIP: 494550AT3<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10384400.00   | 0.05%             | 2035-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                          | Kinder Morgan Energy Partners LP                                          | CUSIP: 494550BP0<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8970000.00    | 0.04%             | 2043-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                | Kinder Morgan Inc                                                         | CUSIP: 49456BAG6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |  23630000 | PA      | $23839598.10   | 0.11%             | 2034-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                | Kinder Morgan Inc                                                         | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4768100.00    | 0.02%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LKQ CORP                                         | LKQ Corp                                                                  | CUSIP: 501889AF6<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | DBT              | CORP              | US        |   5840000 | PA      | $6013564.80    | 0.03%             | 2033-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Orange SA                                        | Orange SA                                                                 | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | EC               | CORP              | FR        |  72111380 | NS      | $1478503667.28 | 7.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust          | LendingPoint 2020-REV1 Asset Securitization Trust                         | CUSIP: 52606YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2696083 | PA      | $2711608.45    | 0.01%             | 2028-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Endesa SA                                        | Endesa SA                                                                 | CUSIP: 000000000<br>LEI: 549300LHK07F2CHV4X31 | Long             | EC               | CORP              | ES        |  10955857 | NS      | $456892936.55  | 2.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercedes-Benz Group AG                           | Mercedes-Benz Group AG                                                    | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |   1903100 | NS      | $116970033.08  | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Swisscom AG                                      | Swisscom AG                                                               | CUSIP: 000000000<br>LEI: 5493005SL9HHOXS3B739 | Long             | EC               | CORP              | CH        |    143600 | NS      | $120503793.91  | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                           | Marlette Funding Trust 2021-3                                             | CUSIP: 57108Q103<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |     23881 | PA      | $350845.85     | 0.00%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                           | Marlette Funding Trust 2021-2                                             | CUSIP: 57108T107<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |     26000 | PA      | $356599.75     | 0.00%             | 2031-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                           | Marlette Funding Trust 2021-1                                             | CUSIP: 57110N106<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |      9550 | PA      | $18351.97      | 0.00%             | 2031-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                           | Marriott International Inc/MD                                             | CUSIP: 571903AX1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   4497000 | PA      | $4236263.94    | 0.02%             | 2034-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2024-NPL1 Trust                                                       | CUSIP: 58004YAA7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   8106833 | PA      | $8116829.93    | 0.04%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| MEDCO MAPLE TREE PTE LTD                         | Medco Maple Tree Pte Ltd                                                  | CUSIP: 58407HAA7<br>LEI: 254900T5AQZNR0THA508 | Long             | DBT              | CORP              | SG        |   7000000 | PA      | $7186760.00    | 0.03%             | 2029-04-27      | Fixed         | 8.96%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                              | Deutsche Telekom AG                                                       | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | EC               | CORP              | DE        |  15821300 | NS      | $590502586.43  | 2.80%             |  |  |  | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 105477920 | PA      | $684055.95     | 0.00%             | 2051-10-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8542226 | PA      | $234438.83     | 0.00%             | 2051-10-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413501 | PA      | $324259.12     | 0.00%             | 2051-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1837413 | PA      | $1055331.58    | 0.01%             | 2051-10-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  86150084 | PA      | $365069.60     | 0.00%             | 2051-08-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5902850 | PA      | $247910.24     | 0.00%             | 2051-08-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296863 | PA      | $235092.54     | 0.00%             | 2051-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1445321 | PA      | $804967.47     | 0.00%             | 2051-08-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                   | Merck & Co Inc                                                            | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |   3559942 | NS      | $428225423.18  | 2.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust           | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                | CUSIP: 59020ULT0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |    516758 | PA      | $490256.22     | 0.00%             | 2034-08-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                      | MetLife Inc                                                               | CUSIP: 59156RBS6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $14034840.00   | 0.07%             | 2038-04-08      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Koninklijke KPN NV                               | Koninklijke KPN NV                                                        | CUSIP: 000000000<br>LEI: 549300YO0JZHAL7FVP81 | Long             | EC               | CORP              | NL        |  59231000 | NS      | $330131471.41  | 1.56%             |  |  |  | No            |                  2 | On Loan: No      |
| BHP Group Ltd                                    | BHP Group Ltd                                                             | CUSIP: 000000000<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |   6902000 | NS      | $249731810.96  | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                                            | CUSIP: 61747S504<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |    120000 | NS      | $2271600.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2024-BPR2                                  | CUSIP: 61776EAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   9497753 | PA      | $9932834.01    | 0.05%             | 2029-05-05      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                           | Mosaic Solar Loan Trust 2020-2                                            | CUSIP: 61946PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6374937 | PA      | $1255518.31    | 0.01%             | 2046-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                           | Mosaic Solar Loan Trust 2021-2                                            | CUSIP: 61946RAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $607220.00     | 0.00%             | 2047-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                           | Mosaic Solar Loan Trust 2021-1                                            | CUSIP: 61947DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $1179647.00    | 0.01%             | 2046-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MPOWER Education Trust                           | MPOWER Education Trust 2025-A                                             | CUSIP: 624930AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12337918 | PA      | $12463777.88   | 0.06%             | 2042-07-21      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| HCL Technologies Ltd                             | HCL Technologies Ltd                                                      | CUSIP: 000000000<br>LEI: 549300C1F8OLYSOQYB65 | Long             | EC               | CORP              | IN        |   2092600 | NS      | $30196752.92   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust           | National Collegiate Student Loan Trust 2007-2                             | CUSIP: 63543LAD7<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |   4716890 | PA      | $4591927.65    | 0.02%             | 2033-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| NAVOI MINING METALLURGIC                         | Navoi Mining & Metallurgical Combinat                                     | CUSIP: 63890CAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |   7500000 | PA      | $7633875.00    | 0.04%             | 2028-10-17      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust              | New Residential Mortgage Loan Trust 2021-INV1                             | CUSIP: 64829WAL8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |  85013051 | PA      | $3392896.36    | 0.02%             | 2051-06-25      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust              | New Residential Mortgage Loan Trust 2021-INV1                             | CUSIP: 64829WBA1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1015998 | PA      | $858813.57     | 0.00%             | 2051-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust              | New Residential Mortgage Loan Trust 2021-INV1                             | CUSIP: 64829WBB9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1825770 | PA      | $1184907.84    | 0.01%             | 2051-06-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust              | New Residential Mortgage Loan Trust 2024-RTL1                             | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5004168.00    | 0.02%             | 2039-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes           | NRM FHT1 Excess Owner LLC                                                 | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7335469 | PA      | $7361332.64    | 0.03%             | 2032-03-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                              | Nigeria Government International Bond                                     | CUSIP: 65412JAB9<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   6000000 | PA      | $5466300.00    | 0.03%             | 2047-11-28      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                      | Continental Finance Credit Card ABS Master Trust                          | CUSIP: 66981PAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9342000 | PA      | $9235697.94    | 0.04%             | 2032-12-15      | Fixed         | 9.42%                 | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA/AMERICA                         | Nufarm Australia Ltd / Nufarm Americas Inc                                | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   3000000 | PA      | $2708430.00    | 0.01%             | 2030-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2021-909                                    | CUSIP: 67076XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4306459.80    | 0.02%             | 2043-04-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                         | OCP SA                                                                    | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   1735000 | PA      | $1577531.40    | 0.01%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2021-NQM4 Trust                                                       | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |  15195352 | PA      | $13080741.23   | 0.06%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                              | ELECTRONIC ARTS INC USD TERM LOAN B                                       | CUSIP: 67123SAB5<br>LEI: 6488ICS9P20290MA1H31 | Long             | LON              | CORP              | US        |  14850000 | PA      | $14757187.50   | 0.07%             | 2033-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                       | Samsung Electronics Co Ltd                                                | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |   5529200 | NS      | $646702382.61  | 3.07%             |  |  |  | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                   | Open Text Corp                                                            | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $8954000.00    | 0.04%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                              | Oportun Funding 2022-1 LLC                                                | CUSIP: 68377X109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11604 | PA      | $149926.40     | 0.00%             | 2029-06-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd        | Taiwan Semiconductor Manufacturing Co Ltd                                 | CUSIP: 000000000<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |  17649261 | NS      | $1020736624.19 | 4.84%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINA                         | Blue Owl Technology Finance Corp                                          | CUSIP: 691205AE8<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $12930970.00   | 0.06%             | 2026-06-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                           | Blue Owl Credit Income Corp                                               | CUSIP: 69120VAP6<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2536650.00    | 0.01%             | 2027-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust            | PRPM 2022-NQM1 Trust                                                      | CUSIP: 69378KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6608561 | PA      | $6588707.03    | 0.03%             | 2067-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PEGASUS HAVA TASIMACILIG                         | Pegasus Hava Tasimaciligi AS                                              | CUSIP: 705567AB1<br>LEI: 789000B1MW5PQ58A8T03 | Long             | DBT              | CORP              | TR        |  14750000 | PA      | $14614742.50   | 0.07%             | 2031-09-11      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AXA SA                                           | AXA SA                                                                    | CUSIP: 000000000<br>LEI: F5WCUMTUM4RKZ1MAIE39 | Long             | EC               | CORP              | FR        |   6551100 | NS      | $301033094.67  | 1.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Novartis AG                                      | Novartis AG                                                               | CUSIP: 000000000<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |   1390208 | NS      | $213389025.93  | 1.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Nestle SA                                        | Nestle SA                                                                 | CUSIP: 000000000<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |   1451300 | NS      | $142359472.66  | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| PERIMETER MASTER NT                              | PERIMETER MASTER NT                                                       | CUSIP: 71384PAU5<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5013320.50    | 0.02%             | 2029-09-17      | Fixed         | 8.55%                 | No            |                  2 | On Loan: No      |
| Enel SpA                                         | Enel SpA                                                                  | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | EC               | CORP              | IT        |  54735431 | NS      | $598413103.01  | 2.84%             |  |  |  | No            |                  2 | On Loan: No      |
| Eni SpA                                          | Eni SpA                                                                   | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | EC               | CORP              | IT        |   3846400 | NS      | $109367696.55  | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3000000 | PA      | $2935680.00    | 0.01%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                       | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   5650000 | PA      | $4895725.00    | 0.02%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                       | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  10000000 | PA      | $9555300.00    | 0.05%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                       | Pfizer Inc                                                                | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |   1517298 | NS      | $42605727.84   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Snam SpA                                         | Snam SpA                                                                  | CUSIP: 000000000<br>LEI: 8156002278562044AF79 | Long             | EC               | CORP              | IT        |  15827000 | NS      | $119896397.92  | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | BNP Paribas SA                                                            | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |   7892300 | NS      | $751849145.35  | 3.56%             |  |  |  | No            |                  2 | On Loan: No      |
| POLARIS INC                                      | Polaris Inc                                                               | CUSIP: 731068AA0<br>LEI: 549300QJSN8UVWN1EI78 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5240250.00    | 0.02%             | 2029-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC             | PRET 2025-NPL3 LLC                                                        | CUSIP: 74143HAA3<br>LEI: 254900UGRYVHG7BY6M45 | Long             | ABS-O            | CORP              | US        |  23027110 | PA      | $23048944.67   | 0.11%             | 2055-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                 | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $3334400.00    | 0.02%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                 | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $3208400.00    | 0.02%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                 | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  11800000 | PA      | $10572210.00   | 0.05%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                        | Qorvo Inc                                                                 | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |   9800000 | PA      | $8862336.00    | 0.04%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Regions Financial Corp                           | Regions Financial Corp                                                    | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |   5862414 | NS      | $153126253.68  | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| REINSURANCE GRP OF AMER                          | Reinsurance Group of America Inc                                          | CUSIP: 759351885<br>LEI: LORM1GNEU1DKEW527V90 | Long             | EP               | CORP              | US        |    762175 | NS      | $19366866.75   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Mortgage Loan Trust                  | Residential Mortgage Loan Trust 2019-3                                    | CUSIP: 76119NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1459203.86    | 0.01%             | 2059-09-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC        | Retained Vantage Data Centers Issuer LLC                                  | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4974926.40    | 0.02%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7910000 | PA      | $7882608.54    | 0.04%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3366214 | PA      | $2919963.43    | 0.01%             | 2059-09-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39488187 | PA      | $592342.54     | 0.00%             | 2059-09-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       950 | PA      | $950.00        | 0.00%             | 2059-09-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38791753 | PA      | $387.92        | 0.00%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36851794 | PA      | $2011227.22    | 0.01%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                    | SFO Commercial Mortgage Trust 2021-555                                    | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5212000 | PA      | $5189851.19    | 0.02%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INT                         | Science Applications International Corp                                   | CUSIP: 808625AA5<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6886530.00    | 0.03%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2017-7                                             | CUSIP: 81746GCD3<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |   1751964 | PA      | $1569218.90    | 0.01%             | 2047-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                              | Sirius XM Radio LLC                                                       | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   6250000 | PA      | $6240062.50    | 0.03%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                              | Sirius XM Radio LLC                                                       | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4967450.00    | 0.02%             | 2026-09-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                       | SKY Trust 2025-LINE                                                       | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4024596 | PA      | $4051998.85    | 0.02%             | 2042-04-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC             | SoFi Professional Loan Program 2021-B Trust                               | CUSIP: 83405N106<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |     23000 | PA      | $501787.55     | 0.00%             | 2047-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SLR Investment Corp                              | SLR Investment Corp                                                       | CUSIP: 83413U100<br>LEI: BJOT6DX9ML6BR3Z0O636 | Long             | EC               | CORP              | US        |   4357900 | NS      | $62361549.00   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| South Bow Corp                                   | South Bow Corp                                                            | CUSIP: 83671M105<br>LEI: 2549000XS5TAFA3YF943 | Long             | EC               | CORP              | CA        |   3421560 | NS      | $113830635.32  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Starwood Mortgage Residential Trust              | Starwood Mortgage Residential Trust 2019-INV1                             | CUSIP: 85572JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9605514.90    | 0.05%             | 2049-09-27      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| STEWART INFORMATION SERV                         | Stewart Information Services Corp                                         | CUSIP: 86038AAA0<br>LEI: 529900TV1XI0PLKENU10 | Long             | DBT              | CORP              | US        |   8101000 | PA      | $7166549.65    | 0.03%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM                                 | Summit Midstream Corp                                                     | CUSIP: 86614G200<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    160970 | NS      | $25667245.99   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP                                        | Sunoco LP                                                                 | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   4892000 | PA      | $5065959.52    | 0.02%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                        | Sunoco LP                                                                 | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   7588000 | PA      | $7732703.16    | 0.04%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                           | Sunoco LP / Sunoco Finance Corp                                           | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4993550.00    | 0.02%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp                                   | TC Energy Corp                                                            | CUSIP: 87807B107<br>LEI: 549300UGKOFV2IWJJG27 | Long             | EC               | CORP              | CA        |   4549089 | NS      | $284861722.95  | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| TELEFONICA EMISIONES SAU                         | Telefonica Emisiones SA                                                   | CUSIP: 87938WAC7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |  85390000 | PA      | $94299592.60   | 0.45%             | 2036-06-20      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Thornburg Capital Management Fund                | Thornburg Capital Management Fund                                         | CUSIP: 885216739<br>LEI: 549300GLR0WG6ALV5277 | Long             | EC               | RF                | US        | 120949115 | NS      | $1209491150.16 | 5.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-R2                                         | CUSIP: 89182UAA4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-O            | CORP              | US        |  14691397 | PA      | $13714375.16   | 0.07%             | 2064-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-R1                                         | CUSIP: 89183DAA1<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   9311397 | PA      | $8330158.01    | 0.04%             | 2057-11-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TransDigm Group Inc                              | TransDigm Group Inc                                                       | CUSIP: 893641100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     25407 | NS      | $29445696.72   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSDIGM INC                                    | TransDigm Inc                                                             | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   6345000 | PA      | $6417459.90    | 0.03%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TURKCELL ILETISIM HIZMET                         | Turkcell Iletisim Hizmetleri AS                                           | CUSIP: 900111AC9<br>LEI: 7890003EX1LTLS2FFL84 | Long             | DBT              | CORP              | TR        |  10000000 | PA      | $10150500.00   | 0.05%             | 2030-01-24      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                     | US Foods Inc                                                              | CUSIP: 90290MAD3<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |   5880000 | PA      | $5807146.80    | 0.03%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DIGICEL HOLDINGS LIMITED                         | DIGICEL HOLDINGS LIMITED                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    220592 | NS      | $200065.91     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| United Auto Credit Securitization Trust          | United Auto Credit Securitization Trust 2022-1                            | CUSIP: 90944DAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37000 | PA      | $1762646.37    | 0.01%             | 2028-11-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                       | Upstart Pass-Through Trust Series 2021-ST8                                | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4150000 | PA      | $262342.25     | 0.00%             | 2029-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                       | Upstart Pass-Through Trust Series 2021-ST9                                | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1415000 | PA      | $151542.26     | 0.00%             | 2029-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                      | Visio 2022-1 Trust                                                        | CUSIP: 92838CAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5351000 | PA      | $5335015.06    | 0.03%             | 2057-08-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                     | Vontier Corp                                                              | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   5832000 | PA      | $5589797.04    | 0.03%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                | Vornado Realty LP                                                         | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   8186500 | PA      | $8147777.86    | 0.04%             | 2026-06-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WE SODA INV HOLDING PLC                          | WE Soda Investments Holding PLC                                           | CUSIP: 92943TAA1<br>LEI: 984500SE38C07DB47A90 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1999260.00    | 0.01%             | 2028-10-06      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| WE SODA INV HOLDING PLC                          | WE Soda Investments Holding PLC                                           | CUSIP: 92943TAC7<br>LEI: 984500SE38C07DB47A90 | Long             | DBT              | CORP              | GB        |   4150000 | PA      | $4094058.00    | 0.02%             | 2031-02-14      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| MALAMUTE ENERGY, INC.                            | MALAMUTE ENERGY, INC.                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12439 | NS      | $12439.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2020-3 Trust                       | CUSIP: 95002TAW4<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        | 128013179 | PA      | $1147906.98    | 0.01%             | 2050-06-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2020-3 Trust                       | CUSIP: 95002TBM5<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   1046000 | PA      | $646767.33     | 0.00%             | 2050-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2020-3 Trust                       | CUSIP: 95002TBN3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   1912755 | PA      | $971974.40     | 0.00%             | 2050-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KAX0<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        | 151815796 | PA      | $4490164.71    | 0.02%             | 2051-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KBL5<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   3170531 | PA      | $2704374.32    | 0.01%             | 2051-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KBM3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   2445838 | PA      | $2033173.88    | 0.01%             | 2051-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KBN1<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   1881528 | PA      | $945959.69     | 0.00%             | 2051-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| TRISTATE INSURED CASH SWEEP                      | TRISTATE INSURED CASH SWEEP                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |       556 | PA      | $555.63        | 0.00%             | 2050-10-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                      | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  14198000 | PA      | $13834531.20   | 0.07%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WINDSOR HOLDINGS III LLC                         | Windsor Holdings III LLC                                                  | CUSIP: 97360AAA5<br>LEI: 254900IXUJZ9H146T437 | Long             | DBT              | CORP              | US        |   7470000 | PA      | $7737052.50    | 0.04%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Xerox Holdings Corp                              | Xerox Holdings Corp 2023 Non-CoOp Term Loan                               | CUSIP: 98415LAY2<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | LON              | CORP              | US        |   5768000 | PA      | $3633839.84    | 0.02%             | 2029-11-19      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                               | Vodafone Group PLC                                                        | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        | 327785324 | NS      | $494415405.50  | 2.34%             |  |  |  | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                         | Comision Federal de Electricidad                                          | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   8708000 | PA      | $8078847.00    | 0.04%             | 2036-09-29      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                          | Energean Israel Finance Ltd                                               | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |   6500000 | PA      | $6247150.00    | 0.03%             | 2028-03-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Daimler Truck Holding AG                         | Daimler Truck Holding AG                                                  | CUSIP: 000000000<br>LEI: 529900PW78JIYOUBSR24 | Long             | EC               | CORP              | DE        |   2629400 | NS      | $129486917.73  | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                          | Energean Israel Finance Ltd                                               | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |  12410941 | PA      | $12758819.68   | 0.06%             | 2033-09-30      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Roche Holding AG                                 | Roche Holding AG                                                          | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |    618500 | NS      | $246837686.34  | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Telecommunications Ltd                 | Singapore Telecommunications Ltd                                          | CUSIP: 000000000<br>LEI: 2549003XJKIQO8YDYD89 | Long             | EC               | CORP              | SG        |  65130000 | NS      | $250777956.22  | 1.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Engie SA                                         | Engie SA                                                                  | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | EC               | CORP              | FR        |   2047372 | NS      | $65981563.25   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| BIM Birlesik Magazalar AS                        | BIM Birlesik Magazalar AS                                                 | CUSIP: 000000000<br>LEI: 7890001GCDJQD8DJKE29 | Long             | EC               | CORP              | TR        |   5157800 | NS      | $79502103.46   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| TotalEnergies SE                                 | TotalEnergies SE                                                          | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |   8285200 | NS      | $760366826.45  | 3.60%             |  |  |  | No            |                  2 | On Loan: No      |
| Glencore PLC                                     | Glencore PLC                                                              | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |  21342700 | NS      | $161646908.89  | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| LUKOIL PJSC                                      | LUKOIL PJSC                                                               | CUSIP: 000000000<br>LEI: 549300LCJ1UJXHYBWI24 | Long             | EC               | CORP              | RU        |    314000 | NS      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GMK Norilskiy Nickel PAO                         | GMK Norilskiy Nickel PAO                                                  | CUSIP: 000000000<br>LEI: 253400JPTEEW143W3E47 | Long             | EC               | CORP              | RU        |  35140000 | NS      | $0.43          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Bank of Ireland Group PLC                        | Bank of Ireland Group PLC                                                 | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | EC               | CORP              | IE        |  19129250 | NS      | $347066394.87  | 1.65%             |  |  |  | No            |                  2 | On Loan: No      |
| Midea Group Co Ltd                               | Midea Group Co Ltd                                                        | CUSIP: 000000000<br>LEI: 3003003TRPHLHZD2IF61 | Long             | EC               | CORP              | CN        |   9034630 | NS      | $100635613.88  | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| ASR Nederland NV                                 | ASR Nederland NV                                                          | CUSIP: 000000000<br>LEI: 7245000G0HS48PZWUD53 | Long             | EC               | CORP              | NL        |   1670500 | NS      | $115008597.02  | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Tesco PLC                                        | Tesco PLC                                                                 | CUSIP: 000000000<br>LEI: 2138002P5RNKC5W2JZ46 | Long             | EC               | CORP              | GB        |  83026330 | NS      | $521822816.54  | 2.47%             |  |  |  | No            |                  2 | On Loan: No      |
| NN Group NV                                      | NN Group NV                                                               | CUSIP: 000000000<br>LEI: 724500OHYNDT9OY6Q215 | Long             | EC               | CORP              | NL        |   9581916 | NS      | $748308406.60  | 3.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Shell PLC                                        | Shell PLC                                                                 | CUSIP: 000000000<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |   2735600 | NS      | $126699472.51  | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| Cie Generale des Etablissements Michelin SCA     | Cie Generale des Etablissements Michelin SCA                              | CUSIP: 000000000<br>LEI: 549300SOSI58J6VIW052 | Long             | EC               | CORP              | FR        |   1238700 | NS      | $42436482.31   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Reckitt Benckiser Group PLC                      | Reckitt Benckiser Group PLC                                               | CUSIP: 000000000<br>LEI: 5493003JFSMOJG48V108 | Long             | EC               | CORP              | GB        |   1379307 | NS      | $92745070.78   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| Zegona Communications plc                        | Zegona Communications plc                                                 | CUSIP: 000000000<br>LEI: 213800ASI1VZL2ED4S65 | Long             | EC               | CORP              | GB        |  27593000 | NS      | $607100637.08  | 2.88%             |  |  |  | No            |                  2 | On Loan: No      |
| CK Hutchison Holdings Ltd                        | CK Hutchison Holdings Ltd                                                 | CUSIP: 000000000<br>LEI: 254900Z8HM1VEPOQ2G79 | Long             | EC               | CORP              | KY        |  23928000 | NS      | $183671797.33  | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| Medtronic PLC                                    | Medtronic PLC                                                             | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |   1829695 | NS      | $158543071.75  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| LyondellBasell Industries NV                     | LyondellBasell Industries NV                                              | CUSIP: 000000000<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | EC               | CORP              | NL        |    894177 | NS      | $72034899.12   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-15

**Name of Applicant:** THORNBURG INVESTMENT TRUST

**Signature:** Christopher Luckham

**Name of Signer:** Christopher Luckham

**Title:** Manager - Fund Admin