# EDGAR Filing Document

**Accession Number:** 0001028621
**File Stem:** 0001410368-26-052198
**Filing Date:** 2026-5
**Character Count:** 729503
**Document Hash:** e5bfdd5c65586b0bcbc745205cc0bdd7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-052198.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0001410368-26-052198

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW Metropolitan West Funds
- **CENTRAL INDEX KEY:** 0001028621

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07989
- **FILM NUMBER:** 261022434

**BUSINESS ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071
- **BUSINESS PHONE:** 213-244-0000

**MAIL ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN WEST FUNDS
- **DATE OF NAME CHANGE:** 19961209

## Series and Classes Contracts Data

### TCW METWEST TOTAL RETURN BOND FUND (Series ID: S000001147)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000003065 | CLASS I              | MWTIX           |
| C000003066 | CLASS M              | MWTRX           |
| C000058170 | Administrative Class | MWTNX           |
| C000102908 | Plan Class           | MWTSX           |
| C000218401 | Class I-2            | MWTTX           |
| C000263829 | Class I-3            |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW Metropolitan West Funds

- **b. Investment Company Act file number:** 811-07989

- **c. CIK number of Registrant:** 0001028621

- **d. LEI of Registrant:** 549300KGDNJW6FXNDC82

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

  - **Street Address 1:** 515 South Flower Street

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 213-244-0000

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

- **a. Name of Series:** TCW METWEST TOTAL RETURN BOND FUND

- **b. EDGAR series identifier (if any):** S000001147

- **c. LEI of Series:** 549300APUP7QV16M4J34

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

- **a. Date of fiscal year-end:** 2026-03-31

- **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:** $34713015549.15

**Total Liabilities:** $5016929125.67

**Net Assets:** $29696086423.48

**Amount of Assets Invested in Other Investment Companies:** $471825097.67

**Delayed Delivery Securities:** $741824524.96

**Cash Not Reported:** $321028437.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -27475.24000000 | **1-Year:** -456447.59000000 | **5-Year:** -1191939.35000000 | **10-Year:** -1434349.11000000 | **30-Year:** -453139.62000000

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

- **3-Month:** -14951.86000000 | **1-Year:** -243866.49000000 | **5-Year:** -561515.98000000 | **10-Year:** -371008.91000000 | **30-Year:** -58186.29000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000003065 | 0.26%                | 1.78%                | -1.99%               |
| Class ID C000003066 | 0.35%                | 1.64%                | -2.01%               |
| Class ID C000058170 | 0.23%                | 1.74%                | -2.02%               |
| Class ID C000102908 | 0.26%                | 1.76%                | -1.90%               |
| Class ID C000218401 | 0.25%                | 1.77%                | -2.00%               |
| Class ID C000263829 | 0.34%                | 1.63%                | -1.89%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-54532483.17            | $82474521.54                               |
| Month 2  | $-28242372.06            | $406921326.97                              |
| Month 3  | $14207213.26             | $-660711813.81                             |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSSTAT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Asset Backed Funding Certificates                                       | ABFC 2006-OPT3 Trust                                                            | CUSIP: 00075VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36582126 | PA      | $14731373.22   | 0.05%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ABG Intermediate Holdings 2 LLC                                         | ABG Intermediate Holdings 2 LLC 2024 1st Lien Term Loan B                       | CUSIP: 00076VBL3<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |    3287879 | PA      | $3284903.72    | 0.01%             | 2028-12-21      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                            | AGL CLO 17 Ltd                                                                  | CUSIP: 00120DAJ5<br>LEI: 254900ISUA07JPVCOS18 | Long             | ABS-CBDO         | CORP              | KY        |   10375000 | PA      | $10357476.63   | 0.03%             | 2035-01-21      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                              | AMSR 2021-SFR1 Trust                                                            | CUSIP: 00179DAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15250000 | PA      | $14839114.68   | 0.05%             | 2038-06-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Aames Mortgage Trust                                                    | Aames Mortgage Trust 2002-1                                                     | CUSIP: 00253CHQ3<br>LEI: 549300E7GDD92AR7NL62 | Long             | ABS-MBS          | CORP              | US        |      12657 | PA      | $12282.50      | 0.00%             | 2032-06-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2006-HE3                      | CUSIP: 00441TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2002897 | PA      | $1488611.58    | 0.01%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2004-IN1                      | CUSIP: 004421FD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98706 | PA      | $94180.45      | 0.00%             | 2034-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP2                    | CUSIP: 00442UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21872001 | PA      | $16038685.90   | 0.05%             | 2037-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                                  | Acrisure LLC / Acrisure Finance Inc                                             | CUSIP: 00489LAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3268782.00    | 0.01%             | 2029-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| The Action Environmental Group Inc                                      | The Action Environmental Group Inc 2023 Term Loan B                             | CUSIP: 00507JAF3<br>LEI: 549300BB30QUQC86W666 | Long             | LON              | CORP              | US        |    2212182 | PA      | $2208499.08    | 0.01%             | 2030-10-24      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                          | Adjustable Rate Mortgage Trust 2005-10                                          | CUSIP: 007036TP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110439 | PA      | $105915.12     | 0.00%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                          | Adjustable Rate Mortgage Trust 2007-3                                           | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24100532 | PA      | $15149669.18   | 0.05%             | 2037-11-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| ADMI Corp                                                               | ADMI Corp 2021 Term Loan B2                                                     | CUSIP: 00709LAH0<br>LEI: 5493008U1LYGMQWO7N12 | Long             | LON              | CORP              | US        |    3763051 | PA      | $3537944.95    | 0.01%             | 2027-12-23      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| ADMI Corp                                                               | ADMI Corp 2021 Incremental Term Loan B3                                         | CUSIP: 00709LAJ6<br>LEI: 5493008U1LYGMQWO7N12 | Long             | LON              | CORP              | US        |    3314975 | PA      | $3117734.31    | 0.01%             | 2027-12-23      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Advantage Sales & Marketing, Inc.                                       | ADVANTAGE SALES+ MARKETING INC 2026 1st OUT TERM LOAN                           | CUSIP: 00769EBC3<br>LEI: 549300T4O24KQDED1182 | Long             | LON              | CORP              | US        |    4155987 | PA      | $3155952.32    | 0.01%             | 2030-04-19      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   11203000 | PA      | $11076630.16   | 0.04%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   58242000 | PA      | $56095782.30   | 0.19%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14, LTD.                                                        | AGL CLO 14 Ltd                                                                  | CUSIP: 00851WAL3<br>LEI: 254900G6P36ERQHAIS15 | Long             | ABS-CBDO         | CORP              | KY        |   17080000 | PA      | $17073851.20   | 0.06%             | 2034-12-02      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                              | Airbnb Inc                                                                      | CUSIP: 009066AE1<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |    4775000 | PA      | $4778008.25    | 0.02%             | 2036-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1991280.00    | 0.01%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2090000 | PA      | $1984601.30    | 0.01%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   18695000 | PA      | $18358676.95   | 0.06%             | 2027-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                | Ajax Mortgage Loan Trust 2019-F                                                 | CUSIP: 00969PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55037 | PA      | $53854.49      | 0.00%             | 2059-07-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY CORP                                                     | Alliant Energy Corp                                                             | CUSIP: 018802AF5<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |   26430000 | PA      | $25699739.10   | 0.09%             | 2056-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                  | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAD8<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    4515000 | PA      | $4176600.75    | 0.01%             | 2032-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                  | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAE6<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    4120000 | PA      | $4274458.80    | 0.01%             | 2029-03-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                                | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1067000 | PA      | $1076709.70    | 0.00%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                                | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1154000 | PA      | $1139413.44    | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                                | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | CUSIP: 01883LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1157000 | PA      | $1137840.08    | 0.00%             | 2032-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  112075000 | PA      | $90248842.05   | 0.30%             | 2056-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  905825000 | PA      | $830384723.61  | 2.80%             | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  741975000 | PA      | $700011861.90  | 2.36%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  316450000 | PA      | $298260454.00  | 1.00%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  602725000 | PA      | $581432232.56  | 1.96%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  260375000 | PA      | $256742768.75  | 0.86%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  158475000 | PA      | $159226171.50  | 0.54%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                                    | Alpha Generation LLC Term Loan B                                                | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    7104000 | PA      | $7094728.93    | 0.02%             | 2031-09-30      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   10070000 | PA      | $10028108.80   | 0.03%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   39710000 | PA      | $39600003.30   | 0.13%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | Altice France SA                                                                | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     696328 | PA      | $705192.26     | 0.00%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | Altice France SA                                                                | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     911472 | PA      | $862580.64     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | Altice France SA                                                                | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    3234000 | PA      | $3068386.86    | 0.01%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ALTA WIND HOLDINGS LLC                                                  | Alta Wind Holdings LLC                                                          | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2923028 | PA      | $2783541.07    | 0.01%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2006-HY13                                                | CUSIP: 02149DAN9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     516750 | PA      | $465142.23     | 0.00%             | 2037-02-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2007-J1                                                  | CUSIP: 02149MAP4<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     517003 | PA      | $137026.73     | 0.00%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                                     | Altice Financing SA                                                             | CUSIP: 02154CAJ2<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    9869000 | PA      | $7301875.72    | 0.02%             | 2027-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                        | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     995000 | PA      | $685923.15     | 0.00%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 023135CW4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   22235000 | PA      | $21298684.15   | 0.07%             | 2055-11-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 023135DF0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   49540000 | PA      | $49098598.60   | 0.17%             | 2036-03-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   10235000 | PA      | $10214632.35   | 0.03%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   19322000 | PA      | $19539565.72   | 0.07%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAH1<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    3585000 | PA      | $3632429.55    | 0.01%             | 2035-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-2 AA PTT                                                | American Airlines 2017-2 Class AA Pass Through Trust                            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11848989 | PA      | $11401808.21   | 0.04%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                | American Assets Trust LP                                                        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |    1704000 | PA      | $1537451.04    | 0.01%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                | American Assets Trust LP                                                        | CUSIP: 02401LAB0<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |    6925000 | PA      | $6871885.25    | 0.02%             | 2034-10-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                 | American Electric Power Co Inc                                                  | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   58030000 | PA      | $57317391.60   | 0.19%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                 | American Electric Power Co Inc                                                  | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   11615000 | PA      | $11524286.85   | 0.04%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                     | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   15935000 | PA      | $15993003.40   | 0.05%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                           | American Home Mortgage Assets Trust 2007-1                                      | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42819441 | PA      | $14450760.62   | 0.05%             | 2047-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                                 | American Home Mortgage Investment Trust 2004-3                                  | CUSIP: 02660TBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     715622 | PA      | $714009.80     | 0.00%             | 2034-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                           | American Home Mortgage Assets Trust 2006-3                                      | CUSIP: 02660UAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27860137 | PA      | $18405278.62   | 0.06%             | 2046-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    2845000 | PA      | $2507014.00    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                        | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    7558000 | PA      | $4944141.28    | 0.02%             | 2051-07-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                        | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    5000000 | PA      | $5009750.00    | 0.02%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                           | American Home Mortgage Assets Trust 2007-2                                      | CUSIP: 026930AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18490787 | PA      | $16854525.82   | 0.06%             | 2047-03-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    2025000 | PA      | $1903014.00    | 0.01%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    3336000 | PA      | $2946788.88    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCD0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     975000 | PA      | $1002534.00    | 0.00%             | 2033-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCF5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   27000000 | PA      | $28286280.00   | 0.10%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   16040000 | PA      | $16179066.80   | 0.05%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   10515000 | PA      | $10338768.60   | 0.03%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                  | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2094000 | PA      | $2221545.54    | 0.01%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                               | Amgen Inc                                                                       | CUSIP: 031162DY3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    4705000 | PA      | $4561121.10    | 0.02%             | 2056-02-19      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amspec Parent LLC                                                       | Amspec Parent LLC 2025 Term Loan                                                | CUSIP: 03218AAE9<br>LEI: 254900LUGRP5Z7OOV477 | Long             | LON              | CORP              | US        |    4189449 | PA      | $4188569.58    | 0.01%             | 2031-12-22      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    9507000 | PA      | $9646372.62    | 0.03%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   28644000 | PA      | $28646864.40   | 0.10%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752BJ1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9847500.00    | 0.03%             | 2032-09-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752BK8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   22790000 | PA      | $22338302.20   | 0.08%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                    | Appalachian Power Co                                                            | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   18900000 | PA      | $19493460.00   | 0.07%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| APTARGROUP INC                                                          | AptarGroup Inc                                                                  | CUSIP: 038336AB9<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |   15050000 | PA      | $14952175.00   | 0.05%             | 2031-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Arches Buyer Inc                                                        | Arches Buyer Inc 2021 Term Loan B                                               | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |     656565 | PA      | $655130.27     | 0.00%             | 2027-12-06      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                         | Ardagh Group SA                                                                 | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    4280000 | PA      | $3600678.40    | 0.01%             | 2030-12-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| HERITAGE ENVIRONMENTAL SER INC                                          | HERITAGE ENVIRONMENTAL SER INC 2026 TERM LOAN B                                 | CUSIP: 03970GAC8<br>LEI: 549300E3IIHNPMXFHC03 | Long             | LON              | CORP              | US        |    2132691 | PA      | $2138022.57    | 0.01%             | 2033-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                         | Ardagh Group SA                                                                 | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    1200000 | PA      | $1255200.00    | 0.00%             | 2030-12-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                                  | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2     | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2998 | PA      | $2994.01       | 0.00%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                                  | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3     | CUSIP: 040104PC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4748042 | PA      | $4674753.82    | 0.02%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                            | ARES LX CLO LTD                                                                 | CUSIP: 04018FAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $24946300.00   | 0.08%             | 2034-07-18      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                            | Ares LXV CLO Ltd                                                                | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30000000 | PA      | $29977500.00   | 0.10%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                  | Arizona Public Service Co                                                       | CUSIP: 040555DE1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    2444000 | PA      | $2624856.00    | 0.01%             | 2032-12-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                        | Asset Backed Securities Corp Home Equity Loan Trust Series MO 2006-HE6          | CUSIP: 04544NAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7497167 | PA      | $7392191.35    | 0.02%             | 2036-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                       | ABFC 2007-WMC1 Trust                                                            | CUSIP: 04545EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18009937 | PA      | $15484405.13   | 0.05%             | 2037-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                       | ABFC 2007-WMC1 Trust                                                            | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13156890 | PA      | $11311604.21   | 0.04%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                             | Asurion LLC 2021 Second Lien Term Loan B4                                       | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    1084819 | PA      | $1079492.87    | 0.00%             | 2029-01-20      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                           | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   31415000 | PA      | $31202320.45   | 0.11%             | 2026-06-29      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| ATLASSIAN CORPORATION                                                   | Atlassian Corp                                                                  | CUSIP: 049468AB7<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2938860.00    | 0.01%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Avolon TLB Borrower 1 (US) LLC                                          | Avolon TLB Borrower 1 (US) LLC 2023 Term Loan B6                                | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |   21482495 | PA      | $21549628.23   | 0.07%             | 2030-06-24      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    5900000 | PA      | $5843773.00    | 0.02%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   53870000 | PA      | $52093367.40   | 0.18%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                            | BAMLL Commercial Mortgage Securities Trust 2018-PARK                            | CUSIP: 05491YAA8<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |  122930000 | PA      | $120294479.14  | 0.41%             | 2038-08-10      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                          | BCAP LLC Trust 2007-AA2                                                         | CUSIP: 05530NAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201933 | PA      | $85886.51      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                          | BCAP LLC Trust 2007-AA5                                                         | CUSIP: 05531AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10099237 | PA      | $9159683.54    | 0.03%             | 2047-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BCPE Empire Holdings Inc                                                | BCPE Empire Holdings Inc 2025 Term Loan B                                       | CUSIP: 05550HAQ8<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |     992335 | PA      | $979102.68     | 0.00%             | 2030-12-11      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BGME Trust                                                              | BGME Trust 2021-VR                                                              | CUSIP: 05551XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $17453444.00   | 0.06%             | 2043-01-10      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| BGME Trust                                                              | BGME Trust 2021-VR                                                              | CUSIP: 05551XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32137000 | PA      | $26982684.76   | 0.09%             | 2043-01-10      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| BCPE North Star US HoldCo 2, Inc.                                       | BCPE North Star US HoldCo 2 Inc Term Loan                                       | CUSIP: 05552DAD4<br>LEI: 254900AGB0JDUDNIJC95 | Long             | LON              | CORP              | US        |    4793797 | PA      | $4786007.30    | 0.02%             | 2028-06-09      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| BW Gas & Convenience Holdings LLC                                       | BW Gas & Convenience Holdings LLC 2021 Term Loan B                              | CUSIP: 05604YAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1492167 | PA      | $1492786.35    | 0.01%             | 2028-03-31      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                      | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42270000 | PA      | $39943108.36   | 0.13%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Commercial Mortgage Trust 2020-VIV4                                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  130165000 | PA      | $120703267.10  | 0.41%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                                             | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11500000 | PA      | $9943187.50    | 0.03%             | 2036-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2020-2 Ltd                                              | CUSIP: 05683EBE1<br>LEI: 254900JJEDONFKODOF95 | Long             | ABS-CBDO         | CORP              | KY        |   30000000 | PA      | $29985270.00   | 0.10%             | 2034-07-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2021-4 Ltd                                              | CUSIP: 05685ABA5<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |   35755000 | PA      | $35700723.91   | 0.12%             | 2034-10-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                           | Ballyrock CLO 20 Ltd                                                            | CUSIP: 05876CBJ1<br>LEI: 254900WX8CA21F2QI356 | Long             | ABS-CBDO         | CORP              | KY        |   30000000 | PA      | $29955300.00   | 0.10%             | 2036-10-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-D Trust                                            | CUSIP: 058933AG7<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |    1956662 | PA      | $1768556.32    | 0.01%             | 2036-05-20      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2003-2 Trust                                            | CUSIP: 05946XCR2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |       9095 | PA      | $9217.43       | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2004-F Trust                                           | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10569 | PA      | $10235.91      | 0.00%             | 2034-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2005-C Trust                                           | CUSIP: 05949AY87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59597 | PA      | $59268.19      | 0.00%             | 2035-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-E Trust                                            | CUSIP: 05950DAD2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      18611 | PA      | $16859.60      | 0.00%             | 2036-06-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-H Trust                                            | CUSIP: 05950PAH6<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     374796 | PA      | $324948.69     | 0.00%             | 2046-09-20      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2007-1 Trust                                           | CUSIP: 05952HAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293382 | PA      | $251581.63     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2007-3 Trust                                           | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104563 | PA      | $86422.78      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Boxer Parent Company Inc                                                | Boxer Parent Company Inc 2025 USD Term Loan B                                   | CUSIP: 05988HAQ0<br>LEI: 5493006T045HLTF7YX04 | Long             | LON              | CORP              | US        |    3640806 | PA      | $3385567.34    | 0.01%             | 2031-07-30      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1587000 | PA      | $1559227.50    | 0.01%             | 2028-12-20      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     336000 | PA      | $333093.60     | 0.00%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   38542000 | PA      | $38222101.40   | 0.13%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3631.32       | 0.00%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  110562000 | PA      | $105159940.68  | 0.35%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1765.70       | 0.00%             | 2032-07-21      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     525000 | PA      | $535767.75     | 0.00%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                             | Bacardi Ltd                                                                     | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    2881000 | PA      | $2675094.93    | 0.01%             | 2038-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                                          | Barings Clo Ltd 2021-III                                                        | CUSIP: 06762TAL5<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |   19500000 | PA      | $19487539.50   | 0.07%             | 2035-01-18      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Barracuda Networks Inc                                                  | Barracuda Networks Inc 2022 Term Loan                                           | CUSIP: 06832FAB3<br>LEI: 549300CXGRZWNMPU8080 | Long             | LON              | CORP              | US        |    4787241 | PA      | $3093754.21    | 0.01%             | 2029-08-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4212000 | PA      | $4173670.80    | 0.01%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    6729000 | PA      | $6010881.12    | 0.02%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NBA0<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    3820000 | PA      | $3778973.20    | 0.01%             | 2035-07-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NBF9<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   44514000 | PA      | $35069909.76   | 0.12%             | 2044-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NBG7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   17489000 | PA      | $12744234.30   | 0.04%             | 2045-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BCRED MML CLO 2021-1 LLC                                                | BCRED MML CLO 2022-1 LLC                                                        | CUSIP: 072917AA5<br>LEI: 2549008X01GXURMQIW78 | Long             | ABS-CBDO         | CORP              | US        |   48400000 | PA      | $48419602.00   | 0.16%             | 2035-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BCPE FLAVOR DEBT/ISSUER                                                 | BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc                      | CUSIP: 072933AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5120000 | PA      | $4623155.20    | 0.02%             | 2032-07-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Beechwood Park CLO Ltd.                                                 | Beechwood Park CLO Ltd                                                          | CUSIP: 07355TBL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14915000 | PA      | $14896162.36   | 0.05%             | 2035-01-17      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                             | Bear Stearns ARM Trust 2004-10                                                  | CUSIP: 07384M4F6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1436789 | PA      | $1413093.76    | 0.00%             | 2035-01-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities Trust 2003-AC7                             | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320425 | PA      | $262803.92     | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities Trust 2003-AC7                             | CUSIP: 07384YPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288885 | PA      | $236882.76     | 0.00%             | 2034-01-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                | Bear Stearns ALT-A Trust 2005-4                                                 | CUSIP: 07386HSW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4729 | PA      | $4638.66       | 0.00%             | 2035-05-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                | Bear Stearns ALT-A Trust 2006-4                                                 | CUSIP: 073871BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1172617 | PA      | $474041.73     | 0.00%             | 2036-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2005-AC5                           | CUSIP: 073879B31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831221 | PA      | $477727.97     | 0.00%             | 2049-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2006-AC2                           | CUSIP: 07387UGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30926 | PA      | $30871.47      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                             | Bear Stearns ARM Trust 2006-4                                                   | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132727 | PA      | $112540.34     | 0.00%             | 2036-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2006-HE9                           | CUSIP: 07389MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1224507 | PA      | $1211947.35    | 0.00%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2007-AC1                           | CUSIP: 07389XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24175528 | PA      | $22859832.85   | 0.08%             | 2037-02-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                     | Bear Stearns Mortgage Funding Trust 2006-AR3                                    | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     752546 | PA      | $673875.88     | 0.00%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                     | Bear Stearns Mortgage Funding Trust 2007-AR5                                    | CUSIP: 07400NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1642659 | PA      | $1465433.23    | 0.00%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                     | Bear Stearns Mortgage Funding Trust 2006-AR5                                    | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10982166 | PA      | $9871265.14    | 0.03%             | 2046-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   16949000 | PA      | $16599850.60   | 0.06%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1606282.70    | 0.01%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   38211000 | PA      | $38222081.19   | 0.13%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BLACKHAWK NETWORK HOLDINGS INC                                          | Blackhawk Network Holdings Inc 2026 Term Loan B                                 | CUSIP: 09238FAN1<br>LEI: 549300LFU3K8UIR03132 | Long             | LON              | CORP              | US        |    5362798 | PA      | $5301796.02    | 0.02%             | 2029-03-12      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Boyce Park CLO, LLC                                                     | Boyce Park Clo Ltd                                                              | CUSIP: 103228AN2<br>LEI: 54930028S3PFXX4SMQ72 | Long             | ABS-CBDO         | CORP              | JE        |   14275000 | PA      | $14241196.80   | 0.05%             | 2035-04-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BRADYPLUS HOLDINGS LLC                                                  | BradyPlus Holdings LLC 2025 Term Loan B                                         | CUSIP: 10480UAD3<br>LEI: 254900LMURL5G873DV35 | Long             | LON              | CORP              | US        |   10487586 | PA      | $10343433.76   | 0.03%             | 2032-12-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                   | Brazil Government International Bonds                                           | CUSIP: 105756CF5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   10519000 | PA      | $10540879.52   | 0.04%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                   | Brazil Government International Bonds                                           | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7531000 | PA      | $7526857.95    | 0.03%             | 2034-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                   | Brazil Government International Bonds                                           | CUSIP: 105756CL2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   12427000 | PA      | $12706358.96   | 0.04%             | 2035-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                                   | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1666714.00    | 0.01%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                                   | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AX2<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1194569.60    | 0.00%             | 2033-09-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2007-CB5 Trust                                                           | CUSIP: 12464YAB5<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   17359352 | PA      | $10376684.78   | 0.03%             | 2037-04-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2006-CB9 TRUST                                                           | CUSIP: 12465MAC8<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   20673108 | PA      | $9576823.39    | 0.03%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2006-CB7 TRUST                                                           | CUSIP: 12479DAA6<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   28369459 | PA      | $20863393.81   | 0.07%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19691107 | PA      | $11233396.29   | 0.04%             | 2037-02-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14416822 | PA      | $8224518.55    | 0.03%             | 2037-02-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2621677 | PA      | $1495615.93    | 0.01%             | 2037-02-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2007-CB1 TRUST                                                           | CUSIP: 1248MGAM6<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |    5629835 | PA      | $1528043.61    | 0.01%             | 2037-01-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2007-CB1 TRUST                                                           | CUSIP: 1248MGAN4<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   10579800 | PA      | $2870603.48    | 0.01%             | 2037-01-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 1248P1AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6712500 | PA      | $6232008.44    | 0.02%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CCRR Parent Inc                                                         | CCRR Parent Inc Term Loan B                                                     | CUSIP: 12510MAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4595587 | PA      | $1318037.46    | 0.00%             | 2028-03-06      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| CCRR Parent Inc                                                         | CCRR Parent Inc US Acquisition Facility                                         | CUSIP: 12510MAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3684108 | PA      | $930237.22     | 0.00%             | 2028-03-06      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2007-HY5                                        | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     446461 | PA      | $351060.42     | 0.00%             | 2047-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2017-IV Ltd                                                        | CUSIP: 12551JAN6<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |    3475000 | PA      | $3476786.15    | 0.01%             | 2030-10-24      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                         | Cigna Group/The                                                                 | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   55025000 | PA      | $55180170.50   | 0.19%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2021-VI Ltd                                                        | CUSIP: 12553SAG9<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |   20000000 | PA      | $20023520.00   | 0.07%             | 2034-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R1                                                               | CUSIP: 12558VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   96273799 | PA      | $89725326.25   | 0.30%             | 2059-10-27      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R6                                                               | CUSIP: 12560YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56600931 | PA      | $51878037.56   | 0.17%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R6                                                               | CUSIP: 12560YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33613069 | PA      | $30818754.03   | 0.10%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R7                                                               | CUSIP: 12563GAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  136157048 | PA      | $125909392.46  | 0.42%             | 2061-12-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R1                                                               | CUSIP: 12563RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45405170 | PA      | $41658779.90   | 0.14%             | 2056-08-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R2                                                               | CUSIP: 12564MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37971511 | PA      | $36729318.95   | 0.12%             | 2057-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R3                                                               | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  121805662 | PA      | $113343226.04  | 0.38%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2022-II Ltd                                                        | CUSIP: 12567MAN1<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |   17000000 | PA      | $16953539.00   | 0.06%             | 2035-04-19      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2022-I Ltd                                                         | CUSIP: 12570LAA6<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $25013100.00   | 0.08%             | 2035-04-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Antylia Scientific                                                      | Antylia Scientific Term Loan                                                    | CUSIP: 12592HAG6<br>LEI: 549300EZRMS5BZD8TN98 | Long             | LON              | CORP              | US        |    3140420 | PA      | $3120792.79    | 0.01%             | 2032-05-27      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R5                                                               | CUSIP: 12592SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30483759 | PA      | $26766235.16   | 0.09%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R5                                                               | CUSIP: 12592SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  119398183 | PA      | $107278326.42  | 0.36%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R4                                                               | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  118912015 | PA      | $112779074.76  | 0.38%             | 2061-05-01      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust                                              | CSAB Mortgage-Backed Trust 2006-4                                               | CUSIP: 12628LAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5268016 | PA      | $187858.50     | 0.00%             | 2036-12-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   43925000 | PA      | $28075542.25   | 0.09%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     175000 | PA      | $66270.75      | 0.00%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    4879000 | PA      | $1736289.73    | 0.01%             | 2030-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     775000 | PA      | $460264.75     | 0.00%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   30907000 | PA      | $22399539.18   | 0.08%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST                                                      | Century Plaza Towers 2019-CPT                                                   | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27645000 | PA      | $25561346.59   | 0.09%             | 2039-11-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                                | CSMCM 2021-RPL11 Trust                                                          | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7932096 | PA      | $6218131.22    | 0.02%             | 2061-10-27      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-RPL11 Trust                                                           | CUSIP: 12659AAH9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  188827797 | PA      | $157713640.18  | 0.53%             | 2061-10-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-RPL11 Trust                                                           | CUSIP: 12659AAJ5<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     131811 | PA      | $128240.23     | 0.00%             | 2061-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2022-RPL1 Trust                                                            | CUSIP: 12661QAH0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  187786485 | PA      | $168993076.55  | 0.57%             | 2061-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2022-RPL1 Trust                                                            | CUSIP: 12661QAJ6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     271161 | PA      | $266955.59     | 0.00%             | 2061-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                                | CSMCM 2022-RPL1 Trust                                                           | CUSIP: 12662JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7819116 | PA      | $6451274.27    | 0.02%             | 2061-04-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | Csmc 2021-Nqm6 Trust                                                            | CUSIP: 12662KAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    4890972 | PA      | $4225293.46    | 0.01%             | 2066-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   11472000 | PA      | $10575463.20   | 0.04%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    4406000 | PA      | $3782771.30    | 0.01%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650DZ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   13496000 | PA      | $12784220.96   | 0.04%             | 2053-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   14063000 | PA      | $14204051.89   | 0.05%             | 2054-12-10      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   17780000 | PA      | $18337403.00   | 0.06%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   18857000 | PA      | $18933370.85   | 0.06%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | CWABS Asset-Backed Certificates Trust 2005-13                                   | CUSIP: 126670GR3<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      63042 | PA      | $59239.78      | 0.00%             | 2036-04-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2004-30CB                                                | CUSIP: 12667FG41<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |   16724642 | PA      | $16604822.08   | 0.06%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2004-J6                                                  | CUSIP: 12667FRG2<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |       1147 | PA      | $1171.83       | 0.00%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2005-84                                                  | CUSIP: 12668BAT0<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      19468 | PA      | $16935.04      | 0.00%             | 2036-02-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2005-76                                                  | CUSIP: 12668BDE0<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |   24353721 | PA      | $22647297.25   | 0.08%             | 2036-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | CWABS Asset-Backed Certificates Trust 2007-13                                   | CUSIP: 126698AD1<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    5303564 | PA      | $4931652.87    | 0.02%             | 2047-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2001-HYB1                                       | CUSIP: 12669B2W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3334 | PA      | $3316.55       | 0.00%             | 2031-06-19      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-14                                         | CUSIP: 12669FT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400274 | PA      | $380421.63     | 0.00%             | 2034-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-HYB4                                       | CUSIP: 12669FV75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294654 | PA      | $287672.98     | 0.00%             | 2034-09-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-7                                          | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30890 | PA      | $28656.88      | 0.00%             | 2034-06-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-HYB3                                       | CUSIP: 12669FYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3610 | PA      | $3575.93       | 0.00%             | 2034-06-20      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-25                                         | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46598 | PA      | $44346.99      | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2005-11                                         | CUSIP: 12669GUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183977 | PA      | $171877.96     | 0.00%             | 2035-04-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                                           | CALI Mortgage Trust 2019-101C                                                   | CUSIP: 129890AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  272551000 | PA      | $2240900.69    | 0.01%             | 2039-03-10      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                          | Carrington Mortgage Loan Trust Series 2007-RFC1                                 | CUSIP: 144526AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22415000 | PA      | $20295867.97   | 0.07%             | 2036-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                          | Carrington Mortgage Loan Trust Series 2006-NC3                                  | CUSIP: 144528AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   46429000 | PA      | $39863888.33   | 0.13%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-N3                                          | CUSIP: 14686RAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30900 | PA      | $5569572.42    | 0.02%             | 2030-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2021-N1                                          | CUSIP: 14687D102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      53821 | PA      | $5321171.13    | 0.02%             | 2028-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2021-P4                                          | CUSIP: 14687KAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      43250 | PA      | $4516809.43    | 0.02%             | 2028-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30000 | PA      | $5815465.29    | 0.02%             | 2030-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  165187071 | PA      | $1596533.04    | 0.01%             | 2030-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cast and Crew Payroll LLC                                               | Cast and Crew Payroll LLC 2021 Incremental Term Loan                            | CUSIP: 14835JAQ3<br>LEI: 549300XE7OZGFGN5F466 | Long             | LON              | CORP              | US        |    4371744 | PA      | $1756348.02    | 0.01%             | 2028-12-29      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust                                | Castlelake Aircraft Structured Trust 2025-3                                     | CUSIP: 14855YAA0<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |    6742902 | PA      | $6667788.45    | 0.02%             | 2050-11-15      | Fixed         | 5.09%                 | 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        |    2762579 | PA      | $2772939.05    | 0.01%             | 2032-04-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   48742000 | PA      | $42721875.58   | 0.14%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                    | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3387000 | PA      | $2840913.99    | 0.01%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   23000000 | PA      | $19253300.00   | 0.06%             | 2031-08-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                  | CenterPoint Energy Inc                                                          | CUSIP: 15189TBS5<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   39005000 | PA      | $38591547.00   | 0.13%             | 2056-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                                  | CenterPoint Energy Resources Corp                                               | CUSIP: 15189WAS9<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2558450.00    | 0.01%             | 2034-07-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     505000 | PA      | $453995.00     | 0.00%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14837000 | PA      | $11405053.53   | 0.04%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3458000 | PA      | $2570642.62    | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8978500.00    | 0.03%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4605000 | PA      | $3234736.20    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      18000 | PA      | $11470.14      | 0.00%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9605000 | PA      | $6581538.10    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29325000 | PA      | $28857852.75   | 0.10%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                                   | Charter Communications Operating LLC 2024 Term Loan B5                          | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    7211536 | PA      | $7219216.65    | 0.02%             | 2031-12-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                           | Chase Funding Trust Series 2003-5                                               | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1752 | PA      | $1761.12       | 0.00%             | 2033-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                           | Chase Funding Trust Series 2004-2                                               | CUSIP: 161546JS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2204 | PA      | $2132.90       | 0.00%             | 2035-02-26      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Mortgage Finance Trust Series 2006-S3                                     | CUSIP: 16162XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1301032 | PA      | $106008.23     | 0.00%             | 2021-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Mortgage Finance Trust Series 2006-A1                                     | CUSIP: 16163CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254963 | PA      | $229112.73     | 0.00%             | 2036-09-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Mortgage Finance Trust Series 2007-A2                                     | CUSIP: 16163LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     404136 | PA      | $407886.32     | 0.00%             | 2035-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                         | ChaseFlex Trust Series 2006-2                                                   | CUSIP: 16165MAD0<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-MBS          | CORP              | US        |    3240055 | PA      | $2743048.24    | 0.01%             | 2036-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CIT EDUCATION LOAN TRUST                                                | CIT Education Loan Trust 2007-1                                                 | CUSIP: 17284LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4591452 | PA      | $4269790.62    | 0.01%             | 2042-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   22971000 | PA      | $22838457.33   | 0.08%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   14658000 | PA      | $12947704.56   | 0.04%             | 2032-11-03      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities, Inc.                                      | Citicorp Mortgage Securities Inc                                                | CUSIP: 172973N96<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |      55792 | PA      | $53885.80      | 0.00%             | 2035-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2006-AR2                                          | CUSIP: 17307G6K9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    5384743 | PA      | $3992471.79    | 0.01%             | 2036-03-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2005-9                                            | CUSIP: 17307GK31<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      76228 | PA      | $67432.31      | 0.00%             | 2035-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GZG6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     249537 | PA      | $224426.33     | 0.00%             | 2035-10-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2006-WF2                                          | CUSIP: 17309BAL1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   25182300 | PA      | $12270949.73   | 0.04%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2007-AR5                                          | CUSIP: 17311LAA9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      38206 | PA      | $34848.37      | 0.00%             | 2037-04-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2007-6                                            | CUSIP: 17312VAH1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      78920 | PA      | $78429.88      | 0.00%             | 2037-03-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2014-5                                            | CUSIP: 17322TAE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    4158689 | PA      | $3938748.62    | 0.01%             | 2036-02-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                             | Citibank NA                                                                     | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    9015000 | PA      | $9160862.70    | 0.03%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3612.80       | 0.00%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4533103.00    | 0.02%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CITY FOOTBALL GROUP LIMITED                                             | City Football Group Limited 2024 Term Loan                                      | CUSIP: 17781XAD8<br>LEI: 213800K6VVWALRH9UJ69 | Long             | LON              | CORP              | GB        |    5363381 | PA      | $5358366.59    | 0.02%             | 2030-07-22      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Cleanova US Holdings LLC                                                | Cleanova US Holdings LLC 2025 Term Loan B                                       | CUSIP: 18452UAB4<br>LEI: 254900Q8HEK85N92G859 | Long             | LON              | CORP              | US        |    2110489 | PA      | $2115764.77    | 0.01%             | 2032-06-14      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                  | Cloud Software Group Inc                                                        | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    6483000 | PA      | $6165527.49    | 0.02%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                                              | Clover CLO 2021-3 LLC                                                           | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24850000 | PA      | $24787875.00   | 0.08%             | 2035-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                                 | Colombia Government International Bonds                                         | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    8680000 | PA      | $8886844.40    | 0.03%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753WAE6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    9223147 | PA      | $9320071.71    | 0.03%             | 2039-10-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    5660000 | PA      | $5715354.23    | 0.02%             | 2041-10-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Cornerstone Generation LLC                                              | Cornerstone Generation LLC Term Loan B                                          | CUSIP: 21924NAB4<br>LEI: 254900JBGAU2N55LVN75 | Long             | LON              | CORP              | US        |    2030323 | PA      | $2034678.52    | 0.01%             | 2032-08-11      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  400325000 | PA      | $344325337.21  | 1.16%             | 2056-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21200000 | PA      | $19439700.40   | 0.07%             | 2056-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  150425000 | PA      | $137280337.01  | 0.46%             | 2056-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  428775000 | PA      | $401392785.34  | 1.35%             | 2056-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  133950000 | PA      | $132613379.93  | 0.45%             | 2056-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  158675000 | PA      | $159639744.00  | 0.54%             | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2007-HYB1                                       | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     720811 | PA      | $608834.69     | 0.00%             | 2037-03-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Indymac Manufactured Housing Contract                                   | Indymac Manufactured Housing Contract Pass-Through Certificates Series 1997-1   | CUSIP: 22540ABC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      13566 | PA      | $13611.25      | 0.00%             | 2028-02-25      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 22541QNF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2916 | PA      | $2862.55       | 0.00%             | 2033-08-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-1                    | CUSIP: 22541SAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1244 | PA      | $1246.64       | 0.00%             | 2034-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5                  | CUSIP: 22541SJE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22473 | PA      | $22237.55      | 0.00%             | 2034-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 225458YA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2533 | PA      | $2181.69       | 0.00%             | 2049-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                        | Crown Castle Inc                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   23220000 | PA      | $20241570.60   | 0.07%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                                         | DC Office Trust 2019-MTC                                                        | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31135000 | PA      | $28114235.60   | 0.09%             | 2045-09-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2006-AR2                                               | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11395182 | PA      | $7748384.13    | 0.03%             | 2036-10-19      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2004-AR4                                               | CUSIP: 23332UBV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     852013 | PA      | $648644.85     | 0.00%             | 2045-01-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2005-AR3                                               | CUSIP: 23332UDU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49974 | PA      | $48909.48      | 0.00%             | 2045-07-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2007-AR1                                               | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4449974 | PA      | $3790373.47    | 0.01%             | 2037-03-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| DTI Holdco Inc                                                          | DTI Holdco Inc 2025 Term Loan B                                                 | CUSIP: 23358EAK5<br>LEI: 549300QQVMUL3P8XVJ27 | Long             | LON              | CORP              | US        |    5110547 | PA      | $4424890.27    | 0.01%             | 2029-04-26      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Dave & Buster's, Inc.                                                   | Dave & Buster's Inc 2024 1st Lien Term Loan B                                   | CUSIP: 23833EAY0<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | LON              | CORP              | US        |    4731722 | PA      | $3975498.30    | 0.01%             | 2031-11-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                    | Deephaven Residential Mortgage Trust 2021-4                                     | CUSIP: 24381JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17031491 | PA      | $15121521.36   | 0.05%             | 2066-11-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                 | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   24890000 | PA      | $25211329.90   | 0.08%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA                                                 | Delta Air Lines 2020-1 Class AA Pass Through Trust                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   60499990 | PA      | $58561570.00   | 0.20%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SkyMiles IP Ltd                                                         | SkyMiles IP Ltd 2025 Repriced Term Loan B                                       | CUSIP: 24736CBT0<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |    7090890 | PA      | $7135953.02    | 0.02%             | 2028-10-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4                   | CUSIP: 25150PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1283517 | PA      | $436551.34     | 0.00%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4                   | CUSIP: 25150PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23558770 | PA      | $7392350.85    | 0.02%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6                   | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260334 | PA      | $229700.15     | 0.00%             | 2037-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3                   | CUSIP: 25150VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12728713 | PA      | $10911778.34   | 0.04%             | 2037-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3                   | CUSIP: 25150WAA2<br>LEI: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |   22560303 | PA      | $21587840.82   | 0.07%             | 2047-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                 | CUSIP: 251510KC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163441 | PA      | $133789.61     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2006-AR1               | CUSIP: 251510LF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475754 | PA      | $301422.81     | 0.00%             | 2036-02-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR3                   | CUSIP: 25151AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1498005 | PA      | $1384749.01    | 0.00%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-3                     | CUSIP: 25151KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15617862 | PA      | $12440529.99   | 0.04%             | 2047-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   11960000 | PA      | $11883814.80   | 0.04%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UEA3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   35570000 | PA      | $35292198.30   | 0.12%             | 2056-02-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 40 Senior Loan Fund                                                      | CUSIP: 26244GAS4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |    4742107 | PA      | $4746706.84    | 0.02%             | 2031-08-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 43 Senior Loan Fund                                                      | CUSIP: 26245CBQ5<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |   17600000 | PA      | $17598944.00   | 0.06%             | 2034-04-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 86 CLO Ltd                                                               | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   22000000 | PA      | $22011000.00   | 0.07%             | 2034-07-17      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 98 CLO Ltd                                                               | CUSIP: 26248AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29330000 | PA      | $29329530.72   | 0.10%             | 2035-04-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 65 CLO Ltd                                                               | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3504165.00    | 0.01%             | 2030-07-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 68 CLO Ltd                                                               | CUSIP: 26252QAS1<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |   15850000 | PA      | $15850079.25   | 0.05%             | 2035-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                   | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAN4<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1239000 | PA      | $1017764.16    | 0.00%             | 2042-09-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                 | Duke Energy Florida LLC                                                         | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    2409000 | PA      | $2559369.78    | 0.01%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EOC Borrower LLC                                                        | EOC Borrower LLC Term Loan A                                                    | CUSIP: 26875YAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1887046 | PA      | $1889405.03    | 0.01%             | 2028-03-24      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3741277.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1720791.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1907947.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $6122413.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $868101.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1619573.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $16767.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $226699.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $123364.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $55843.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $83615.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $76189.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $119870.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-349376.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-42116.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $102232.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $35944.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $18511.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $134149.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $225077.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $219005.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-4647.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-76062.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-277269.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-11638.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $24704.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $70023.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $181958.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $189004.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-10196.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $677801.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $682001.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-177951.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-580388.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $200995.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $356884.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $173304.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-925011.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |          1 | NC      | $-85605.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |          1 | NC      | $-16068.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $6266.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-1887.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |          1 | NC      | $-11468.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |          1 | NC      | $-1307.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $95722.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $462418.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $487423.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $115001.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $13966.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-122521.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $228179.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $171139.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $-383871.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-32890.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $30446.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $32436.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $36987.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                 | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |          1 | NC      | $20762.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $175657.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $30522.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $48804.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-17066.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $257971.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $10293.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $20149.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $43292.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2577163.82    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $463.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $480.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $96163.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |          1 | NC      | $-645010.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $29843.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $24190.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-22718.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |          1 | NC      | $-33157.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $6656.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |          1 | NC      | $-23454.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |          1 | NC      | $-68429.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $187121.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-37957.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-11944.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $7522.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $8236.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $105850.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $99184.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $13633.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                 | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |          1 | NC      | $48360.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $28568.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $16074.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $104146.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $16307.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $40771.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $50755.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $197.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-18300.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $19425.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $-3061674.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $-358361.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $357213.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $3051869.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $34916.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $23566.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $11863.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $17577.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                 | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |          1 | NC      | $-9447.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $11616.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-11820.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |          1 | NC      | $-477287.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $467656.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-996818.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $988096.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-108.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                 | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |          1 | NC      | $-24822.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                            | Ecopetrol SA                                                                    | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   11674000 | PA      | $12295056.80   | 0.04%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 28504DAG8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    1885000 | PA      | $1922209.90    | 0.01%             | 2055-01-13      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT INT'L                                                    | Abu Dhabi Government International Bond                                         | CUSIP: 29135LAU4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |   24989000 | PA      | $23900978.94   | 0.08%             | 2054-04-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Astrion Group, LLC                                                      | Astrion Group LLC 2024 Term Loan                                                | CUSIP: 29288KAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2977386 | PA      | $2362064.88    | 0.01%             | 2031-08-29      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                            | Entergy Corp                                                                    | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   31755000 | PA      | $31348853.55   | 0.11%             | 2056-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                            | Entergy Corp                                                                    | CUSIP: 29364GAS2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   11840000 | PA      | $11675068.80   | 0.04%             | 2056-06-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                                      | Popular ABS Inc                                                                 | CUSIP: 294751AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43247 | PA      | $41151.63      | 0.00%             | 2029-11-25      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                                      | Equity One Mortgage Pass-Through Trust 2002-4                                   | CUSIP: 294751BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1654 | PA      | $1652.51       | 0.00%             | 2033-02-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                                      | Equity One Mortgage Pass-Through Trust 2002-5                                   | CUSIP: 294751BP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      14032 | PA      | $15485.70      | 0.00%             | 2032-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAF4<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    1500000 | PA      | $1340655.00    | 0.00%             | 2031-06-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    1430000 | PA      | $1402515.40    | 0.00%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAM9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |     928000 | PA      | $919555.20     | 0.00%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    1090000 | PA      | $976825.30     | 0.00%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   14348000 | PA      | $12569421.92   | 0.04%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust 2006-FF13                                    | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8178507 | PA      | $5377268.01    | 0.02%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust 2006-FF13                                    | CUSIP: 30247DAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     515717 | PA      | $338736.74     | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4504500.00    | 0.02%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   77000000 | PA      | $72965200.00   | 0.25%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   37260000 | PA      | $36567709.20   | 0.12%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    9760000 | PA      | $9154489.60    | 0.03%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAPITAL                                                | Farmers Exchange Capital                                                        | CUSIP: 309588AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13283000 | PA      | $13801966.81   | 0.05%             | 2028-07-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAPITAL                                                | Farmers Exchange Capital                                                        | CUSIP: 309588AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18415000 | PA      | $18693987.25   | 0.06%             | 2048-07-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP II                                                 | Farmers Exchange Capital II                                                     | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   57061000 | PA      | $55644745.98   | 0.19%             | 2053-11-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                                                | Farmers Exchange Capital III                                                    | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   49425000 | PA      | $44741981.25   | 0.15%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                                                        | Farmers Insurance Exchange                                                      | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |   23060000 | PA      | $19347340.00   | 0.07%             | 2057-11-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31283HC52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $78.32         | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31283HVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139421 | PA      | $141754.37     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128KHMD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905663 | PA      | $923225.91     | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128KRJH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2533 | PA      | $2582.03       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4FU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239259 | PA      | $243870.53     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4RD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846304 | PA      | $889131.98     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4TL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1109541 | PA      | $1150742.38    | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5B25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214777 | PA      | $222704.84     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5MZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     835186 | PA      | $866013.49     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5RC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560392 | PA      | $581076.38     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5XN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3906 | PA      | $4121.40       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6HP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1696673 | PA      | $1761254.30    | 0.01%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6R34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55243 | PA      | $57346.48      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6RY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1403196 | PA      | $1456508.80    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7Z74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5253134 | PA      | $5256358.03    | 0.02%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8MJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7757 | PA      | $7593.75       | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8RT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7585594 | PA      | $7426397.10    | 0.03%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8RU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3345440 | PA      | $3275443.27    | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66344026 | PA      | $64759159.40   | 0.22%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9R53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8229376 | PA      | $7810228.17    | 0.03%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MABR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41445859 | PA      | $39341865.88   | 0.13%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MABS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5564508 | PA      | $5281429.77    | 0.02%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6165168 | PA      | $5836318.85    | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4408595 | PA      | $4291602.23    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39604 | PA      | $36921.09      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35260 | PA      | $32871.36      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30005 | PA      | $27972.45      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5631169 | PA      | $5675937.51    | 0.02%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3180441 | PA      | $3205726.12    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1606640 | PA      | $1619412.69    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470974 | PA      | $474718.50     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3995361 | PA      | $3926646.41    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4443392 | PA      | $4478717.49    | 0.02%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     679958 | PA      | $668263.62     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1554649 | PA      | $1567008.52    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $505.19        | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15675883 | PA      | $14681514.03   | 0.05%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10461637 | PA      | $9798023.62    | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58599501 | PA      | $52982752.82   | 0.18%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63448346 | PA      | $57366837.00   | 0.19%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4427950 | PA      | $4136437.02    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   87364099 | PA      | $78990270.82   | 0.27%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8813934 | PA      | $7969120.43    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19755726 | PA      | $18455113.69   | 0.06%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   95241138 | PA      | $86112297.92   | 0.29%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17168730 | PA      | $16038431.64   | 0.05%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7903472 | PA      | $7573674.92    | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37342127 | PA      | $33762892.77   | 0.11%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28305919 | PA      | $26442406.45   | 0.09%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13232749 | PA      | $11964392.89   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10230098 | PA      | $9537165.83    | 0.03%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7856 | PA      | $7528.49       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MS2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1931 | PA      | $2002.43       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MXT25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54396 | PA      | $56416.49      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292HUR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115034 | PA      | $116959.84     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292MBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7746811 | PA      | $7125431.40    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292MCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9134556 | PA      | $8401622.52    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 312945ZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3798238 | PA      | $3711494.85    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31297BTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14254 | PA      | $14603.84      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31297CWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     512907 | PA      | $527701.49     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31297VAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10336 | PA      | $10714.36      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31298EX91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1098 | PA      | $1110.92       | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9611357 | PA      | $8679341.24    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11283460 | PA      | $10189299.70   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31329NU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92084 | PA      | $85739.18      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31329NVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323437 | PA      | $301150.52     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11438067 | PA      | $10328914.48   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5JM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     773106 | PA      | $718074.06     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132ACJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1116461 | PA      | $1044343.78    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNJX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13906208 | PA      | $11254076.41   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPL55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41082029 | PA      | $39832354.21   | 0.13%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPSK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63954794 | PA      | $61998113.91   | 0.21%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50701311 | PA      | $41145980.73   | 0.14%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DSEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90038088 | PA      | $79433371.45   | 0.27%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5083727 | PA      | $4729981.64    | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11162164 | PA      | $10401681.52   | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11742784 | PA      | $10942744.09   | 0.04%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97535 | PA      | $79392.12      | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  169353586 | PA      | $143519458.72  | 0.48%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   67624767 | PA      | $54727663.44   | 0.18%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22655067 | PA      | $18350220.46   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35887184 | PA      | $29055473.54   | 0.10%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77495129 | PA      | $65655543.31   | 0.22%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10119446 | PA      | $8197585.50    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69324658 | PA      | $67195963.57   | 0.23%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   88354652 | PA      | $85649836.49   | 0.29%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  204242287 | PA      | $197951800.03  | 0.67%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  139490165 | PA      | $140640563.79  | 0.47%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0KB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51859433 | PA      | $45812714.74   | 0.15%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132GMDH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12742870 | PA      | $12476004.76   | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7DB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20703297 | PA      | $19649827.77   | 0.07%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 3132HTQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8522139 | PA      | $6482837.84    | 0.02%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 3132HTWM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1492388 | PA      | $1482597.17    | 0.00%             | 2043-11-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132L5MD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14586781 | PA      | $13846285.27   | 0.05%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61570378 | PA      | $57759284.97   | 0.19%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35109865 | PA      | $33834667.73   | 0.11%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16565688 | PA      | $15538058.16   | 0.05%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  119087010 | PA      | $111699610.48  | 0.38%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     312637 | PA      | $300496.53     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51331 | PA      | $49369.72      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42892536 | PA      | $41253739.30   | 0.14%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335AAY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6633548 | PA      | $6286394.24    | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335AEK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55405154 | PA      | $52296612.08   | 0.18%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21359024 | PA      | $20136598.37   | 0.07%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51901 | PA      | $50302.66      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5526579 | PA      | $4476984.03    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KK3F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63128120 | PA      | $51392461.41   | 0.17%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKU23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7120620 | PA      | $5796880.69    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   93304008 | PA      | $79586976.96   | 0.27%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  106626136 | PA      | $86381748.09   | 0.29%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133N3VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3147011 | PA      | $2775748.76    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TAG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3025 | PA      | $3049.14       | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TGYT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16784 | PA      | $16799.80      | 0.00%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TLMU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2799 | PA      | $2856.33       | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        837 | PA      | $845.87        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2000 | PA      | $2191.49       | 0.00%             | 2032-02-15      | Floating      | 11.08%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31359VHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2003 | PA      | $2007.60       | 0.00%             | 2029-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31368HMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227501 | PA      | $235694.18     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31368HNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3255 | PA      | $3253.37       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A1ZR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5185797 | PA      | $5092736.12    | 0.02%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A2HP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5315977 | PA      | $5182244.38    | 0.02%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A7N65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4413024 | PA      | $4205372.71    | 0.01%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AGZD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4151334 | PA      | $2990584.64    | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AGZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7035863 | PA      | $5056976.62    | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ASXS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5161426 | PA      | $5114378.88    | 0.02%             | 2046-07-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AT2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8302539 | PA      | $8226577.09    | 0.03%             | 2046-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ATE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8266094 | PA      | $8189595.07    | 0.03%             | 2046-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ATJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10675843 | PA      | $10575867.11   | 0.04%             | 2046-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B1Q80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10744 | PA      | $10551.82      | 0.00%             | 2047-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B1S96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10516501 | PA      | $9456326.90    | 0.03%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B1ZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8153301 | PA      | $8051905.90    | 0.03%             | 2046-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B2EW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11754750 | PA      | $10572012.97   | 0.04%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3A34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091347 | PA      | $1007497.03    | 0.00%             | 2049-02-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3D80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1049991 | PA      | $979067.57     | 0.00%             | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3SX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233848 | PA      | $233252.07     | 0.00%             | 2047-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3WS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2573935 | PA      | $2385020.23    | 0.01%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B4WS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2789845 | PA      | $2513726.12    | 0.01%             | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B53X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2947343 | PA      | $2643036.21    | 0.01%             | 2049-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B5RG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10812684 | PA      | $9685885.34    | 0.03%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B64Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20504784 | PA      | $20096240.54   | 0.07%             | 2049-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B72K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61230 | PA      | $60459.30      | 0.00%             | 2050-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY OP LP                                                    | Federal Realty OP LP                                                            | CUSIP: 313747AF4<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              |  | US        |   18825000 | PA      | $18990283.50   | 0.06%             | 2026-08-15      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.03         | 0.00%             | 2026-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31378CTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $22.61         | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137A2XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19064704 | PA      | $18997784.44   | 0.06%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137ADUY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2076376 | PA      | $175537.91     | 0.00%             | 2041-07-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AE6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4245987 | PA      | $4228526.57    | 0.01%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AEXB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8817332 | PA      | $8773356.66    | 0.03%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AFGJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9215000 | PA      | $9163818.88    | 0.03%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AUNJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1969996 | PA      | $1941470.01    | 0.01%             | 2041-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AYKS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2697408 | PA      | $2658907.46    | 0.01%             | 2041-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137BVBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199888 | PA      | $189557.38     | 0.00%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FGVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     885105 | PA      | $791720.09     | 0.00%             | 2048-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3336816 | PA      | $3328404.02    | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6696 | PA      | $6680.92       | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKV52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1796448 | PA      | $1745984.38    | 0.01%             | 2048-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1660933 | PA      | $1553395.57    | 0.01%             | 2049-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FLUD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     565398 | PA      | $516129.79     | 0.00%             | 2049-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FMLW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536183 | PA      | $487814.65     | 0.00%             | 2049-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FQA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3933614 | PA      | $3879910.27    | 0.01%             | 2049-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31385HUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $880.60        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31385JH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $146.14        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31388SEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2521 | PA      | $2650.53       | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31389HCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1049 | PA      | $1115.21       | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31389R7K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10650 | PA      | $11200.60      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138A5FW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4842972 | PA      | $4735647.54    | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ASR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6779636 | PA      | $6616579.92    | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4279970 | PA      | $4507431.98    | 0.02%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EGGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7304821 | PA      | $7277374.10    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57327 | PA      | $54414.10      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EMDB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20688383 | PA      | $20185713.72   | 0.07%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EP3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28653 | PA      | $26089.40      | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EPBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18641 | PA      | $17671.03      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EQ4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46532 | PA      | $46685.43      | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ER5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55438842 | PA      | $54961521.59   | 0.19%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15593083 | PA      | $15458828.96   | 0.05%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2536504 | PA      | $2471647.02    | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51729976 | PA      | $51284588.86   | 0.17%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ET5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12547537 | PA      | $12439504.40   | 0.04%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257165 | PA      | $237216.81     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99307 | PA      | $99679.68      | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9606367 | PA      | $9433254.88    | 0.03%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18379057 | PA      | $17589367.15   | 0.06%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WLCJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16387693 | PA      | $15683566.57   | 0.05%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WXWK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88548 | PA      | $86396.20      | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31390TVV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30455 | PA      | $32385.03      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30645 | PA      | $31853.94      | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                    | Fannie Mae Trust 2003-W2                                                        | CUSIP: 31392JAQ2<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |      11313 | PA      | $11597.23      | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31392TS40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        552 | PA      | $554.50        | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31394VED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        851 | PA      | $3.02          | 0.00%             | 2035-11-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31394VYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11492 | PA      | $11498.96      | 0.00%             | 2036-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31395DXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276204 | PA      | $296146.22     | 0.00%             | 2036-04-25      | Floating      | 13.89%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31395XW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     383812 | PA      | $42673.92      | 0.00%             | 2035-08-15      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31396EJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1035352 | PA      | $1068002.28    | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396P6P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     988330 | PA      | $80005.38      | 0.00%             | 2037-04-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396PZH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532686 | PA      | $32749.95      | 0.00%             | 2037-03-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396WVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1490 | PA      | $1484.11       | 0.00%             | 2037-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31397GRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169692 | PA      | $18867.05      | 0.00%             | 2035-08-15      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31397LDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74895 | PA      | $79288.30      | 0.00%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31398MGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2609136 | PA      | $246173.75     | 0.00%             | 2040-03-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31398NQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192811 | PA      | $105876.85     | 0.00%             | 2040-10-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31398RAW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4617457 | PA      | $444905.46     | 0.00%             | 2040-05-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402CWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297507 | PA      | $305748.64     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2947 | PA      | $2965.01       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413457 | PA      | $416007.60     | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5905 | PA      | $6256.25       | 0.00%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     977406 | PA      | $1011102.36    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402RH44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1232230 | PA      | $1238171.21    | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402WNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        656 | PA      | $674.43        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31403CZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6921 | PA      | $6953.89       | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31403MW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2522 | PA      | $2537.81       | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31406N4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11594 | PA      | $11649.74      | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31407SGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2719 | PA      | $2784.58       | 0.00%             | 2035-11-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31407YQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1224 | PA      | $1243.04       | 0.00%             | 2035-12-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140F9WL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32982 | PA      | $30772.88      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9W23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18904741 | PA      | $18178727.11   | 0.06%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JADM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4414701 | PA      | $3986606.16    | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JLYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13078 | PA      | $12595.46      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  352989861 | PA      | $286039135.74  | 0.96%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KSYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37050764 | PA      | $30010491.92   | 0.10%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M2TJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62460331 | PA      | $50548166.82   | 0.17%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MGKG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2246885 | PA      | $1901748.83    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1694075 | PA      | $1577347.25    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56462 | PA      | $55422.10      | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5757826 | PA      | $5651772.25    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q8DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23397 | PA      | $21872.16      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26550725 | PA      | $24721211.92   | 0.08%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2004621 | PA      | $1866494.97    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12422783 | PA      | $12193966.82   | 0.04%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9SR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18691772 | PA      | $17973936.59   | 0.06%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3128569 | PA      | $3070987.55    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QBBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12893589 | PA      | $12009656.67   | 0.04%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QBN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12453260 | PA      | $11386584.65   | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QDKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45419192 | PA      | $40810944.11   | 0.14%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48475208 | PA      | $41539345.01   | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  122936591 | PA      | $105118143.44  | 0.35%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  136441462 | PA      | $110679601.86  | 0.37%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60928242 | PA      | $49629551.27   | 0.17%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  131973659 | PA      | $125073963.98  | 0.42%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QRJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44286510 | PA      | $42931120.50   | 0.14%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSTL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30033718 | PA      | $29126464.18   | 0.10%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5R88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7023479 | PA      | $6329885.86    | 0.02%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5SG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  115011146 | PA      | $107175395.49  | 0.36%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11504958 | PA      | $10761990.95   | 0.04%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39769937 | PA      | $39416315.70   | 0.13%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31410G2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1029847 | PA      | $1058318.90    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31410GAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57661 | PA      | $62264.92      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31416WYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11066927 | PA      | $10821229.83   | 0.04%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31416XAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12372981 | PA      | $12098784.02   | 0.04%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417ACR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4552035 | PA      | $4332431.73    | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417AP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4127824 | PA      | $3932101.69    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417AWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460011 | PA      | $1437827.52    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417DCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162188 | PA      | $149559.19     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417GX92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8034028 | PA      | $7615881.54    | 0.03%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417VFV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5008 | PA      | $5025.02       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12530494 | PA      | $12200816.10   | 0.04%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17455136 | PA      | $16568518.53   | 0.06%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36741 | PA      | $34829.07      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ASW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22398 | PA      | $21650.06      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ATR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10584 | PA      | $10226.93      | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15601693 | PA      | $15066482.15   | 0.05%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9914719 | PA      | $9572195.94    | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6084561 | PA      | $5767878.39    | 0.02%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14958897 | PA      | $14627255.77   | 0.05%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10401356 | PA      | $10171067.97   | 0.03%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21799 | PA      | $21261.88      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418C4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7440505 | PA      | $7303563.07    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31665 | PA      | $28594.27      | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14948402 | PA      | $14306622.45   | 0.05%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11326635 | PA      | $10840348.89   | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     881749 | PA      | $820993.64     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32685904 | PA      | $30433726.74   | 0.10%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18759003 | PA      | $17466439.92   | 0.06%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28470367 | PA      | $26508655.80   | 0.09%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14844461 | PA      | $13787780.80   | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11161114 | PA      | $10392072.86   | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40783605 | PA      | $37880487.89   | 0.13%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   79318837 | PA      | $64246915.40   | 0.22%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  124855525 | PA      | $105848116.70  | 0.36%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DGV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4735873 | PA      | $4177168.44    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DHY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25322 | PA      | $22334.71      | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9204143 | PA      | $8118304.45    | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11260295 | PA      | $9806926.19    | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   96907078 | PA      | $85765435.76   | 0.29%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  144485925 | PA      | $117760742.33  | 0.40%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1960262 | PA      | $1595623.17    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31929811 | PA      | $25967995.25   | 0.09%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57024260 | PA      | $50036775.04   | 0.17%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71802916 | PA      | $58371055.59   | 0.20%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15890667 | PA      | $12874891.09   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  182621685 | PA      | $154569821.70  | 0.52%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  352857021 | PA      | $334396815.51  | 1.13%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23050092 | PA      | $21838834.74   | 0.07%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  265552081 | PA      | $257422690.02  | 0.87%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14700090 | PA      | $13926476.62   | 0.05%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49228882 | PA      | $46630509.14   | 0.16%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  204182073 | PA      | $202443750.30  | 0.68%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  114526283 | PA      | $115632564.20  | 0.39%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31419AEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18306 | PA      | $18295.23      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31419ARC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2353818 | PA      | $2418892.40    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31427NZ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59573415 | PA      | $57744144.22   | 0.19%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11451000 | PA      | $10986089.40   | 0.04%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315292AU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8946000 | PA      | $9339266.16    | 0.03%             | 2031-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| First Brands Group LLC                                                  | First Brands Group LLC 2021 Term Loan                                           | CUSIP: 31935HAD9<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |    1240215 | PA      | $3621.43       | 0.00%             | 2027-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| First Brands Group, LLC                                                 | First Brands Group LLC 2025 DIP Term Loan                                       | CUSIP: 31935HAM9<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2026-06-29      | Floating      | 13.67%                | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                                  | First Brands Group LLC 2025 PIK DIP Roll-Up Term Loan B                         | CUSIP: 31935HAN7<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |    1422245 | PA      | $5418.75       | 0.00%             | 2026-06-29      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| GC Ferry Acquisition I Inc                                              | GC Ferry Acquisition I Inc Term Loan                                            | CUSIP: 32009UAD9<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |    4616190 | PA      | $4558487.47    | 0.02%             | 2032-08-16      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| GC Ferry Acquisition I Inc                                              | GC Ferry Acquisition I Inc Delayed Draw Term Loan                               | CUSIP: 32009UAE7<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |     788130 | PA      | $778278.35     | 0.00%             | 2032-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF1                              | CUSIP: 32028TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   45417557 | PA      | $24971894.38   | 0.08%             | 2038-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2006-FF18                             | CUSIP: 32029AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3948890 | PA      | $3678364.44    | 0.01%             | 2037-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2006-FF18                             | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10859802 | PA      | $10114321.26   | 0.03%             | 2037-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2006-FF18                             | CUSIP: 32029AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7870831 | PA      | $7327077.77    | 0.02%             | 2037-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41112018 | PA      | $22003008.14   | 0.07%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18388756 | PA      | $8705494.40    | 0.03%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10541980 | PA      | $5005202.22    | 0.02%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31184387 | PA      | $14810622.10   | 0.05%             | 2037-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2004-AA2                    | CUSIP: 32051D4P4<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    1696391 | PA      | $1669715.38    | 0.01%             | 2034-08-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2004-AA3                    | CUSIP: 32051D6B3<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |       3907 | PA      | $3926.99       | 0.00%             | 2034-09-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA10                   | CUSIP: 32051GA54<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    5146213 | PA      | $4253810.55    | 0.01%             | 2035-12-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2004-AA4                    | CUSIP: 32051GAA3<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |     241246 | PA      | $238710.96     | 0.00%             | 2034-10-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                               | First Horizon Mortgage Pass-Through Trust 2004-AR6                              | CUSIP: 32051GBD6<br>LEI: 549300YB0SYOI7JLTH61 | Long             | ABS-MBS          | CORP              | US        |      53527 | PA      | $52412.64      | 0.00%             | 2034-12-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA4                    | CUSIP: 32051GNK7<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    4860307 | PA      | $4548878.84    | 0.02%             | 2035-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA12                   | CUSIP: 32051GQ81<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    5124913 | PA      | $3039048.40    | 0.01%             | 2036-02-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA7                    | CUSIP: 32051GSQ9<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    3422197 | PA      | $3054088.06    | 0.01%             | 2035-09-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA8                    | CUSIP: 32051GWF8<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    6155977 | PA      | $3309628.11    | 0.01%             | 2035-10-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA9                    | CUSIP: 32051GXE0<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    5213250 | PA      | $4550208.88    | 0.02%             | 2035-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                               | First Horizon Mortgage Pass-Through Trust 2006-AR4                              | CUSIP: 32053AAB2<br>LEI: 549300YB0SYOI7JLTH61 | Long             | ABS-MBS          | CORP              | US        |      34910 | PA      | $15450.78      | 0.00%             | 2037-01-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                               | First Horizon Mortgage Pass-Through Trust 2007-AR3                              | CUSIP: 32056JAA2<br>LEI: 549300YB0SYOI7JLTH61 | Long             | ABS-MBS          | CORP              | US        |      65066 | PA      | $24866.83      | 0.00%             | 2037-11-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAD1<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   40514000 | PA      | $38997155.84   | 0.13%             | 2028-09-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                                          | FirstKey Homes 2021-SFR2 Trust                                                  | CUSIP: 33767TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12677000 | PA      | $12509778.96   | 0.04%             | 2038-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                                          | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12416000 | PA      | $12300919.82   | 0.04%             | 2038-08-17      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                              | Fiserv Inc                                                                      | CUSIP: 337738BH0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   17345000 | PA      | $17536662.25   | 0.06%             | 2033-08-21      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                              | Fiserv Inc                                                                      | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   18510000 | PA      | $18421337.10   | 0.06%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                              | Fiserv Inc                                                                      | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   38150000 | PA      | $37108505.00   | 0.12%             | 2035-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                                     | 522 Funding CLO 2019-5 Ltd                                                      | CUSIP: 33829WAL3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   28000000 | PA      | $27973960.00   | 0.09%             | 2035-04-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                                    | Flutter Treasury DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |   17745000 | PA      | $17553886.35   | 0.06%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2770839.50    | 0.01%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                                                  | Fresenius Medical Care US Finance III Inc                                       | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |   67592000 | PA      | $66324650.00   | 0.22%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM PARTNERS LLC                                                 | Guggenheim Partners LLC 2024 Term Loan B                                        | CUSIP: 36173YAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2247399 | PA      | $2251894.00    | 0.01%             | 2031-11-26      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53799 | PA      | $50344.95      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179MVU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24143 | PA      | $24027.96      | 0.00%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179MX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23434 | PA      | $23322.73      | 0.00%             | 2043-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22846 | PA      | $21584.24      | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6010 | PA      | $5963.35       | 0.00%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179QT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126794 | PA      | $129249.10     | 0.00%             | 2044-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15353031 | PA      | $14394706.49   | 0.05%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6436 | PA      | $6560.54       | 0.00%             | 2046-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38856096 | PA      | $36430726.96   | 0.12%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3478357 | PA      | $3545707.17    | 0.01%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12349 | PA      | $12251.84      | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     525413 | PA      | $521074.41     | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202827 | PA      | $201236.44     | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19848 | PA      | $19683.60      | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4157 | PA      | $3775.14       | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133836 | PA      | $132730.40     | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1019650 | PA      | $1006695.53    | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S2S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4164398 | PA      | $4255509.52    | 0.01%             | 2047-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56127892 | PA      | $55414820.10   | 0.19%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9698496 | PA      | $9882177.18    | 0.03%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1498458 | PA      | $1358411.95    | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10941018 | PA      | $10238070.62   | 0.03%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55911 | PA      | $55449.08      | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2057967 | PA      | $2097814.88    | 0.01%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SEK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228223 | PA      | $226433.41     | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1290264 | PA      | $1315246.96    | 0.00%             | 2046-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1871133 | PA      | $1855680.90    | 0.01%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93203 | PA      | $95018.01      | 0.00%             | 2046-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11609257 | PA      | $10524256.90   | 0.04%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1965707 | PA      | $1950293.66    | 0.01%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     399559 | PA      | $407295.61     | 0.00%             | 2046-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8841421 | PA      | $8289545.63    | 0.03%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1035520 | PA      | $1028709.73    | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4648043 | PA      | $4213637.66    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1199525 | PA      | $1190119.26    | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SNY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2236243 | PA      | $2279794.60    | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27854224 | PA      | $26115584.10   | 0.09%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3243355 | PA      | $3217923.84    | 0.01%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     670605 | PA      | $683664.84     | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   80151476 | PA      | $72660528.60   | 0.24%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31584868 | PA      | $29613363.54   | 0.10%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10986735 | PA      | $10900588.20   | 0.04%             | 2046-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7324 | PA      | $6867.24       | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86830 | PA      | $86016.33      | 0.00%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1910611 | PA      | $1947820.64    | 0.01%             | 2047-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SW29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     444017 | PA      | $453549.64     | 0.00%             | 2047-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25725316 | PA      | $25484129.10   | 0.09%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SYV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2416528 | PA      | $2463317.69    | 0.01%             | 2047-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1788592 | PA      | $1758345.75    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24226 | PA      | $22750.43      | 0.00%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3400538 | PA      | $3251679.42    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     197762 | PA      | $195250.04     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170654 | PA      | $174387.95     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8437492 | PA      | $8597290.66    | 0.03%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28955052 | PA      | $27191469.54   | 0.09%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31214 | PA      | $30817.31      | 0.00%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9472192 | PA      | $9651587.62    | 0.03%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2206310 | PA      | $2071929.23    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27421821 | PA      | $25751623.35   | 0.09%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67623 | PA      | $64663.25      | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180463 | PA      | $183012.08     | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2210170 | PA      | $2252028.56    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22307378 | PA      | $21330869.33   | 0.07%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     693867 | PA      | $707008.23     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4369497 | PA      | $4103360.98    | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15083725 | PA      | $14423432.96   | 0.05%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216102 | PA      | $195378.34     | 0.00%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24869156 | PA      | $23780505.67   | 0.08%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37694 | PA      | $36043.67      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7979397 | PA      | $7626071.35    | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2562722 | PA      | $2254635.49    | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1347022 | PA      | $1232627.08    | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3313215 | PA      | $3166506.04    | 0.01%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16816 | PA      | $16532.07      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15221901 | PA      | $14547878.63   | 0.05%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2653451 | PA      | $2674232.62    | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UH47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5541 | PA      | $5295.55       | 0.00%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6570358 | PA      | $6012374.68    | 0.02%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1407 | PA      | $1237.78       | 0.00%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2565935 | PA      | $2348024.86    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  137507579 | PA      | $130317035.52  | 0.44%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   76538229 | PA      | $77609248.23   | 0.26%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |   24498000 | PA      | $24902951.94   | 0.08%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |   13180000 | PA      | $13308900.40   | 0.04%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    7310000 | PA      | $6920011.50    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              |  | US        |    1251000 | PA      | $1211205.69    | 0.00%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                                    | GMACM Home Equity Loan Trust 2000-HE2                                           | CUSIP: 361856AN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6665 | PA      | $6016.66       | 0.00%             | 2030-06-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                                    | GMACM Mortgage Loan Trust 2005-AR6                                              | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100583 | PA      | $90005.39      | 0.00%             | 2035-11-19      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                                    | GMACM Mortgage Loan Trust 2006-AR2                                              | CUSIP: 36185MET5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1454196 | PA      | $952752.40     | 0.00%             | 2036-05-19      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202C4Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        248 | PA      | $253.57        | 0.00%             | 2028-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202D5P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        382 | PA      | $382.94        | 0.00%             | 2034-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202DXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        911 | PA      | $913.64        | 0.00%             | 2033-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202DYY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $479.25        | 0.00%             | 2033-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202EQK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        326 | PA      | $332.12        | 0.00%             | 2037-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202EZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        449 | PA      | $457.41        | 0.00%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202F2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5715 | PA      | $5688.19       | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202FAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8359 | PA      | $8521.84       | 0.00%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18823 | PA      | $18733.06      | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20501 | PA      | $20403.06      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DCE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3535 | PA      | $3587.19       | 0.00%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DMR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5417 | PA      | $5435.53       | 0.00%             | 2035-03-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5791 | PA      | $5869.39       | 0.00%             | 2035-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DUX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5924 | PA      | $6012.90       | 0.00%             | 2035-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2007-AR2                                                | CUSIP: 3622N6AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1152988 | PA      | $577545.30     | 0.00%             | 2037-05-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                             | GSAMP Trust 2005-AHL2                                                           | CUSIP: 362341C56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12262852 | PA      | $11883498.30   | 0.04%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2005-AR5                                                | CUSIP: 362341LC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         19 | PA      | $0.00          | 0.00%             | 2035-10-25      | Variable      | 4.63%                 | No            |                  3 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2005-AR5                                                | CUSIP: 362341MC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1662423 | PA      | $815860.34     | 0.00%             | 2035-10-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                  | GSAA Home Equity Trust 2005-11                                                  | CUSIP: 362341NY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16272 | PA      | $18417.62      | 0.00%             | 2035-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2005-AR6                                                | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20481 | PA      | $18679.52      | 0.00%             | 2035-09-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36241L7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7279 | PA      | $7244.49       | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 36241LDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6041092 | PA      | $6022251.88    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2004-9                                                  | CUSIP: 36242DBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        794 | PA      | $764.64        | 0.00%             | 2034-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2004-9                                                  | CUSIP: 36242DBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        131 | PA      | $130.62        | 0.00%             | 2034-08-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                             | GSAMP Trust 2007-HE2                                                            | CUSIP: 362440AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57445158 | PA      | $43316067.94   | 0.15%             | 2047-03-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                            | GSMSC Resecuritization Trust 2015-3R                                            | CUSIP: 36250FAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8818578 | PA      | $8045809.69    | 0.03%             | 2037-01-26      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2018-RPL1                                   | CUSIP: 36256BAC4<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   10303116 | PA      | $10117756.94   | 0.03%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2023-PJ1                                    | CUSIP: 36267TAD0<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   80701075 | PA      | $70241239.23   | 0.24%             | 2053-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                                  | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    5181456 | PA      | $4596832.57    | 0.02%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                     | General Electric Co                                                             | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    1785000 | PA      | $1786088.85    | 0.01%             | 2026-05-05      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GETTY IMAGES INC                                                        | Getty Images Inc                                                                | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |    7475000 | PA      | $6758670.75    | 0.02%             | 2030-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Goal Capital Funding Trust                                              | Goal Capital Funding Trust 2006-1                                               | CUSIP: 38021BAG5<br>LEI: 5493009VZI2B6V83UU74 | Long             | ABS-O            | CORP              | US        |     778475 | PA      | $757919.05     | 0.00%             | 2042-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GOGO Intermediate Holdings LLC                                          | GOGO Intermediate Holdings LLC Term Loan B                                      | CUSIP: 38046JAB0<br>LEI: 2549003PQSV921SNHM89 | Long             | LON              | CORP              | US        |    2692244 | PA      | $2363803.81    | 0.01%             | 2028-04-30      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   10436000 | PA      | $10250761.00   | 0.03%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5605000 | PA      | $5701462.05    | 0.02%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6675000 | PA      | $6614190.75    | 0.02%             | 2029-10-21      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   75070000 | PA      | $74100846.30   | 0.25%             | 2027-09-10      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3530.96       | 0.00%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1337000 | PA      | $1318709.84    | 0.00%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                         | Golub Capital Partners CLO 50B-R Ltd                                            | CUSIP: 38178DAN7<br>LEI: 254900N3E7Y6I5DRGW52 | Long             | ABS-CBDO         | CORP              | JE        |   14850000 | PA      | $14836694.40   | 0.05%             | 2035-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38374CK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1829665 | PA      | $1861128.34    | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38375KPF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4329522 | PA      | $461344.54     | 0.00%             | 2037-06-16      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376FLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5578 | PA      | $176.22        | 0.00%             | 2039-07-16      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376JDD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8890153 | PA      | $878653.33     | 0.00%             | 2037-05-20      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376JFY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3582849 | PA      | $294265.23     | 0.00%             | 2036-03-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376PW71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1585122 | PA      | $167196.20     | 0.00%             | 2039-12-20      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376T2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19812 | PA      | $1891.83       | 0.00%             | 2040-01-16      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376TY63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3602188 | PA      | $299021.73     | 0.00%             | 2040-01-16      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378AMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46866 | PA      | $8304.58       | 0.00%             | 2041-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38379DHE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2805977 | PA      | $2705804.25    | 0.01%             | 2039-12-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RKR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  529325825 | PA      | $27451895.91   | 0.09%             | 2062-09-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   92194270 | PA      | $68551722.73   | 0.23%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  125002626 | PA      | $9699528.77    | 0.03%             | 2061-01-16      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57749646 | PA      | $4364406.40    | 0.01%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64529432 | PA      | $49020473.59   | 0.17%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70152298 | PA      | $51233079.12   | 0.17%             | 2061-01-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  107280181 | PA      | $7365471.03    | 0.02%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380Y2X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     507878 | PA      | $470903.50     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381BZB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4495813 | PA      | $4199562.85    | 0.01%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381DD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30924857 | PA      | $2414170.61    | 0.01%             | 2063-11-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381EWQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  259919931 | PA      | $9120044.56    | 0.03%             | 2062-02-01      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381RME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5236836 | PA      | $4878153.99    | 0.02%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381WC71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7614881 | PA      | $6499123.42    | 0.02%             | 2049-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381WDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     657728 | PA      | $584291.13     | 0.00%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4979670 | PA      | $4495271.72    | 0.02%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381YZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2996261 | PA      | $2674983.88    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Genesys Cloud Services Holdings II LLC                                  | Genesys Cloud Services Holdings II LLC 2025 USD Term Loan B                     | CUSIP: 39479UAY9<br>LEI: 254900CRMBG6WX4HX396 | Long             | LON              | CORP              | US        |    2403056 | PA      | $2303929.91    | 0.01%             | 2032-01-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                       | GreenPoint Mortgage Funding Trust 2005-AR4                                      | CUSIP: 39538WBZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5202899 | PA      | $4835815.92    | 0.02%             | 2045-10-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                       | GreenPoint Mortgage Funding Trust 2006-OH1                                      | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7291053 | PA      | $6828756.90    | 0.02%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                         | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     563000 | PA      | $497950.98     | 0.00%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HDI Aerospace Intermediate Holding III Corporation                      | HDI Aerospace Intermediate Holding III Corporation Term Loan B                  | CUSIP: 40415WAB0<br>LEI: 254900LKRYAGKIYOHW04 | Long             | LON              | CORP              | US        |    3465000 | PA      | $3480176.70    | 0.01%             | 2032-02-11      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       2000 | PA      | $1892.88       | 0.00%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                                          | HPS Loan Management 10-2016 Ltd                                                 | CUSIP: 40436TBN5<br>LEI: 2549009NI8GVCM3ROT27 | Long             | ABS-CBDO         | CORP              | KY        |   13500000 | PA      | $13498812.00   | 0.05%             | 2034-04-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                                          | HPS Loan Management 2021-16 Ltd                                                 | CUSIP: 40440XAQ4<br>LEI: 529900WV2JMUABMCHN18 | Long             | ABS-CBDO         | CORP              | KY        |   17750000 | PA      | $17758875.00   | 0.06%             | 2035-01-23      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-5                                           | CUSIP: 41161MAA8<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   32766217 | PA      | $9999469.50    | 0.03%             | 2047-07-19      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-1                                           | CUSIP: 41161PA86<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    8132342 | PA      | $7661729.97    | 0.03%             | 2036-03-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2004-1                                           | CUSIP: 41161PCY7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |       2128 | PA      | $2114.58       | 0.00%             | 2034-04-19      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2004-3                                           | CUSIP: 41161PEC3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      20382 | PA      | $19424.78      | 0.00%             | 2034-05-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2004-11                                          | CUSIP: 41161PKF9<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     126863 | PA      | $122492.80     | 0.00%             | 2035-01-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-4                                           | CUSIP: 41161PL27<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   28018362 | PA      | $13950681.71   | 0.05%             | 2046-05-19      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2005-3                                           | CUSIP: 41161PMG5<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      74455 | PA      | $73764.85      | 0.00%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-7                                           | CUSIP: 41161VAA8<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   43894393 | PA      | $39469263.03   | 0.13%             | 2046-09-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-10                                          | CUSIP: 41162CAA9<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   42634022 | PA      | $34572674.71   | 0.12%             | 2036-11-19      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2007-7                                           | CUSIP: 411640AA3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   12948595 | PA      | $10641756.44   | 0.04%             | 2037-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2007-7                                           | CUSIP: 411640AB1<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    9232206 | PA      | $8772371.66    | 0.03%             | 2037-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |   25359000 | PA      | $24851312.82   | 0.08%             | 2028-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |       2000 | PA      | $1827.36       | 0.00%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Heartland Dental LLC                                                    | Heartland Dental LLC 2025 Term Loan                                             | CUSIP: 42236WAX5<br>LEI: 5493008FRC0GRKBN1075 | Long             | LON              | CORP              | US        |    5649944 | PA      | $5645762.99    | 0.02%             | 2032-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                               | Healthpeak Properties Inc Term Loan A1                                          | CUSIP: 42250UAD4<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              |  | US        |   13772696 | PA      | $13634969.45   | 0.05%             | 2027-08-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                               | Healthpeak Properties Inc Term Loan A2                                          | CUSIP: 42250UAE2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              |  | US        |   13772696 | PA      | $13634969.45   | 0.05%             | 2027-02-22      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                               | Healthpeak Properties Inc 2024 Term Loan A3                                     | CUSIP: 42250UAF9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              |  | US        |   27796272 | PA      | $27379327.98   | 0.09%             | 2029-03-01      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Company Inc                                   | Hilton Domestic Operating Company Inc 2023 Term Loan B4                         | CUSIP: 43289DAK9<br>LEI: 5493003EG7H0N1E4XV50 | Long             | LON              | CORP              | US        |   16429504 | PA      | $16480024.26   | 0.06%             | 2030-11-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust                              | HSI Asset Securitization Corp Trust 2006-HE1                                    | CUSIP: 44328AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   47960670 | PA      | $12675861.23   | 0.04%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |   12220000 | PA      | $11579061.00   | 0.04%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    6274000 | PA      | $5095366.36    | 0.02%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    3725000 | PA      | $3538377.50    | 0.01%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-30HY Mortgage Trust                                           | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   84915000 | PA      | $80769177.97   | 0.27%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-55HY Mortgage Trust                                           | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81025000 | PA      | $75844885.39   | 0.26%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                              | Humana Inc                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   49285000 | PA      | $48786728.65   | 0.16%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                                                 | Hungary Government International Bond                                           | CUSIP: 445545AM8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    7284000 | PA      | $6178434.48    | 0.02%             | 2031-09-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| IQVIA Inc                                                               | IQVIA Inc 2025 Incremental Term Loan B5                                         | CUSIP: 44969CBP4<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |    6188256 | PA      | $6213782.96    | 0.02%             | 2031-01-02      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |   11566000 | PA      | $11391584.72   | 0.04%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |   16598000 | PA      | $15602285.98   | 0.05%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |     437000 | PA      | $430418.78     | 0.00%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                            | Illumina Inc                                                                    | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     200000 | PA      | $179324.00     | 0.00%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                              | Impac Secured Assets Trust 2006-3                                               | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2895834 | PA      | $2688024.74    | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                              | Impac Secured Assets Trust 2007-2                                               | CUSIP: 452570AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23185865 | PA      | $19915584.22   | 0.07%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                              | Impac Secured Assets Trust 2006-5                                               | CUSIP: 45257EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5084535 | PA      | $4643557.41    | 0.02%             | 2037-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    4997000 | PA      | $4984707.38    | 0.02%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    3310000 | PA      | $3312979.00    | 0.01%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MH Sub I LLC                                                            | MH Sub I LLC 2023 Term Loan                                                     | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    2909458 | PA      | $2509407.68    | 0.01%             | 2028-05-03      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| MH Sub I LLC                                                            | MH Sub I LLC 2024 Term Loan B4                                                  | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    6599672 | PA      | $4430029.51    | 0.01%             | 2031-12-31      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR19                                      | CUSIP: 45660GAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9361299 | PA      | $5825579.46    | 0.02%             | 2036-08-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96486 | PA      | $96313.85      | 0.00%             | 2034-12-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8952 | PA      | $8252.06       | 0.00%             | 2034-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169218 | PA      | $166965.52     | 0.00%             | 2034-12-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2005-AR6                                       | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300636 | PA      | $249145.23     | 0.00%             | 2035-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2005-AR19                                      | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14517225 | PA      | $11602395.54   | 0.04%             | 2035-10-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2004-AR4                                       | CUSIP: 45660NQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405628 | PA      | $387285.97     | 0.00%             | 2034-08-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2004-AR7                                       | CUSIP: 45660NT96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28506 | PA      | $25009.49      | 0.00%             | 2034-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR7                                       | CUSIP: 45661ECW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1493536 | PA      | $1226346.49    | 0.00%             | 2036-05-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR7                                       | CUSIP: 45661ECY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15988814 | PA      | $10564527.32   | 0.04%             | 2036-05-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR27                                      | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9033137 | PA      | $8289435.02    | 0.03%             | 2036-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR35                                      | CUSIP: 45667SAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20906276 | PA      | $19180187.04   | 0.06%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                        | IndyMac INDA Mortgage Loan Trust 2007-AR1                                       | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266960 | PA      | $195344.34     | 0.00%             | 2037-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2007-AR11                                      | CUSIP: 45669FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885369 | PA      | $1713126.16    | 0.01%             | 2037-06-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                        | IndyMac INDA Mortgage Loan Trust 2007-AR7                                       | CUSIP: 45670NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1069694 | PA      | $881184.68     | 0.00%             | 2037-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   31142000 | PA      | $19649356.32   | 0.07%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    4218000 | PA      | $3654854.82    | 0.01%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    1615000 | PA      | $1549657.10    | 0.01%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   48565000 | PA      | $43244218.60   | 0.15%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   10351000 | PA      | $7753623.57    | 0.03%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-2, Ltd.                                                | Invesco CLO 2022-2 Ltd                                                          | CUSIP: 46145XAL0<br>LEI: 54930008L2A8UYGN7A86 | Long             | ABS-CBDO         | CORP              | JE        |   23000000 | PA      | $22997838.00   | 0.08%             | 2035-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP                               | Invitation Homes Operating Partnership LP 2024 Term Loan                        | CUSIP: 46187CAJ0<br>LEI: 549300147YMUQB3GW319 | Long             | LON              |  | US        |   36581794 | PA      | $36307430.61   | 0.12%             | 2028-09-09      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                         | Israel Government International Bond                                            | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   15340000 | PA      | $15579150.60   | 0.05%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                                                | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 46590XAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   20036000 | PA      | $15236376.20   | 0.05%             | 2052-02-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                           | JGWPT XXX LLC                                                                   | CUSIP: 46617LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     384896 | PA      | $367636.72     | 0.00%             | 2073-01-17      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                           | JGWPT XXXII LLC                                                                 | CUSIP: 46618AAA2<br>LEI: 549300LO0ZO1XMWP1R84 | Long             | ABS-O            | CORP              | US        |   24594530 | PA      | $22394458.70   | 0.08%             | 2073-01-17      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2003-A2                                                | CUSIP: 466247AW3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      18859 | PA      | $17895.05      | 0.00%             | 2033-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2004-A4                                                | CUSIP: 466247EF6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       9987 | PA      | $9832.13       | 0.00%             | 2034-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K93<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |        626 | PA      | $626.20        | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2005-A5                                                | CUSIP: 466247SQ7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      21281 | PA      | $20486.36      | 0.00%             | 2035-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2005-S2                                                | CUSIP: 466247VQ3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    1497157 | PA      | $775645.30     | 0.00%             | 2049-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                                      | JP Morgan Alternative Loan Trust                                                | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3377970 | PA      | $1765842.86    | 0.01%             | 2036-05-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A3                                                | CUSIP: 46628KAC4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     372179 | PA      | $313720.66     | 0.00%             | 2036-05-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A3                                                | CUSIP: 46628KAJ9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     240412 | PA      | $196900.87     | 0.00%             | 2036-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A4                                                | CUSIP: 46628LAA6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     200032 | PA      | $133015.90     | 0.00%             | 2036-06-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A4                                                | CUSIP: 46628LAD0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     644838 | PA      | $428799.85     | 0.00%             | 2036-06-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2006-WF1                                   | CUSIP: 46628SAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26031930 | PA      | $6572518.37    | 0.02%             | 2036-07-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2006-WF1                                   | CUSIP: 46628SAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | ABS-MBS          | CORP              | US        |    3630090 | PA      | $916005.98     | 0.00%             | 2036-07-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A5                                                | CUSIP: 46629CAE7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     171382 | PA      | $134486.06     | 0.00%             | 2036-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A1                                                | CUSIP: 46630GAS4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     283803 | PA      | $283778.95     | 0.00%             | 2035-07-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      87531 | PA      | $59277.57      | 0.00%             | 2047-03-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5726073 | PA      | $3716759.67    | 0.01%             | 2047-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4819189 | PA      | $3127556.46    | 0.01%             | 2035-05-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2190541 | PA      | $1421074.43    | 0.00%             | 2047-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     211569 | PA      | $202439.78     | 0.00%             | 2047-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A3                                                | CUSIP: 46630UAE4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     875423 | PA      | $732348.60     | 0.00%             | 2037-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A3                                                | CUSIP: 46630UAM6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     152505 | PA      | $132069.64     | 0.00%             | 2037-05-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A4                                                | CUSIP: 46631JAE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     185436 | PA      | $144513.29     | 0.00%             | 2037-06-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2671000 | PA      | $2648937.54    | 0.01%             | 2029-04-23      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8325000 | PA      | $8335989.00    | 0.03%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2876000 | PA      | $2806141.96    | 0.01%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2490000 | PA      | $2427227.10    | 0.01%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9805000 | PA      | $8644480.20    | 0.03%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   19179000 | PA      | $19147930.02   | 0.06%             | 2027-04-22      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   19039000 | PA      | $17228581.49   | 0.06%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3013000 | PA      | $2866929.76    | 0.01%             | 2029-06-01      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   14377000 | PA      | $14180466.41   | 0.05%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   20371000 | PA      | $18140375.50   | 0.06%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7747000 | PA      | $7027923.46    | 0.02%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   23236000 | PA      | $22941599.88   | 0.08%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   10505000 | PA      | $10654486.15   | 0.04%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2715000 | PA      | $2782060.50    | 0.01%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                   | Jane Street Group LLC 2024 Term Loan B1                                         | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    5150808 | PA      | $5063012.49    | 0.02%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556CP8<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    1404000 | PA      | $1504905.48    | 0.01%             | 2036-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     820000 | PA      | $737294.80     | 0.00%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Jersey City Municipal Utilities Authority                               | JERSEY CITY NJ MUNI UTILITIES AUTH                                              | CUSIP: 476624BH3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     125000 | PA      | $126257.00     | 0.00%             | 2027-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                 | JetBlue Airways Corp / JetBlue Loyalty LP                                       | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1832000 | PA      | $1733200.24    | 0.01%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                    | JetBlue 2020-1 Class A Pass Through Trust                                       | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7165481 | PA      | $6763210.80    | 0.02%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    1443000 | PA      | $1290431.61    | 0.00%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KELSO INDUSTRIES LLC                                                    | Kelso Industries LLC Term Loan                                                  | CUSIP: 48825CAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6230046 | PA      | $6214471.13    | 0.02%             | 2029-12-30      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| KEDRION SPA                                                             | Kedrion SpA                                                                     | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |     867000 | PA      | $836733.03     | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KUEHG Corp                                                              | KUEHG Corp 2025 Term Loan                                                       | CUSIP: 50118YAH2<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |    1766413 | PA      | $1589771.80    | 0.01%             | 2030-06-12      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                                        | Kuwait International Government Bond                                            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |   55958000 | PA      | $53669317.80   | 0.18%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund Ltd                                                | LCM Loan Income Fund I Ltd                                                      | CUSIP: 50189XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7042298 | PA      | $7045988.46    | 0.02%             | 2031-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                     | LCM 41 Ltd                                                                      | CUSIP: 501971AN5<br>LEI: 549300NXCNS8YRPWOQ95 | Long             | ABS-CBDO         | CORP              | JE        |   15000000 | PA      | $14985270.00   | 0.05%             | 2036-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LSF12 Crown US Commercial Bidco LLC                                     | LSF12 Crown US Commercial Bidco LLC 2026 Term Loan B                            | CUSIP: 50221UAE1<br>LEI: 254900FI2OCFTJ9PAJ18 | Long             | LON              | CORP              | US        |    1962001 | PA      | $1966415.44    | 0.01%             | 2031-12-02      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                                        | Lseg US Fin Corp                                                                | CUSIP: 50222CAF7<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |   11895000 | PA      | $11785922.85   | 0.04%             | 2036-03-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   29515000 | PA      | $29920831.25   | 0.10%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1164272.90    | 0.00%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAVENDER DUTCH BORROWERCO BV                                            | Lavender Dutch BorrowerCo BV USD Term Loan                                      | CUSIP: 51944RAB8<br>LEI: 254900WC9QQXLKNE2931 | Long             | LON              | CORP              | US        |    3971177 | PA      | $3921536.90    | 0.01%             | 2032-12-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                                          | Lehman ABS Mortgage Loan Trust 2007-1                                           | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     152290 | PA      | $101089.22     | 0.00%             | 2037-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2005-7N                                                  | CUSIP: 525221EM5<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |     186429 | PA      | $178975.40     | 0.00%             | 2035-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust 2006-5                                                          | CUSIP: 525221JT5<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |   15538462 | PA      | $13944576.13   | 0.05%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2006-12N                                                 | CUSIP: 525226AG1<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |    4970721 | PA      | $5383063.69    | 0.02%             | 2046-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2006-14N                                                 | CUSIP: 52522CAG8<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |      13858 | PA      | $16596.37      | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust 2006-8                                                          | CUSIP: 52522HAA0<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |   20158843 | PA      | $17970979.77   | 0.06%             | 2036-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust 2006-13                                                         | CUSIP: 52523LAB8<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |      30517 | PA      | $0.00          | 0.00%             | 2036-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2007-4N                                                  | CUSIP: 52524HAD2<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |   10431182 | PA      | $9302481.10    | 0.03%             | 2047-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Darktrace PLC                                                           | Darktrace PLC 1st Lien Term Loan                                                | CUSIP: 52526CAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   10022420 | PA      | $9622826.10    | 0.03%             | 2031-10-09      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                    | LXP Industrial Trust                                                            | CUSIP: 529043AF8<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |     992000 | PA      | $1040994.88    | 0.00%             | 2028-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                          | Long Beach Mortgage Loan Trust 2004-4                                           | CUSIP: 542514HT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37018 | PA      | $36195.98      | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                                 | Luminent Mortgage Trust 2006-5                                                  | CUSIP: 55027XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23319217 | PA      | $13991308.55   | 0.05%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                                 | Luminent Mortgage Trust 2006-6                                                  | CUSIP: 55027YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6816126 | PA      | $6340012.24    | 0.02%             | 2046-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                                     | MASTR Seasoned Securitization Trust 2004-1                                      | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5359 | PA      | $5294.37       | 0.00%             | 2032-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                             | MF1 2022-FL8 Ltd                                                                | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9372366 | PA      | $9373965.51    | 0.03%             | 2037-02-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                                            | MKT 2020-525M Mortgage Trust                                                    | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8500000 | PA      | $7685445.00    | 0.03%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXXVI Ltd                                                  | CUSIP: 55819PBG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13350000 | PA      | $13285612.95   | 0.04%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XLIX Ltd                                                   | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   40000000 | PA      | $39986680.00   | 0.13%             | 2034-10-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXVII Ltd                                                  | CUSIP: 55820YAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32300000 | PA      | $32202841.60   | 0.11%             | 2038-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XLVI Ltd                                                   | CUSIP: 55822AAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   33270000 | PA      | $33143407.65   | 0.11%             | 2034-10-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DISCOVERY HOLDINGS INC                                                  | Discovery Global Holdings Inc                                                   | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    8440000 | PA      | $5124768.00    | 0.02%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                       | Magnetite XXIII Ltd                                                             | CUSIP: 55954NAS8<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $24955150.00   | 0.08%             | 2035-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Magnite Inc                                                             | Magnite Inc 2025 Repriced Term Loan B                                           | CUSIP: 55955NAG3<br>LEI: 54930018FR2YX1HHSB02 | Long             | LON              | CORP              | US        |    5000892 | PA      | $4963385.31    | 0.02%             | 2031-02-06      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748CF7<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    4715000 | PA      | $4671810.60    | 0.02%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2007-1                                    | CUSIP: 576431AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75773182 | PA      | $29187701.04   | 0.10%             | 2047-01-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2003-6                                    | CUSIP: 576433GH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8974 | PA      | $8811.84       | 0.00%             | 2034-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2003-7                                    | CUSIP: 576433HK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181011 | PA      | $181149.63     | 0.00%             | 2033-11-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2004-8                                    | CUSIP: 576433QR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     889828 | PA      | $858713.85     | 0.00%             | 2034-09-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2004-13                                   | CUSIP: 576433UF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     974579 | PA      | $972150.67     | 0.00%             | 2034-11-21      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2006-2                                    | CUSIP: 576438AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4287258 | PA      | $1289074.69    | 0.00%             | 2036-05-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                     | Mastr Asset Backed Securities Trust 2006-HE4                                    | CUSIP: 576449AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11382589 | PA      | $3237459.91    | 0.01%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                     | Mastr Asset Backed Securities Trust 2006-HE4                                    | CUSIP: 576449AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3161830 | PA      | $898391.72     | 0.00%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                     | Mastr Asset Backed Securities Trust 2007-HE1                                    | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7155767 | PA      | $6997787.67    | 0.02%             | 2037-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| McAfee, LLC                                                             | McAfee LLC 2024 USD 1st Lien Term Loan B                                        | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |    3066567 | PA      | $2748411.09    | 0.01%             | 2029-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series 2003-A6                           | CUSIP: 5899294H8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     101873 | PA      | $100846.30     | 0.00%             | 2033-10-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 5901886X1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $50158000.00   | 0.17%             | 2026-12-01      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series 2006-WMC2                         | CUSIP: 59020U6K6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |   25796462 | PA      | $4798892.55    | 0.02%             | 2037-03-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series 2006-WMC2                         | CUSIP: 59020U6M2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |   20190003 | PA      | $3751102.67    | 0.01%             | 2037-03-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                      | CUSIP: 59020ULQ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     356436 | PA      | $341023.32     | 0.00%             | 2034-08-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10                     | CUSIP: 59020UZ65<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       2385 | PA      | $2364.96       | 0.00%             | 2036-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                  | CUSIP: 59023LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  112298664 | PA      | $47807046.22   | 0.16%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                  | CUSIP: 59023LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23171208 | PA      | $8441263.97    | 0.03%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                  | CUSIP: 59023LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48540016 | PA      | $17771820.27   | 0.06%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                  | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13050546 | PA      | $9578902.11    | 0.03%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                  | CUSIP: 59024QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6444926 | PA      | $4758127.78    | 0.02%             | 2037-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3465585 | PA      | $3477778.63    | 0.01%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5164920 | PA      | $5198773.03    | 0.02%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4                  | CUSIP: 59025CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8328363 | PA      | $8412355.76    | 0.03%             | 2037-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4                  | CUSIP: 59025CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6104897 | PA      | $6192998.90    | 0.02%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust                          | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                    | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1161393 | PA      | $1001324.21    | 0.00%             | 2036-08-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                                | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 591894CC2<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   13381000 | PA      | $13298305.42   | 0.04%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                    | Michaels Cos Inc/The                                                            | CUSIP: 59408QAA4<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    1845000 | PA      | $1723894.20    | 0.01%             | 2034-03-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                    | Michaels Cos Inc/The                                                            | CUSIP: 59408QAB2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    7622000 | PA      | $7431983.54    | 0.03%             | 2033-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Michaels Companies, Inc. (The)                                          | MICHAELS COMPANIES INC THE 2026 TERM LOAN B                                     | CUSIP: 59408UAE7<br>LEI: 549300H9LWMBP7HYLR98 | Long             | LON              | CORP              | US        |   10922369 | PA      | $10622659.33   | 0.04%             | 2033-03-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                         | Mid-State Capital Corp 2005-1 Trust                                             | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     766931 | PA      | $766572.77     | 0.00%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                         | Mid-State Capital Corp 2006-1 Trust                                             | CUSIP: 59548PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3160946 | PA      | $3178076.28    | 0.01%             | 2040-10-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                         | Mid-State Trust XI                                                              | CUSIP: 59549WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20605 | PA      | $20616.16      | 0.00%             | 2038-07-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| CONTRA GCB144A MODIVCA                                                  | CONTRA GCB144A MODIVCA                                                          | CUSIP: 607PMTAB0<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |   44324700 | PA      | $664870.50     | 0.00%             | 2029-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                   | Molina Healthcare Inc                                                           | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    4686000 | PA      | $4546591.50    | 0.02%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                   | Molina Healthcare Inc                                                           | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    3793000 | PA      | $3742477.24    | 0.01%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                  | Morgan Stanley Bank NA                                                          | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   17635000 | PA      | $17830043.10   | 0.06%             | 2029-01-12      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4798000 | PA      | $4161449.34    | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2890000 | PA      | $2505283.20    | 0.01%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2005-2AR                                     | CUSIP: 61745M4E0<br>LEI: 549300M91PFQR7JLJ570 | Long             | ABS-MBS          | CORP              | US        |     412430 | PA      | $412155.89     | 0.00%             | 2035-04-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $990860.00     | 0.00%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28402000 | PA      | $24877311.80   | 0.08%             | 2032-07-21      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     455000 | PA      | $402119.90     | 0.00%             | 2032-10-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2483000 | PA      | $2232937.07    | 0.01%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     235000 | PA      | $244016.95     | 0.00%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2325000 | PA      | $2330928.75    | 0.01%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2004-7AR                                     | CUSIP: 61748HCH2<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |     150337 | PA      | $147873.38     | 0.00%             | 2034-09-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2004-11AR                                    | CUSIP: 61748HGR6<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |      35625 | PA      | $34154.46      | 0.00%             | 2035-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2006-7                                       | CUSIP: 61749JAS5<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |     607415 | PA      | $159186.32     | 0.00%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    3277000 | PA      | $3268741.96    | 0.01%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4983700.00    | 0.02%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   32433000 | PA      | $31958180.88   | 0.11%             | 2031-11-19      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                        | MortgageIT Trust 2005-1                                                         | CUSIP: 61913PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     753294 | PA      | $751573.64     | 0.00%             | 2035-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                        | MortgageIT Trust 2005-4                                                         | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     759144 | PA      | $763006.28     | 0.00%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                        | MortgageIT Trust 2005-5                                                         | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     204662 | PA      | $204952.73     | 0.00%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                     | Medline Borrower LP                                                             | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   74040000 | PA      | $71690710.80   | 0.24%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                                              | NLT 2021-INV3 Trust                                                             | CUSIP: 62916BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  128501469 | PA      | $119726129.75  | 0.40%             | 2056-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Naked Juice LLC                                                         | Naked Juice LLC 2025 FLFO Term Loan                                             | CUSIP: 62984CAK9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |   23489795 | PA      | $23425785.26   | 0.08%             | 2029-01-24      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| Naked Juice LLC                                                         | Naked Juice LLC 2025 FLSO Term Loan                                             | CUSIP: 62984CAM5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    6904736 | PA      | $3705530.16    | 0.01%             | 2029-01-24      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Naked Juice LLC                                                         | Naked Juice LLC 2025 FLTO Term Loan                                             | CUSIP: 62984CAN3<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    2056714 | PA      | $454770.26     | 0.00%             | 2030-01-24      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                                       | Nationstar Home Equity Loan Trust 2007-C                                        | CUSIP: 63860KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2747983 | PA      | $2698422.16    | 0.01%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 43 Ltd                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |   35000000 | PA      | $34998075.00   | 0.12%             | 2036-07-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 50 Ltd                                       | CUSIP: 64134VAY2<br>LEI: 549300UMYON6L2REF246 | Long             | ABS-CBDO         | CORP              | JE        |   20000000 | PA      | $19962940.00   | 0.07%             | 2036-07-23      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 50 Ltd                                       | CUSIP: 64134VBA3<br>LEI: 549300UMYON6L2REF246 | Long             | ABS-CBDO         | CORP              | JE        |    2500000 | PA      | $2477055.00    | 0.01%             | 2036-07-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 51 Ltd                                       | CUSIP: 64135BAW9<br>LEI: 549300E2R8NH2QE50368 | Long             | ABS-CBDO         | CORP              | JE        |   10050000 | PA      | $10052160.75   | 0.03%             | 2036-10-23      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                     | NEW YORK NY                                                                     | CUSIP: 64966HTX8<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    1828787 | PA      | $1888767.97    | 0.01%             | 2036-12-01      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971X6S2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     405000 | PA      | $411433.43     | 0.00%             | 2036-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Empire State Development Corp                                           | NEW YORK ST URBAN DEV CORP REVENUE                                              | CUSIP: 650035TD0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     100000 | PA      | $102512.80     | 0.00%             | 2039-03-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                       | Newell Brands Inc                                                               | CUSIP: 651229AX4<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    5335000 | PA      | $4929540.00    | 0.02%             | 2036-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                                    | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAH9<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    4375000 | PA      | $4071900.00    | 0.01%             | 2034-10-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                                    | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAP1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    3543000 | PA      | $2217705.42    | 0.01%             | 2050-06-27      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                            | NiSource Inc                                                                    | CUSIP: 65473PAY1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   45690000 | PA      | $45025210.50   | 0.15%             | 2056-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                   | Novartis Capital Corp                                                           | CUSIP: 66989HBJ6<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2973742.00    | 0.01%             | 2036-03-18      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                         | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20571005 | PA      | $2125075.30    | 0.01%             | 2029-09-15      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    3942249 | PA      | $3406924.71    | 0.01%             | 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        |    1110370 | PA      | $1104818.14    | 0.00%             | 2033-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 49, Ltd.                                    | Octagon Investment Partners 49 Ltd                                              | CUSIP: 67578FBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13150000 | PA      | $13037199.30   | 0.04%             | 2037-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Octagon 64 Ltd                                                          | Octagon 64 Ltd                                                                  | CUSIP: 67579ABA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18250000 | PA      | $18234268.50   | 0.06%             | 2037-07-21      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 41, LTD.                                    | Octagon Investment Partners 41 Ltd                                              | CUSIP: 67592FBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30000000 | PA      | $29959350.00   | 0.10%             | 2033-10-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd                                      | Octagon Investment Partners 51 Ltd                                              | CUSIP: 675943AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30700000 | PA      | $30633074.00   | 0.10%             | 2034-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                                                  | Oman Government International Bond                                              | CUSIP: 68205LAS2<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |   15090000 | PA      | $15762863.10   | 0.05%             | 2031-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                   | One Bryant Park Trust 2019-OBP                                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  128310000 | PA      | $118654377.39  | 0.40%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                          | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   12142000 | PA      | $12378161.90   | 0.04%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ONT GAMING GTA/OTG CO-IS                                                | Ontario Gaming GTA LP/OTG Co-Issuer Inc                                         | CUSIP: 68306MAA7<br>LEI: 894500EC9KLZLOC3V025 | Long             | DBT              | CORP              | CA        |    2115000 | PA      | $2029638.60    | 0.01%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                          | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    3061000 | PA      | $3146524.34    | 0.01%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6250000 | PA      | $4216125.00    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5750000 | PA      | $3799025.00    | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24754000 | PA      | $15697996.64   | 0.05%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6515000 | PA      | $5791900.15    | 0.02%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5570000 | PA      | $5573063.50    | 0.02%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   37312000 | PA      | $32233836.80   | 0.11%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9350000 | PA      | $8734770.00    | 0.03%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13685000 | PA      | $12685037.05   | 0.04%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                                      | Oregon Tool Lux LP                                                              | CUSIP: 68610BAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   12270896 | PA      | $2156487.26    | 0.01%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates                           | Ownit Mortgage Loan Trust Series 2006-4                                         | CUSIP: 69121QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     520895 | PA      | $519670.03     | 0.00%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates                           | Ownit Mortgage Loan Trust Series 2006-4                                         | CUSIP: 69121QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13509305 | PA      | $11429198.56   | 0.04%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |       3000 | PA      | $3006.27       | 0.00%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    1465000 | PA      | $1508510.50    | 0.01%             | 2035-01-22      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     300000 | PA      | $306687.00     | 0.00%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                          | Palmer Square Loan Funding 2024-3 Ltd                                           | CUSIP: 69690EAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6995569.00    | 0.02%             | 2032-08-08      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                   | Palmer Square CLO 2018-1 Ltd                                                    | CUSIP: 69703PAL3<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |   22000000 | PA      | $22001430.00   | 0.07%             | 2037-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA                                                | Papa John's International Inc                                                   | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |    9150000 | PA      | $8736145.50    | 0.03%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                             | Paychex Inc                                                                     | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |   14140000 | PA      | $14219184.00   | 0.05%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Pelican Products Inc                                                    | Pelican Products Inc 2021 Term Loan                                             | CUSIP: 70468BAC7<br>LEI: 5493008CRWH2WFODTF44 | Long             | LON              | CORP              | US        |    9489962 | PA      | $8469886.02    | 0.03%             | 2028-12-29      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Pediatric Associates Holding Company LLC                                | Pediatric Associates Holding Company LLC 2021 Term Loan B                       | CUSIP: 70533DAF7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4558770 | PA      | $4373889.37    | 0.01%             | 2028-12-29      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                                | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     125000 | PA      | $122252.50     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Peraton Corp                                                            | Peraton Corp Term Loan B                                                        | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    4617598 | PA      | $3951901.81    | 0.01%             | 2028-02-01      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                     | Petroleos Mexicanos                                                             | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4181000 | PA      | $3332758.72    | 0.01%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                 | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    7272000 | PA      | $6569379.36    | 0.02%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                 | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AQ8<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    3070000 | PA      | $3153657.50    | 0.01%             | 2033-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                    | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   56833000 | PA      | $51630507.18   | 0.17%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                    | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAL2<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4865535.00    | 0.02%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KFC Holding Co                                                          | KFC Holding Co 2021 Term Loan B                                                 | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |    8429925 | PA      | $8472075.11    | 0.03%             | 2028-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Plano HoldCo Inc                                                        | Plano HoldCo Inc Term Loan B                                                    | CUSIP: 72712EAB3<br>LEI: 254900C53JLEP3CCOQ10 | Long             | LON              | CORP              | US        |     990000 | PA      | $801900.00     | 0.00%             | 2031-10-02      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Planview Parent Inc                                                     | Planview Parent Inc 2024 1st Lien Term Loan                                     | CUSIP: 72751PAJ3<br>LEI: 549300SEALM1D9FKMA32 | Long             | LON              | CORP              | US        |   11676980 | PA      | $8794284.05    | 0.03%             | 2027-12-17      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                 | Popular ABS Mortgage Pass-Through Trust 2007-A                                  | CUSIP: 73316NAC9<br>LEI: 5493000XG3O6HY7E1142 | Long             | ABS-O            | CORP              | US        |   14876222 | PA      | $14043019.88   | 0.05%             | 2047-06-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                 | Popular ABS Mortgage Pass-Through Trust                                         | CUSIP: 73316PJF8<br>LEI: 5493000XG3O6HY7E1142 | Long             | ABS-O            | CORP              | US        |   14224803 | PA      | $13786364.78   | 0.05%             | 2036-01-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| POTOMAC ENERGY CENTER LLC                                               | Potomac Energy Center LLC 2026 Term Loan B                                      | CUSIP: 73767TAE6<br>LEI: 549300BHYFK6M9HVNA29 | Long             | LON              | CORP              | US        |    2044478 | PA      | $2049588.74    | 0.01%             | 2032-08-05      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| PREMIER HEALTH PARTNERS                                                 | Premier Health Partners                                                         | CUSIP: 74052BAA5<br>LEI: 549300KETC002I82TF46 | Long             | DBT              | CORP              | US        |    2229000 | PA      | $2199800.10    | 0.01%             | 2026-11-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Priority Holdings LLC                                                   | Priority Holdings LLC 2025 Term Loan B                                          | CUSIP: 74275TAH2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5046086 | PA      | $4934138.92    | 0.02%             | 2032-08-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential Trust                                                      | CUSIP: 74333HAL9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    3973000 | PA      | $3942048.74    | 0.01%             | 2038-07-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential Trust                                                      | CUSIP: 74333HAN5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   10437000 | PA      | $10371520.35   | 0.03%             | 2038-07-17      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential Trust                                                      | CUSIP: 74333HAQ8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    8896000 | PA      | $8840360.86    | 0.03%             | 2038-07-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR7 Trust                                            | CUSIP: 74333PAN7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   23777000 | PA      | $22486006.39   | 0.08%             | 2040-08-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAJ8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   17400000 | PA      | $17151284.40   | 0.06%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAL3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   13425000 | PA      | $13236142.47   | 0.04%             | 2038-10-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAN9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   61665000 | PA      | $60873036.41   | 0.20%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAQ2<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   19482000 | PA      | $19247941.30   | 0.06%             | 2038-10-17      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR3                                                  | CUSIP: 74333VAJ3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    3055000 | PA      | $3042882.34    | 0.01%             | 2026-05-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR3                                                  | CUSIP: 74333VAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3190000 | PA      | $3177874.17    | 0.01%             | 2026-05-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Project Alpha Intermediate Holding, Inc.                                | Project Alpha Intermediate Holding Inc 2024 1st Lien Term Loan B                | CUSIP: 74339DAN8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   10317853 | PA      | $7865041.56    | 0.03%             | 2030-10-26      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Cloudera Inc                                                            | Cloudera Inc 2021 Term Loan                                                     | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |    5193653 | PA      | $4651565.05    | 0.02%             | 2028-10-08      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                 | Public Service Co of Oklahoma                                                   | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   12140000 | PA      | $12239062.40   | 0.04%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PUG LLC                                                                 | PUG LLC 2024 Extended Term Loan B                                               | CUSIP: 74530DAH8<br>LEI: 549300NL9JUFIOARLW93 | Long             | LON              | CORP              | US        |    2004962 | PA      | $1979278.44    | 0.01%             | 2030-03-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                                          | Qatar Government International Bond                                             | CUSIP: 74727PAY7<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    7207000 | PA      | $6636782.16    | 0.02%             | 2048-04-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                                          | Qatar Government International Bond                                             | CUSIP: 74727PBB6<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   13524500 | PA      | $11927662.29   | 0.04%             | 2049-03-14      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                                          | Qatar Government International Bond                                             | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    7718000 | PA      | $6379621.62    | 0.02%             | 2050-04-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Quartz Acquireco LLC                                                    | Quartz Acquireco LLC 2025 Term Loan B                                           | CUSIP: 74773KAE5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5039902 | PA      | $4220918.01    | 0.01%             | 2030-06-28      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORP                                                        | QuidelOrtho Corp Term Loan A                                                    | CUSIP: 74840YAF1<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |    4322170 | PA      | $4154686.19    | 0.01%             | 2030-08-14      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORP                                                        | QuidelOrtho Corp Delayed Draw Term Loan A                                       | CUSIP: 74840YAG9<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |     120000 | PA      | $115350.00     | 0.00%             | 2030-08-21      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| QuidelOrtho Corp                                                        | QuidelOrtho Corp Term Loan                                                      | CUSIP: 74840YAH7<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |    5970000 | PA      | $5970000.00    | 0.02%             | 2032-08-20      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS7 Trust                                                      | CUSIP: 748940AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15369044 | PA      | $404634.65     | 0.00%             | 2036-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS1 Trust                                                      | CUSIP: 74922KAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7711923 | PA      | $5305052.61    | 0.02%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS8 Trust                                                      | CUSIP: 74922UAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41050772 | PA      | $709866.36     | 0.00%             | 2037-06-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS4 Trust                                                      | CUSIP: 74923HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17480096 | PA      | $320883.87     | 0.00%             | 2037-03-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS5 Trust                                                      | CUSIP: 74923JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20948926 | PA      | $237912.77     | 0.00%             | 2037-03-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS7 Trust                                                      | CUSIP: 74923WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18061901 | PA      | $194416.50     | 0.00%             | 2037-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS10 Trust                                                     | CUSIP: 74924DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30432993 | PA      | $591851.71     | 0.00%             | 2037-09-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2006-SA3 Trust                                                     | CUSIP: 749575AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31063 | PA      | $27491.44      | 0.00%             | 2036-09-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2006-SA4 Trust                                                     | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23648 | PA      | $20108.01      | 0.00%             | 2036-11-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2007-SA2 Trust                                                     | CUSIP: 74958XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634941 | PA      | $547949.78     | 0.00%             | 2037-04-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                                  | RR 26 Ltd                                                                       | CUSIP: 74989MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   34500000 | PA      | $34439935.50   | 0.12%             | 2038-04-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                             | RAD CLO 21 Ltd                                                                  | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16050000 | PA      | $16009875.00   | 0.05%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                             | Rad CLO 18 Ltd                                                                  | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22150000 | PA      | $22177687.50   | 0.07%             | 2037-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Raising Cane's Restaurants, LLC                                         | Raising Cane's Restaurants LLC 2025 Term Loan B                                 | CUSIP: 75101XAQ0<br>LEI: 254900V6ADXFWHYOED66 | Long             | LON              | CORP              | US        |    4953789 | PA      | $4930580.56    | 0.02%             | 2032-11-03      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS12 Trust                                                     | CUSIP: 751151AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95922 | PA      | $70292.61      | 0.00%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QA7 Trust                                                      | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10907492 | PA      | $10134311.14   | 0.03%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS10 Trust                                                     | CUSIP: 751155AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9464268 | PA      | $180255.50     | 0.00%             | 2036-08-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS8 Trust                                                      | CUSIP: 75115AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38714778 | PA      | $1076623.15    | 0.00%             | 2036-08-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS6 Trust                                                      | CUSIP: 75116CEX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   47436151 | PA      | $614426.24     | 0.00%             | 2037-04-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDIN                                                | Raven Acquisition Holdings LLC                                                  | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3396155.00    | 0.01%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Red Ventures LLC                                                        | Red Ventures LLC 2024 Term Loan B                                               | CUSIP: 75703UAL9<br>LEI: 9845004G68FBD7FP1585 | Long             | LON              | CORP              | US        |    3164844 | PA      | $2809986.03    | 0.01%             | 2030-03-04      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Renaissance Holding Corp.                                               | Renaissance Holding Corp 2024 1st Lien Term Loan                                | CUSIP: 75972JAK0<br>LEI: 549300UKKEC0Y6TXNF09 | Long             | LON              | CORP              | US        |    9177636 | PA      | $6599316.53    | 0.02%             | 2030-04-05      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Research Now Group Inc                                                  | Research Now Group Inc 2024 First Lien First Out Term Loan                      | CUSIP: 76100MAB6<br>LEI: 549300XTHJNIVC5Q8K50 | Long             | LON              | CORP              | US        |    1212539 | PA      | $1195873.02    | 0.00%             | 2028-07-15      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2005-QO5 Trust                                                      | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2945507 | PA      | $2284829.79    | 0.01%             | 2046-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QA1 Trust                                                      | CUSIP: 761118SZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71856 | PA      | $52239.71      | 0.00%             | 2036-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QA1 Trust                                                      | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6653351 | PA      | $4461936.92    | 0.02%             | 2036-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS2 Trust                                                      | CUSIP: 761118VE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35239303 | PA      | $588454.08     | 0.00%             | 2036-02-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2005-SA5 Trust                                                     | CUSIP: 76111XZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1399831 | PA      | $626221.18     | 0.00%             | 2035-11-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.                               | RAMP Series 2004-SL3 Trust                                                      | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7605 | PA      | $3358.96       | 0.00%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                | RASC Series 2006-KS3 Trust                                                      | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30041 | PA      | $29975.94      | 0.00%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2006-A7CB                                | CUSIP: 76113NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1382862 | PA      | $1011556.34    | 0.00%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2017-3 Ltd                                                   | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |        561 | PA      | $560.88        | 0.00%             | 2030-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2020-1 Ltd                                                   | CUSIP: 77341EBA2<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |   22730000 | PA      | $22725590.38   | 0.08%             | 2036-01-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| ROLLINS INC                                                             | Rollins Inc                                                                     | CUSIP: 775711AC8<br>LEI: 549300F2A0BXT4SGWD84 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7989120.00    | 0.03%             | 2035-02-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                      | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    1295000 | PA      | $1248483.60    | 0.00%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                            | State Street Institutional U.S. Government Money Market Fund                    | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   59394639 | NS      | $59394638.86   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   56465000 | PA      | $48547647.10   | 0.16%             | 2043-01-05      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    8710000 | PA      | $7560142.38    | 0.03%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                            | SG Mortgage Securities Trust 2007-NC1                                           | CUSIP: 78420RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10736086 | PA      | $6374990.45    | 0.02%             | 2036-12-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                                  | SLC Student Loan Trust 2004-1                                                   | CUSIP: 784423AH8<br>LEI: 25490083RPF52FIUZ551 | Long             | ABS-O            | CORP              | US        |     160966 | PA      | $142173.39     | 0.00%             | 2031-08-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2003-12                                                  | CUSIP: 78442GKD7<br>LEI: GX18J72G8XB30P3MQA62 | Long             | ABS-O            | CORP              | US        |      22283 | PA      | $21536.70      | 0.00%             | 2068-12-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2006-2                                                   | CUSIP: 78442GRX6<br>LEI: 5493007758ACJK074H95 | Long             | ABS-O            | CORP              | US        |   14875581 | PA      | $14445533.82   | 0.05%             | 2041-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2006-8                                                   | CUSIP: 78443HAF0<br>LEI: 5493008U32QWNGB0TW72 | Long             | ABS-O            | CORP              | US        |   16051505 | PA      | $15586553.61   | 0.05%             | 2041-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-1                                                   | CUSIP: 78443VAG7<br>LEI: 5493006Z6MTP02OKOJ80 | Long             | ABS-O            | CORP              | US        |   15999911 | PA      | $15512233.65   | 0.05%             | 2042-01-27      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-1                                                   | CUSIP: 78443VAJ1<br>LEI: 5493006Z6MTP02OKOJ80 | Long             | ABS-O            | CORP              | US        |    1870233 | PA      | $1741467.32    | 0.01%             | 2042-01-27      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-2                                                   | CUSIP: 784442AD7<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |   38874000 | PA      | $41434101.69   | 0.14%             | 2083-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-6                                                   | CUSIP: 78444CAF0<br>LEI: 549300DP3T6QDZHB8271 | Long             | ABS-O            | CORP              | US        |    2331360 | PA      | $2208884.85    | 0.01%             | 2043-04-27      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-7                                                   | CUSIP: 78444EAD1<br>LEI: 549300IZGFDRVV7YTH38 | Long             | ABS-O            | CORP              | US        |      73983 | PA      | $73195.12      | 0.00%             | 2049-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-3                                                   | CUSIP: 78444GAC8<br>LEI: 549300OORAXMFXOHG132 | Long             | ABS-O            | CORP              | US        |       4739 | PA      | $4729.21       | 0.00%             | 2021-10-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-3                                                   | CUSIP: 78444GAD6<br>LEI: 549300OORAXMFXOHG132 | Long             | ABS-O            | CORP              | US        |    2260000 | PA      | $2352735.94    | 0.01%             | 2083-04-26      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-5                                                   | CUSIP: 78444YAD7<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |    6300650 | PA      | $6327777.79    | 0.02%             | 2023-07-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-5                                                   | CUSIP: 78444YAE5<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |   37199000 | PA      | $39536964.59   | 0.13%             | 2073-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-4                                                   | CUSIP: 78445AAD8<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |     535735 | PA      | $537163.16     | 0.00%             | 2022-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-4                                                   | CUSIP: 78445AAE6<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |    8849000 | PA      | $9395524.86    | 0.03%             | 2073-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-6                                                   | CUSIP: 78445CAE2<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |   31424000 | PA      | $32649944.51   | 0.11%             | 2083-07-26      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-7                                                   | CUSIP: 78445FAE5<br>LEI: 54930067BGNOZYMNWK87 | Long             | ABS-O            | CORP              | US        |   17206000 | PA      | $17223188.79   | 0.06%             | 2083-07-26      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-1                                                   | CUSIP: 78446WAC1<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |     272291 | PA      | $269657.64     | 0.00%             | 2028-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-2                                                   | CUSIP: 78446YAA1<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |    6267744 | PA      | $6126462.72    | 0.02%             | 2029-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-7                                                   | CUSIP: 78447KAC6<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |   10779966 | PA      | $10550166.52   | 0.04%             | 2026-05-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                                                | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     500000 | PA      | $508125.00     | 0.00%             | 2029-04-03      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                                                | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAN2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    4410000 | PA      | $4453173.90    | 0.01%             | 2030-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                          | Sabre GLBL Inc 2024 Term Loan B1                                                | CUSIP: 78571YBK5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |    1045285 | PA      | $829370.54     | 0.00%             | 2029-11-15      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                          | Salesforce Inc                                                                  | CUSIP: 79466LAS3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   12205000 | PA      | $12190964.25   | 0.04%             | 2031-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                          | Salesforce Inc                                                                  | CUSIP: 79466LAU8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   30241000 | PA      | $30157232.43   | 0.10%             | 2036-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                          | Salesforce Inc                                                                  | CUSIP: 79466LAW4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    3205000 | PA      | $3215800.85    | 0.01%             | 2056-03-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 79549ARU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2037 | PA      | $1989.32       | 0.00%             | 2033-01-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $2172478.00    | 0.01%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    7952000 | PA      | $7820712.48    | 0.03%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                | Saudi Government International Bond                                             | CUSIP: 80413TBR9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   24493000 | PA      | $23806216.28   | 0.08%             | 2036-01-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                | Saudi Government International Bond                                             | CUSIP: 80413TBS7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   26461000 | PA      | $25184521.36   | 0.08%             | 2056-01-12      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                            | Saxon Asset Securities Trust 2007-2                                             | CUSIP: 80556YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     133948 | PA      | $99479.71      | 0.00%             | 2047-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Mativ Holdings Inc                                                      | Mativ Holdings Inc Delayed Draw Term Loan A                                     | CUSIP: 80854EAJ7<br>LEI: 549300Z1FU4IDULG1R21 | Long             | LON              | CORP              | US        |    3121848 | PA      | $3106238.50    | 0.01%             | 2027-05-06      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Secretariat Advisors LLC                                                | Secretariat Advisors LLC 2025 Term Loan B                                       | CUSIP: 81368NAN5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1897610 | PA      | $1869145.59    | 0.01%             | 2032-02-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Secretariat Advisors LLC                                                | Secretariat Advisors LLC 2025 Delayed Draw Term Loan                            | CUSIP: 81368NAP0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     230355 | PA      | $226900.01     | 0.00%             | 2032-02-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Securitized Asset Backed Receivables LLC Trust 2006-CB1                         | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4835156 | PA      | $4148612.86    | 0.01%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Securitized Asset Backed Receivables LLC Trust 2006-CB5                         | CUSIP: 81376WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     163109 | PA      | $111585.76     | 0.00%             | 2036-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-NC1                         | CUSIP: 81378AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23024200 | PA      | $11420504.90   | 0.04%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-NC2                         | CUSIP: 81378GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11461337 | PA      | $10032194.46   | 0.03%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR1                         | CUSIP: 81378KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4758215 | PA      | $1916693.59    | 0.01%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR1                         | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23554651 | PA      | $9486993.85    | 0.03%             | 2037-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR2                         | CUSIP: 81378PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   30552775 | PA      | $13683008.19   | 0.05%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR5                         | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9188716 | PA      | $7209550.21    | 0.02%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR5                         | CUSIP: 81379EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6930050 | PA      | $5436659.04    | 0.02%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2003-8                                                   | CUSIP: 81743PDX1<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |        216 | PA      | $212.18        | 0.00%             | 2034-01-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2004-4                                                   | CUSIP: 81744FBF3<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |      32929 | PA      | $31237.27      | 0.00%             | 2034-05-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| DCP RIGHTS, LLC                                                         | SHOW Trust 2022-BIZ                                                             | CUSIP: 82539LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   68000000 | PA      | $36707222.80   | 0.12%             | 2027-01-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Showtime Acquisition LLC                                                | Showtime Acquisition LLC 2024 1st Lien Term Loan                                | CUSIP: 82540EAC8<br>LEI: 54930002EOYTEFEJFW69 | Long             | LON              | CORP              | US        |    5685006 | PA      | $5628156.23    | 0.02%             | 2031-08-16      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| SKYLINE CL A TR 2020 1                                                  | SKYLINE CL A TR 2020 1                                                          | CUSIP: 83084RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22571649 | PA      | $21328402.20   | 0.07%             | 2038-07-03      | Fixed         | 3.23%                 | No            |                  3 | On Loan: No      |
| SMITHFIELD FOODS INC                                                    | Smithfield Foods Inc                                                            | CUSIP: 832248AZ1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   24855000 | PA      | $24842821.05   | 0.08%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                                    | Smithfield Foods Inc                                                            | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    8890000 | PA      | $8134794.50    | 0.03%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                                    | Smithfield Foods Inc                                                            | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   14435000 | PA      | $12698180.80   | 0.04%             | 2031-09-13      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| TTF Holdings LLC                                                        | TTF Holdings LLC 2024 Term Loan                                                 | CUSIP: 83421EAB2<br>LEI: 254900IIAWXPGAIX2Q35 | Long             | LON              | CORP              | US        |    6509758 | PA      | $4882318.13    | 0.02%             | 2031-07-18      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| SONARSOURCE FINANCING LLC                                               | SonarSource Financing LLC Term Loan                                             | CUSIP: 83541WAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3714917 | PA      | $3417723.74    | 0.01%             | 2030-12-19      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds                 | Republic of South Africa Government International Bonds                         | CUSIP: 836205AY0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4438000 | PA      | $4468355.92    | 0.02%             | 2030-06-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds                 | Republic of South Africa Government International Bonds                         | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8499000 | PA      | $8466873.78    | 0.03%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| South Field LLC                                                         | South Field LLC 2025 1st Lien Term Loan C                                       | CUSIP: 83783XAF3<br>LEI: 549300M3RBW5ZIH20760 | Long             | LON              | CORP              | US        |     138243 | PA      | $138935.40     | 0.00%             | 2031-08-29      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| South Field LLC                                                         | South Field LLC 2025 1st Lien Term Loan B                                       | CUSIP: 83783XAG1<br>LEI: 549300M3RBW5ZIH20760 | Long             | LON              | CORP              | US        |    2210643 | PA      | $2221707.12    | 0.01%             | 2031-08-29      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                             | Southern Co/The                                                                 | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   65307000 | PA      | $64758421.20   | 0.22%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                             | Southern Co/The                                                                 | CUSIP: 842587EJ2<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   37690000 | PA      | $37900687.10   | 0.13%             | 2058-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAC2<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      50000 | PA      | $41020.50      | 0.00%             | 2047-05-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BP6<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   26488000 | PA      | $26293313.20   | 0.09%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   29341000 | PA      | $29808695.54   | 0.10%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BV3<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    6595000 | PA      | $6489611.90    | 0.02%             | 2036-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                                                | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAE0<br>LEI: 5493003BZYYYCDIO0R13 | Long             | DBT              | CORP              | US        |  120438000 | PA      | $121058256.15  | 0.41%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                             | SREIT Trust 2021-PALM                                                           | CUSIP: 85237AAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40000000 | PA      | $40088624.00   | 0.13%             | 2034-10-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                                         | Star Parent Inc                                                                 | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |    6632000 | PA      | $6903514.08    | 0.02%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                          | Starbucks Corp                                                                  | CUSIP: 855244BL2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |   12035000 | PA      | $12188325.90   | 0.04%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                            | STARM Mortgage Loan Trust 2007-3                                                | CUSIP: 85554NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962531 | PA      | $435445.58     | 0.00%             | 2037-06-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                     | Station Casinos LLC 2024 Term Loan B                                            | CUSIP: 85769EBB6<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |    1830803 | PA      | $1832295.51    | 0.01%             | 2031-03-14      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                 | Structured Asset Securities Corp Trust 2005-5                                   | CUSIP: 863576AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615992 | PA      | $579114.57     | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     871816 | PA      | $855046.73     | 0.00%             | 2034-09-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10698 | PA      | $10289.61      | 0.00%             | 2034-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1462463 | PA      | $1445047.69    | 0.00%             | 2034-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579DE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     869360 | PA      | $847392.88     | 0.00%             | 2034-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18180 | PA      | $16541.38      | 0.00%             | 2034-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                   | CUSIP: 863579GZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174566 | PA      | $169196.21     | 0.00%             | 2035-01-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-12                   | CUSIP: 863579SU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179093 | PA      | $150782.42     | 0.00%             | 2035-06-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18                   | CUSIP: 863579XP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8512034 | PA      | $4695717.99    | 0.02%             | 2035-09-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                 | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003 26A        | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44037 | PA      | $42819.72      | 0.00%             | 2033-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 86359BGD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2544 | PA      | $2511.38       | 0.00%             | 2034-02-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2005-AR8                         | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182133 | PA      | $156052.34     | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2005-AR8                         | CUSIP: 86359LRZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5875242 | PA      | $5080429.05    | 0.02%             | 2036-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2006-AR7                         | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7859401 | PA      | $6631066.83    | 0.02%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2006-AR8                         | CUSIP: 86361XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6734200 | PA      | $5900339.81    | 0.02%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2006-12                   | CUSIP: 86362RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11259023 | PA      | $11167483.12   | 0.04%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2007-AR6                         | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   66377086 | PA      | $57487574.49   | 0.19%             | 2047-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SUBURBAN PROPANE PARTNRS                                                | Suburban Propane Partners LP/Suburban Energy Finance Corp                       | CUSIP: 864486AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9890000 | PA      | $9636123.70    | 0.03%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                               | Sunoco LP                                                                       | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   18486000 | PA      | $18863484.12   | 0.06%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                               | Sunoco LP                                                                       | CUSIP: 86765KAN9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    3735000 | PA      | $3678900.30    | 0.01%             | 2034-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Surf Holdings LLC                                                       | Surf Holdings LLC 2025 Incremental Term Loan                                    | CUSIP: 86875TAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6573149 | PA      | $6276338.70    | 0.02%             | 2027-03-05      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XX Ltd                                                             | CUSIP: 87166VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16334173 | PA      | $16362921.00   | 0.06%             | 2032-01-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Star Parent Inc                                                         | Star Parent Inc Term Loan B                                                     | CUSIP: 87169DAB1<br>LEI: 254900GRGCJYRMDRWT73 | Long             | LON              | CORP              | US        |    1614961 | PA      | $1598956.97    | 0.01%             | 2030-09-27      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| TCP Sunbelt Acquisition Co                                              | TCP Sunbelt Acquisition Co 2024 Term Loan B                                     | CUSIP: 87233DAB3<br>LEI: 549300P5GYKSLPTV1Y23 | Long             | LON              | CORP              | US        |    4927625 | PA      | $4936864.30    | 0.02%             | 2031-10-24      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                                                   | TCW Central Cash Fund                                                           | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        | 4057401839 | NS      | $4057401839.29 | 13.66%            |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     450000 | PA      | $453622.50     | 0.00%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   47915000 | PA      | $46369741.25   | 0.16%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| TCW Private Asset Income Fund                                           | TCW Private Asset Income Fund                                                   | CUSIP: 87807Y206<br>LEI: 254900JOZ7KOHWZ5ZD02 | Long             | EC               | RF                | US        |   21516602 | NS      | $214520519.08  | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                                | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    1135000 | PA      | $761267.20     | 0.00%             | 2050-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Company LLC                                           | Vistra Operations Company LLC 1st Lien Term Loan B3                             | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |    7745538 | PA      | $7765714.88    | 0.03%             | 2030-12-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                     | Thornburg Mortgage Securities Trust 2004-4                                      | CUSIP: 885220GD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47715 | PA      | $46025.62      | 0.00%             | 2044-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                | Cloud Software Group Inc 2025 Term Loan B (2031)                                | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    5010213 | PA      | $4604385.40    | 0.02%             | 2031-03-21      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2016000 | PA      | $1822907.52    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6812000 | PA      | $5866698.76    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   27580000 | PA      | $20743745.40   | 0.07%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                                   | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HAB5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    2878000 | PA      | $2999912.08    | 0.01%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                           | TransDigm Inc 2023 Term Loan J                                                  | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    3797581 | PA      | $3802365.61    | 0.01%             | 2031-02-28      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                           | TransDigm Inc 2025 Term Loan M                                                  | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    5582792 | PA      | $5588960.95    | 0.02%             | 2032-08-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                           | TransDigm Inc 2025 Term Loan K                                                  | CUSIP: 89364MCF9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     800018 | PA      | $800926.30     | 0.00%             | 2030-03-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                        | Trestles CLO VIII Ltd                                                           | CUSIP: 89533DAC4<br>LEI: 2549002BMO2L1UMJWE02 | Long             | ABS-CBDO         | CORP              | KY        |   20000000 | PA      | $20013720.00   | 0.07%             | 2035-06-11      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas Clo VII Ltd                                                            | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |   15000000 | PA      | $14964225.00   | 0.05%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO XVI Ltd                                                            | CUSIP: 89642DAQ1<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $24984400.00   | 0.08%             | 2034-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| TripAdvisor Inc                                                         | TripAdvisor Inc Term Loan                                                       | CUSIP: 89677NAE4<br>LEI: 549300XVG45PT5BART17 | Long             | LON              | CORP              | US        |    3365152 | PA      | $3202497.43    | 0.01%             | 2031-07-08      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Primo Brands Corporation                                                | Primo Brands Corporation 2025 Term Loan B                                       | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |     917790 | PA      | $919776.60     | 0.00%             | 2028-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TKO Worldwide Holdings LLC                                              | TKO Worldwide Holdings LLC 2025 Term Loan                                       | CUSIP: 90266UAL7<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    3703258 | PA      | $3705572.52    | 0.01%             | 2031-11-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                                 | UKG Inc                                                                         | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |    5510000 | PA      | $5405861.00    | 0.02%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                                                | United Airlines 2018-1 Class AA Pass Through Trust                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21685012 | PA      | $20935578.38   | 0.07%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2023-1 A PTT                                                 | United Airlines 2023-1 Class A Pass Through Trust                               | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20159483 | PA      | $20773137.78   | 0.07%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                                 | United Auto Credit Securitization Trust 2022-2                                  | CUSIP: 90944KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33600 | PA      | $2.25          | 0.00%             | 2029-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAK6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1884000 | PA      | $1813067.40    | 0.01%             | 2032-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   11840000 | PA      | $10056896.00   | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6734000 | PA      | $6384236.04    | 0.02%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    7168000 | PA      | $7332003.84    | 0.02%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                   | Mexico Government International Bond                                            | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   13699000 | PA      | $13249672.80   | 0.04%             | 2035-09-22      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| United Natural Foods Inc                                                | United Natural Foods Inc 2024 Term Loan                                         | CUSIP: 91116KAD7<br>LEI: 549300GKGW6WPZ282D40 | Long             | LON              | CORP              | US        |    6259191 | PA      | $6303005.73    | 0.02%             | 2031-05-01      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70296.10      | 0.00%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  910895000 | PA      | $888264952.34  | 2.99%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  920696000 | PA      | $887392703.98  | 2.99%             | 2046-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  597017000 | PA      | $587735254.31  | 1.98%             | 2036-02-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CQB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  820068000 | PA      | $813725290.66  | 2.74%             | 2028-02-29      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CQD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  585368000 | PA      | $574049359.47  | 1.93%             | 2031-02-28      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CQF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  999795000 | PA      | $1006746704.61 | 3.39%             | 2033-03-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CQG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1405210000 | PA      | $1400818718.75 | 4.72%             | 2031-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CQH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50011000 | PA      | $50090118.90   | 0.17%             | 2028-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2910000 | PA      | $2450307.30    | 0.01%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   23090000 | PA      | $22006386.30   | 0.07%             | 2054-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                   | Universal Health Services Inc                                                   | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   45000000 | PA      | $44474850.00   | 0.15%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| University of California                                                | UNIV OF CALIFORNIA REVENUES                                                     | CUSIP: 91412GXE0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6615000 | PA      | $6092157.02    | 0.02%             | 2045-05-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                                                            | VT Topco Inc                                                                    | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |   10122000 | PA      | $10303285.02   | 0.03%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Valley Stream Park CLO, Ltd                                             | Valley Stream Park CLO LTD                                                      | CUSIP: 92013AAT6<br>LEI: 213800DEME82SWN32S20 | Long             | ABS-CBDO         | CORP              | JE        |   13350000 | PA      | $13355954.10   | 0.04%             | 2037-01-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    5030000 | PA      | $5534810.80    | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    8185000 | PA      | $8670288.65    | 0.03%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    6296000 | PA      | $6481857.92    | 0.02%             | 2030-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    1574000 | PA      | $1640139.48    | 0.01%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |    3627000 | PA      | $3477422.52    | 0.01%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |    2727000 | PA      | $2711156.13    | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |    6903000 | PA      | $6712546.23    | 0.02%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDI O2 VI DAC                                                   | Virgin Media O2 Vendor Financing Notes VI DAC                                   | CUSIP: 92769UAA9<br>LEI: 9845001E591J5060A412 | Long             | DBT              | CORP              | IE        |    7669000 | PA      | $6691892.71    | 0.02%             | 2033-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                        | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1074000 | PA      | $925046.94     | 0.00%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                                  | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1475000 | PA      | $1416265.50    | 0.00%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4877184.00    | 0.02%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2019-4 Ltd                                                             | CUSIP: 92918BAS2<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |   17500000 | PA      | $17521070.00   | 0.06%             | 2035-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                      | Voyager Parent LLC                                                              | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    3468000 | PA      | $3617470.80    | 0.01%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                      | Voyager Parent LLC Repriced Term Loan B                                         | CUSIP: 92921HAD7<br>LEI: 2549002DYVI4ACSV4V71 | Long             | LON              | CORP              | US        |    6341705 | PA      | $6306698.91    | 0.02%             | 2032-07-01      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust                   | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     656293 | PA      | $647041.26     | 0.00%             | 2033-06-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                  | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     843296 | PA      | $790194.53     | 0.00%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                  | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1388856 | PA      | $1353590.54    | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust                  | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10753230 | PA      | $10199035.88   | 0.03%             | 2045-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust                  | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4821501 | PA      | $4488313.45    | 0.02%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                   | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209075 | PA      | $210420.73     | 0.00%             | 2045-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                   | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17780 | PA      | $17889.45      | 0.00%             | 2045-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                   | CUSIP: 92922FD62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     742425 | PA      | $747771.26     | 0.00%             | 2045-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                   | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36862 | PA      | $36021.95      | 0.00%             | 2045-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9807 | PA      | $9397.86       | 0.00%             | 2034-06-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR8                         | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47294 | PA      | $46253.75      | 0.00%             | 2045-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                  | CUSIP: 92925CBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4058357 | PA      | $4060340.13    | 0.01%             | 2045-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust                   | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6766754 | PA      | $6299346.18    | 0.02%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                  | CUSIP: 92925GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287173 | PA      | $261302.57     | 0.00%             | 2036-12-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2007-OA1 Trust                   | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6138427 | PA      | $5765642.09    | 0.02%             | 2047-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| WEC US Holdings Ltd                                                     | WEC US Holdings Ltd 2024 Term Loan                                              | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    3197281 | PA      | $3195282.68    | 0.01%             | 2031-01-27      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                                       | Wachovia Mortgage Loan Trust Series 2006-AMN1                                   | CUSIP: 92978EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13732915 | PA      | $4413673.70    | 0.01%             | 2036-08-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                                       | Wachovia Mortgage Loan Trust Series 2006-ALT1                                   | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8706893 | PA      | $2949439.88    | 0.01%             | 2037-01-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                          | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                       | CUSIP: 933631AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2620522 | PA      | $1184152.27    | 0.00%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                          | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                       | CUSIP: 933631AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8120297 | PA      | $3667959.95    | 0.01%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                   | CUSIP: 93363CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3570104 | PA      | $3448707.33    | 0.01%             | 2046-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust                  | CUSIP: 93363EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5141726 | PA      | $4554286.20    | 0.02%             | 2036-09-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                   | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116595 | PA      | $107388.63     | 0.00%             | 2037-07-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS                        | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-AR1 Trust  | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8092 | PA      | $8127.14       | 0.00%             | 2030-11-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust  | CUSIP: 9393365G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906486 | PA      | $729515.40     | 0.00%             | 2035-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust  | CUSIP: 9393366H1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1896096 | PA      | $1655660.42    | 0.01%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust                   | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227510 | PA      | $223017.91     | 0.00%             | 2045-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR4 Trust                   | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2302589 | PA      | $2109206.72    | 0.01%             | 2046-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Element Materials Technology Group US Holdings Inc                      | Element Materials Technology Group US Holdings Inc 2022 USD Term Loan           | CUSIP: 000000000<br>LEI: 213800EGOJGGUKUGEZ30 | Long             | LON              | CORP              | US        |     782337 | PA      | $785763.43     | 0.00%             | 2029-07-06      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                            | Wells Fargo Mortgage Backed Securities 2006-AR1 Trust                           | CUSIP: 94983JAA0<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     886755 | PA      | $899413.72     | 0.00%             | 2036-03-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                      | Wells Fargo Alternative Loan 2007-PA5 Trust                                     | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56868 | PA      | $48829.56      | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   69972000 | PA      | $66044471.64   | 0.22%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   61030000 | PA      | $59575655.10   | 0.20%             | 2028-06-02      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1835.68       | 0.00%             | 2033-03-02      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       3000 | PA      | $2987.46       | 0.00%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   14844000 | PA      | $15183779.16   | 0.05%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| PROJECT COLT                                                            | PROJECT COLT                                                                    | CUSIP: 000000000<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |   83029534 | PA      | $83145775.70   | 0.28%             | 2027-03-10      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| NCFA LLC LOAN PARTICIPATION 1                                           | NCFA LLC LOAN PARTICIPATION 1                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11720278 | PA      | $11720278.14   | 0.04%             | 2028-06-12      | Fixed         | 2.75%                 | No            |                  3 | On Loan: No      |
| MODIVCARE                                                               | MODIVCARE                                                                       | CUSIP: 000000000<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | EC               | CORP              | US        |    1934234 | NS      | $12572521.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Whetstone Park CLO Ltd                                                  | Whetstone Park CLO Ltd                                                          | CUSIP: 96329YAN7<br>LEI: 549300M54M5QSBMB3780 | Long             | ABS-CBDO         | CORP              | KY        |   22345000 | PA      | $22317068.75   | 0.08%             | 2035-01-20      | Floating      | 4.74%                 | 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        |   10876692 | PA      | $7749643.04    | 0.03%             | 2029-11-19      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Ardagh Holdings SA                                                      | Ardagh Holdings SA                                                              | CUSIP: 985923101<br>LEI: 549300ORV6YW6ESSNQ21 | Long             | EC               | CORP              | LU        |    1815919 | NS      | $13392402.63   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Zayo Group Holdings Inc                                                 | Zayo Group Holdings Inc 2025 USD Term Loan                                      | CUSIP: 98919XAH4<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    2683927 | PA      | $2640165.83    | 0.01%             | 2030-03-11      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| QAZAQGAZ NC JSC                                                         | QazaqGaz NC JSC                                                                 | CUSIP: 000000000<br>LEI: 635400YGLXBBSVHONW39 | Long             | DBT              | CORP              | KZ        |    5091000 | PA      | $5054955.72    | 0.02%             | 2027-09-26      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                                 | Yorkshire Water Finance PLC                                                     | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $163597.83     | 0.00%             | 2041-04-18      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                     | Worldline SA/France                                                             | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |    6342326 | PA      | $7417679.38    | 0.02%             | 2026-07-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE                                                | Pacific National Finance Pty Ltd                                                | CUSIP: 000000000<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |   26170000 | PA      | $16335603.98   | 0.06%             | 2029-09-24      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                       | LEG Immobilien SE                                                               | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |   18600000 | PA      | $17254031.26   | 0.06%             | 2034-11-28      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   50000000 | PA      | $34281401.77   | 0.12%             | 2049-12-09      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| DELIVERY HERO AG                                                        | Delivery Hero SE                                                                | CUSIP: 000000000<br>LEI: 529900C3EX1FZGE48X78 | Long             | DBT              | CORP              | DE        |    4000000 | PA      | $4303742.92    | 0.01%             | 2028-01-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                  | Treasury Corp of Victoria                                                       | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |   41635000 | PA      | $19324597.30   | 0.07%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AURIZON NETWORK PTY LTD                                                 | Aurizon Network Pty Ltd                                                         | CUSIP: 000000000<br>LEI: 549300FNL9A7DVZKZ444 | Long             | DBT              | CORP              | AU        |   17130000 | PA      | $10332787.67   | 0.03%             | 2030-09-02      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL SWITCH FINANCE                                                   | Global Switch Finance BV                                                        | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |   63777000 | PA      | $67860130.07   | 0.23%             | 2030-10-07      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                 | KazMunayGas National Co JSC                                                     | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   12735000 | PA      | $11388528.45   | 0.04%             | 2033-04-14      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                       | LEG Immobilien SE                                                               | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |    8100000 | PA      | $7388699.22    | 0.02%             | 2033-03-30      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| DWR CYMRU FINANCING UK                                                  | DWR Cymru Financing UK PLC                                                      | CUSIP: 000000000<br>LEI: 213800GDOFO2ED5PNC85 | Long             | DBT              | CORP              | GB        |   17113000 | PA      | $16821819.28   | 0.06%             | 2034-03-31      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                                  | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |   13936000 | PA      | $15156737.75   | 0.05%             | 2028-05-04      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                       | LEG Immobilien SE                                                               | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |    2800000 | PA      | $2600639.47    | 0.01%             | 2034-01-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| CERVED INFORMATION SOLUT                                                | Cerved Group SpA                                                                | CUSIP: 000000000<br>LEI: 8156005E0EF91772E207 | Long             | DBT              | CORP              | IT        |    2825000 | PA      | $2860072.24    | 0.01%             | 2029-02-15      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| ROBERT BOSCH GMBH                                                       | Robert Bosch GmbH                                                               | CUSIP: 000000000<br>LEI: 529900F0LT5OP4SV6122 | Long             | DBT              | CORP              | DE        |    5000000 | PA      | $5528081.99    | 0.02%             | 2043-06-02      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                                  | Volkswagen International Finance NV                                             | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |   12500000 | PA      | $15948894.18   | 0.05%             | 2032-09-06      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                    | Sartorius Finance BV                                                            | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $2360765.29    | 0.01%             | 2032-09-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                    | Sartorius Finance BV                                                            | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |   11400000 | PA      | $13597170.20   | 0.05%             | 2035-09-14      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| DAVIDE CAMPARI-MILANO SP                                                | Davide Campari-Milano NV                                                        | CUSIP: 000000000<br>LEI: 213800ED5AN2J56N6Z02 | Long             | DBT              | CORP              | NL        |   14300000 | PA      | $16049387.89   | 0.05%             | 2029-01-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                    | Booking Holdings Inc                                                            | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    3865000 | PA      | $3995057.24    | 0.01%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                                      | MVM Energetika Zrt                                                              | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | CORP              | HU        |    2988000 | PA      | $3084721.56    | 0.01%             | 2031-03-13      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |   44360000 | PA      | $28174599.11   | 0.09%             | 2037-02-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CBRE OPEN-ENDED FUNDS                                                   | CBRE Open-Ended Funds SCA SICAV-SIF                                             | CUSIP: 000000000<br>LEI: 529900J5H3JGJ83AUZ88 | Long             | DBT              | CORP              | LU        |    2765000 | PA      | $3253308.48    | 0.01%             | 2034-03-27      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                                    | Flutter Treasury DAC                                                            | CUSIP: 000000000<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    2320000 | PA      | $2703603.74    | 0.01%             | 2029-04-29      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RTE RESEAU DE TRANSPORT                                                 | RTE Reseau de Transport d'Electricite SADIR                                     | CUSIP: 000000000<br>LEI: 969500JRJW0K2ET1UP76 | Long             | DBT              | CORP              | FR        |    4800000 | PA      | $5069476.50    | 0.02%             | 2044-04-30      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GRIFOLS SA                                                              | Grifols SA                                                                      | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    5820000 | PA      | $6945535.51    | 0.02%             | 2030-05-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| WP CAREY INC                                                            | WP Carey Inc                                                                    | CUSIP: 000000000<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    3655000 | PA      | $4224640.20    | 0.01%             | 2032-07-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                            | Amprion GmbH                                                                    | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |    3800000 | PA      | $4059746.17    | 0.01%             | 2044-05-21      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMCOR UK FINANCE PLC                                                    | Amcor UK Finance PLC                                                            | CUSIP: 000000000<br>LEI: 549300DEUV6BE727FP17 | Long             | DBT              | CORP              | GB        |    4570000 | PA      | $5197574.97    | 0.02%             | 2032-05-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REDEXIS SA                                                              | Redexis SA                                                                      | CUSIP: 000000000<br>LEI: 635400DYWVUY8IC5MR90 | Long             | DBT              | CORP              | ES        |   11800000 | PA      | $13662850.20   | 0.05%             | 2031-05-30      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |   44360000 | PA      | $28519740.53   | 0.10%             | 2037-07-21      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                                                 | Turkiye Government Bond                                                         | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        | 3144500700 | PA      | $69552283.47   | 0.23%             | 2026-08-12      | Fixed         | 36.00%                | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                                 | Yorkshire Water Finance PLC                                                     | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |   18052000 | PA      | $24023452.86   | 0.08%             | 2034-11-18      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Romania Government International Bonds                                  | Romania Government International Bonds                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   21718000 | PA      | $20516994.60   | 0.07%             | 2035-03-24      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                                | Equinix Europe 2 Financing Corp LLC                                             | CUSIP: 000000000<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |   24755000 | PA      | $27027261.45   | 0.09%             | 2034-11-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                    | Booking Holdings Inc                                                            | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1335410.44    | 0.00%             | 2045-03-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                    | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    9465000 | PA      | $10569352.69   | 0.04%             | 2036-01-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                  | Treasury Corp of Victoria                                                       | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    5405000 | PA      | $3547627.37    | 0.01%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |   47195000 | PA      | $30918740.96   | 0.10%             | 2038-02-24      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| EUROFINS SCIENTIFIC SE                                                  | Eurofins Scientific SE                                                          | CUSIP: 000000000<br>LEI: 529900JEHFM47DYY3S57 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $118309.03     | 0.00%             | 2032-01-04      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| DVI DT VERMOEGENS IMMVWL                                                | DVI Deutsche Vermoegens- & Immobilienverwaltungs GmbH                           | CUSIP: 000000000<br>LEI: 529900MFTCNJE8PQM633 | Long             | DBT              | CORP              | DE        |    3200000 | PA      | $3673508.05    | 0.01%             | 2030-08-21      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| ROBERT BOSCH FINANCE                                                    | Robert Bosch Finance LLC                                                        | CUSIP: 000000000<br>LEI: 549300VQST07EL5DYC58 | Long             | DBT              | CORP              | US        |     100000 | PA      | $112833.78     | 0.00%             | 2031-05-28      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| PUNCH FINANCE PLC                                                       | Punch Finance PLC                                                               | CUSIP: 000000000<br>LEI: 2138006IJRIU1Q5DN388 | Long             | DBT              | CORP              | GB        |    4105000 | PA      | $5403516.71    | 0.02%             | 2030-12-30      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                                    | Flutter Treasury DAC                                                            | CUSIP: 000000000<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    3000000 | PA      | $3842043.56    | 0.01%             | 2031-06-04      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN FIN SERV AUST                                                | Volkswagen Financial Services Australia Pty Ltd                                 | CUSIP: 000000000<br>LEI: 529900VBZRQG6COX9X61 | Long             | DBT              | CORP              | AU        |    6200000 | PA      | $4148034.30    | 0.01%             | 2029-06-13      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                                  | Digital Dutch Finco BV                                                          | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |    4155000 | PA      | $4583112.38    | 0.02%             | 2034-07-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| TEAMSYSTEM SPA                                                          | TeamSystem SpA                                                                  | CUSIP: 000000000<br>LEI: 81560062081DF3AB7A90 | Long             | DBT              | CORP              | IT        |    3945000 | PA      | $4204748.50    | 0.01%             | 2031-07-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| LUNA 2 5SARL                                                            | Luna 2 5SARL                                                                    | CUSIP: 000000000<br>LEI: 894500N8J2QVEYP0UI86 | Long             | DBT              | CORP              | LU        |    1900000 | PA      | $2161880.62    | 0.01%             | 2032-07-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                                 | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   23276000 | PA      | $23106783.48   | 0.08%             | 2036-05-16      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                                 | Yorkshire Water Finance PLC                                                     | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |   10000000 | PA      | $13056441.65   | 0.04%             | 2033-07-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| DYNO NOBEL LTD                                                          | Dyno Nobel Ltd                                                                  | CUSIP: 000000000<br>LEI: 254900UW2F3BKV6Z9V18 | Long             | DBT              | CORP              | AU        |   13480000 | PA      | $8839519.83    | 0.03%             | 2035-08-08      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WAT FIN                                                | United Utilities Water Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |    1625000 | PA      | $1817128.60    | 0.01%             | 2035-08-07      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |   72600000 | PA      | $47240541.70   | 0.16%             | 2038-08-13      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    9200000 | PA      | $6027109.71    | 0.02%             | 2035-08-28      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| VONOVIA SE                                                              | Vonovia SE                                                                      | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |   13800000 | PA      | $8935373.51    | 0.03%             | 2035-09-03      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| DWR CYMRU FINANCING UK                                                  | DWR Cymru Financing UK PLC                                                      | CUSIP: 000000000<br>LEI: 213800GDOFO2ED5PNC85 | Long             | DBT              | CORP              | GB        |    4144000 | PA      | $5395561.52    | 0.02%             | 2037-09-08      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| SOUTH WEST WATER FIN PLC                                                | South West Water Finance PLC                                                    | CUSIP: 000000000<br>LEI: 213800OV68U446W4NV89 | Long             | DBT              | CORP              | GB        |   17935000 | PA      | $23194409.90   | 0.08%             | 2031-09-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| WESTERN AUST TREAS CORP                                                 | Western Australian Treasury Corp                                                | CUSIP: 000000000<br>LEI: 213800FKHP5ME5Y3CF47 | Long             | DBT              | NUSS              | AU        |   62020000 | PA      | $40248283.40   | 0.14%             | 2037-10-21      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    8195000 | PA      | $5318703.83    | 0.02%             | 2039-02-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                                    | Volkswagen Bank GmbH                                                            | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |   10000000 | PA      | $11211134.86   | 0.04%             | 2032-10-02      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   14200000 | PA      | $15890361.27   | 0.05%             | 2031-01-06      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| SECHE ENVIRONNEMENT SACA                                                | Seche Environnement SACA                                                        | CUSIP: 000000000<br>LEI: 969500R9ENNIN33POO20 | Long             | DBT              | CORP              | FR        |    6200000 | PA      | $6975549.17    | 0.02%             | 2031-01-09      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Providus CLO                                                            | Providus CLO V DAC                                                              | CUSIP: 000000000<br>LEI: 6354008C72YCMAEWD258 | Long             | ABS-CBDO         | CORP              | IE        |    8500000 | PA      | $9761399.00    | 0.03%             | 2039-11-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO                                                | British American Tobacco PLC                                                    | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $901176.97     | 0.00%             | 2033-07-30      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     860000 | PA      | $940445.56     | 0.00%             | 2038-11-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                                                          | AA Bond Co Ltd                                                                  | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |    7537000 | PA      | $9645934.34    | 0.03%             | 2032-07-31      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SMITHS GROUP PLC                                                        | Smiths Group PLC                                                                | CUSIP: 000000000<br>LEI: 213800MJL6IPZS3ASA11 | Long             | DBT              | CORP              | GB        |   20925000 | PA      | $23261599.48   | 0.08%             | 2033-11-13      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| AMCOR UK FINANCE PLC                                                    | Amcor UK Finance PLC                                                            | CUSIP: 000000000<br>LEI: 549300DEUV6BE727FP17 | Long             | DBT              | CORP              | GB        |   19140000 | PA      | $21313884.81   | 0.07%             | 2033-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENBW INTL FINANCE BV                                                    | EnBW International Finance BV                                                   | CUSIP: 000000000<br>LEI: 724500CNCIO1ZTJ0X675 | Long             | DBT              | CORP              | NL        |    6690000 | PA      | $4430821.94    | 0.01%             | 2036-02-26      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                                    | Volkswagen Bank GmbH                                                            | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |    8000000 | PA      | $9019881.21    | 0.03%             | 2032-12-10      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| AUSGRID FINANCE PTY LTD                                                 | Ausgrid Finance Pty Ltd                                                         | CUSIP: 000000000<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |   14370000 | PA      | $9627655.03    | 0.03%             | 2035-12-10      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| BIFFA GROUP HOLDINGS LTD                                                | Biffa Group Holdings Ltd                                                        | CUSIP: 000000000<br>LEI: 21380012LWLXNMXB8I44 | Long             | DBT              | CORP              | JE        |     200000 | PA      | $259063.75     | 0.00%             | 2031-06-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| AMPRION GMBH                                                            | Amprion GmbH                                                                    | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |   11300000 | PA      | $12805941.89   | 0.04%             | 2038-01-15      | Fixed         | 4.07%                 | Yes           |                  2 | On Loan: No      |
| ENEL SPA                                                                | Enel SpA                                                                        | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |   15537000 | PA      | $16961530.08   | 0.06%             | 2034-10-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| NEDERLANDSE GASUNIE N.V.                                                | Nederlandse Gasunie NV                                                          | CUSIP: 000000000<br>LEI: 724500MQFZSYSBC5H178 | Long             | DBT              | CORP              | NL        |    4900000 | PA      | $5499722.90    | 0.02%             | 2038-01-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                                   | Cellnex Finance Co SA                                                           | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    8300000 | PA      | $9191630.42    | 0.03%             | 2036-01-19      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| NORTEGAS ENERGIA GRUPO S                                                | Nortegas Energia Grupo SL                                                       | CUSIP: 000000000<br>LEI: 959800BV22XY8K22ZD24 | Long             | DBT              | CORP              | ES        |   16700000 | PA      | $18657173.31   | 0.06%             | 2033-01-21      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| VOSSLOH AG                                                              | Vossloh AG                                                                      | CUSIP: 000000000<br>LEI: 5299003HAEOUVX3HWX43 | Long             | DBT              | CORP              | DE        |   18500000 | PA      | $21733271.50   | 0.07%             | 2031-01-23      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| BETCLIC EVEREST GROUP SA                                                | Betclic Everest Group SAS                                                       | CUSIP: 000000000<br>LEI: 96950037FKVH5JOEKU82 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $1137970.17    | 0.00%             | 2031-12-10      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                                                 | Severn Trent Utilities Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |   35100000 | PA      | $39391121.15   | 0.13%             | 2040-01-29      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                                  | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |   11400000 | PA      | $12799608.25   | 0.04%             | 2031-01-29      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FABBRICA ITA SINTETICI                                                  | FIS Fabbrica Italiana Sintetici SpA                                             | CUSIP: 000000000<br>LEI: 8156004D7056C63EC525 | Long             | DBT              | CORP              | IT        |    3800000 | PA      | $4301431.61    | 0.01%             | 2031-02-05      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                            | WP Carey Inc                                                                    | CUSIP: 000000000<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |   14448000 | PA      | $15593229.21   | 0.05%             | 2035-05-10      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ALLWYN ENTERTAINMENT FIN                                                | Allwyn Entertainment Financing UK PLC                                           | CUSIP: 000000000<br>LEI: 315700J7ZTIN8XGCX365 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $443444.85     | 0.00%             | 2031-08-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Marino Park CLO                                                         | Marino Park CLO DAC                                                             | CUSIP: 000000000<br>LEI: 254900WKCYX9LIHA8G67 | Long             | ABS-CBDO         | CORP              | IE        |   13135000 | PA      | $15070127.43   | 0.05%             | 2039-04-16      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| NETWORK FINANCE CO PTY L                                                | Network Finance Co Pty Ltd                                                      | CUSIP: 000000000<br>LEI: 213800XV6ZAOWZ2IIS63 | Long             | DBT              | CORP              | AU        |    6215000 | PA      | $6965786.87    | 0.02%             | 2033-09-05      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                                                 | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13105000 | PA      | $14965192.62   | 0.05%             | 2046-03-11      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| EATON CAPITAL ULC                                                       | Eaton Capital ULC                                                               | CUSIP: 000000000<br>LEI: 549300OLS85LSODKAF64 | Long             | DBT              | CORP              | IE        |   10610000 | PA      | $11999536.47   | 0.04%             | 2034-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| EATON CAPITAL ULC                                                       | Eaton Capital ULC                                                               | CUSIP: 000000000<br>LEI: 549300OLS85LSODKAF64 | Long             | DBT              | CORP              | IE        |   11155000 | PA      | $12733129.72   | 0.04%             | 2038-03-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTH E POWER NETWORKS                                                  | South Eastern Power Networks PLC                                                | CUSIP: 000000000<br>LEI: 213800H7NWVLCWAVKA15 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1142233.31    | 0.00%             | 2038-03-17      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                         | McDonald's Corp                                                                 | CUSIP: 000000000<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   24920000 | PA      | $28122771.50   | 0.09%             | 2038-05-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 000000000<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   31395000 | PA      | $35967849.48   | 0.12%             | 2064-03-16      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NOVONESIS NOVOZYMES B                                                   | Novonesis Novozymes B                                                           | CUSIP: 000000000<br>LEI: 529900T6WNZXD2R3JW38 | Long             | DBT              | CORP              | DK        |   10000000 | PA      | $11408621.91   | 0.04%             | 2037-03-19      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| MAPLE PARENT HLDS CO                                                    | Maple Parent Holdings Corp                                                      | CUSIP: 000000000<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |    8625000 | PA      | $9934941.04    | 0.03%             | 2035-03-26      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| MAPLE PARENT HLDS CO                                                    | Maple Parent Holdings Corp                                                      | CUSIP: 000000000<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |    9980000 | PA      | $11495734.67   | 0.04%             | 2035-03-26      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| DALRYMPLE BAY FIN                                                       | Dalrymple Bay Finance Pty Ltd                                                   | CUSIP: 000000000<br>LEI: 984500CEFBE462C86488 | Long             | DBT              | CORP              | AU        |   19170000 | PA      | $13152248.56   | 0.04%             | 2031-03-24      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| AMPHENOL TECH HLDS GMBH                                                 | Amphenol Technologies Holding GmbH                                              | CUSIP: 000000000<br>LEI: 549300110BRSS7DV8V39 | Long             | DBT              | CORP              | DE        |    1830000 | PA      | $2117613.45    | 0.01%             | 2031-03-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| COCA-COLA HBC FINANCE BV                                                | Coca-Cola HBC Finance BV                                                        | CUSIP: 000000000<br>LEI: 549300BXVNOCYQ83FU09 | Long             | DBT              | CORP              | NL        |   12100000 | PA      | $14067650.26   | 0.05%             | 2033-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SIG COMBIBLOC PURCHASER                                                 | SIG Combibloc PurchaseCo Sarl                                                   | CUSIP: 000000000<br>LEI: 549300Q95MWZB4BXB866 | Long             | DBT              | CORP              | LU        |   11810000 | PA      | $13507329.03   | 0.05%             | 2031-04-07      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BOBL FUTURE JUN26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -1296 | NC      | $2016396.89    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUND FUTURE JUN26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -2961 | NC      | $8356728.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-SCHATZ FUT JUN26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -1075 | NC      | $700591.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUXL 30Y BND JUN26                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -507 | NC      | $873901.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US LONG BOND(CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1006 | NC      | $-3711633.98   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US ULTRA BOND CBT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       7800 | NC      | $-24877086.00  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                     | AUST 10Y BOND FUT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |      -3983 | NC      | $352545.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US 5YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       9905 | NC      | $-13538755.56  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US 2YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      25584 | NC      | $-34440236.64  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                        | LONG GILT FUTURE JUN26                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -542 | NC      | $2717357.19    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US 10YR ULTRA FUT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        184 | NC      | $-430027.69    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                     | AUST 3YR BOND FUT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |      -1153 | NC      | $175248.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                | BDL2CXRV1 FWDP 2Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        | 1568682000 | NC      | $156.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | BDL2CYFJ9 FWDP 5Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  655513000 | NC      | $65.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                    | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    4340000 | PA      | $5377419.12    | 0.02%             | 2041-05-13      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| DK Crown Holdings Inc                                                   | DK Crown Holdings Inc 2025 Term Loan B                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3235717 | PA      | $3236234.92    | 0.01%             | 2032-03-04      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| EagleView Technology Corporation                                        | EagleView Technology Corporation 2025 Term Loan                                 | CUSIP: 000000000<br>LEI: 549300HLIL8HO4PPLG50 | Long             | LON              | CORP              | US        |    7287086 | PA      | $6651761.24    | 0.02%             | 2028-08-14      | Floating      | 10.20%                | No            |                  2 | On Loan: No      |
| GVC Holdings (Gibraltar) Limited                                        | GVC Holdings (Gibraltar) Limited 2025 Term Loan B6 (2029)                       | CUSIP: 000000000<br>LEI: 213800ATWJIEYQ8NF838 | Long             | LON              | CORP              | GI        |    2390389 | PA      | $2392445.14    | 0.01%             | 2029-10-31      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| C&S Wholesale Grocers Inc                                               | C&S Wholesale Grocers Inc Term Loan B                                           | CUSIP: 000000000<br>LEI: 54930093F8X1FEZBGJ91 | Long             | LON              | CORP              | US        |    6697471 | PA      | $6560708.53    | 0.02%             | 2030-09-20      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| MODIVCARE BUYER LLC                                                     | ModivCare Buyer LLC Super Senior Term Loan                                      | CUSIP: 000000000<br>LEI: 254900MKEPTFAS1J2168 | Long             | LON              | CORP              | US        |    5520000 | PA      | $5538409.20    | 0.02%             | 2030-12-29      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| ModivCare Buyer LLC                                                     | ModivCare Buyer LLC Takeback Term Loan                                          | CUSIP: 000000000<br>LEI: 254900MKEPTFAS1J2168 | Long             | LON              | CORP              | US        |    9822976 | PA      | $9233597.00    | 0.03%             | 2032-12-30      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                             | HOLOGIC INC 2026 TERM LOAN B                                                    | CUSIP: 000000000<br>LEI: 9845009E9B4548A5N478 | Long             | LON              | CORP              | US        |    3101338 | PA      | $3068200.36    | 0.01%             | 2033-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BETCLIC EVEREST GROUP                                                   | Betclic Everest Group 2026 EUR Term Loan B                                      | CUSIP: 000000000<br>LEI: 96950037FKVH5JOEKU82 | Long             | LON              | CORP              | FR        |    2889185 | PA      | $3285226.90    | 0.01%             | 2031-12-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SGB SMIT MIDCO GMBH                                                     | SGB SMIT MIDCO GMBH EUR TERM LOAN B                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | DE        |    3992966 | PA      | $4619856.39    | 0.02%             | 2033-03-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRIMO BRANDS CORPORATION                                                | PRIMO BRANDS CORPORATION 2026 TERM LOAN B                                       | CUSIP: 89678QAF3<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    1664443 | PA      | $1669119.89    | 0.01%             | 2031-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                | FSWP: GBP 3.933000 20-MAR-2028 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1019462000 | OU      | $-6773308.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SA                                                      | Cellnex Telecom SA                                                              | CUSIP: 000000000<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |    2400000 | PA      | $2463311.08    | 0.01%             | 2031-11-20      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| U.K. Gilts                                                              | U.K. Gilts                                                                      | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |  161820000 | PA      | $213460204.16  | 0.72%             | 2028-03-07      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Balcan Innovations Inc                                                  | Balcan Innovations Inc Term Loan B                                              | CUSIP: 000000000<br>LEI: 549300C2CLNRVCUDIH93 | Long             | LON              | CORP              | CA        |    3542334 | PA      | $2391075.44    | 0.01%             | 2031-10-18      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Great Canadian Gaming Corporation                                       | Great Canadian Gaming Corporation 2024 Term Loan B                              | CUSIP: 000000000<br>LEI: 549300FU60SSFLTE0M84 | Long             | LON              | CORP              | CA        |    4897814 | PA      | $4834558.48    | 0.02%             | 2029-11-01      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| 1011778 BC Unlimited Liability Company                                  | 1011778 BC Unlimited Liability Company 2024 Term Loan B6                        | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |    2923621 | PA      | $2920711.55    | 0.01%             | 2030-09-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Delivery Hero SE                                                        | Delivery Hero SE 2024 USD Term Loan B                                           | CUSIP: 000000000<br>LEI: 529900KR9IO53KSCSQ67 | Long             | LON              | CORP              | US        |    8050768 | PA      | $7927510.93    | 0.03%             | 2029-12-12      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| DELIVERY HERO SE                                                        | DELIVERY HERO SE 2026 TERM LOAN B                                               | CUSIP: 000000000<br>LEI: 529900KR9IO53KSCSQ67 | Long             | LON              | CORP              | US        |    2821353 | PA      | $2733200.17    | 0.01%             | 2032-06-30      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                          | Opal Bidco SAS USD Term Loan B4                                                 | CUSIP: 000000000<br>LEI: 969500R96XT7XY2UJ564 | Long             | LON              | CORP              | US        |    3224616 | PA      | $3226631.12    | 0.01%             | 2032-04-28      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| CSN ISLANDS XI CORP                                                     | CSN Inova Ventures                                                              | CUSIP: 000000000<br>LEI: 222100R8R68DM7VM3661 | Long             | DBT              | CORP              | KY        |    3512000 | PA      | $2581039.04    | 0.01%             | 2028-01-28      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                                 | Jazz Financing Lux Sarl 2024 1st Lien Term Loan B2                              | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |    3828525 | PA      | $3847667.21    | 0.01%             | 2028-05-05      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                | Virgin Media Bristol LLC 2023 USD Term Loan Y                                   | CUSIP: 000000000<br>LEI: 213800IQ982XX69LE276 | Long             | LON              | CORP              | US        |    6282663 | PA      | $5751934.80    | 0.02%             | 2031-03-31      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Altice Financing SA                                                     | Altice Financing SA 2022 USD Term Loan                                          | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | LON              | CORP              | LU        |    3082595 | PA      | $2245485.33    | 0.01%             | 2027-10-31      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| CSN RESOURCES SA                                                        | CSN Resources SA                                                                | CUSIP: 000000000<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |    7451000 | PA      | $5244982.43    | 0.02%             | 2030-12-05      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Oregon Tool, Inc.                                                       | Oregon Tool Inc 2025 1st Lien Term Loan                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     369195 | PA      | $375655.50     | 0.00%             | 2029-10-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Oregon Tool Inc                                                         | Oregon Tool Inc 2025 2nd Lien Term Loan                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    8996052 | PA      | $6390930.22    | 0.02%             | 2029-10-15      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Flutter Financing BV                                                    | Flutter Financing BV 2024 Term Loan B                                           | CUSIP: 000000000<br>LEI: 635400VFWPBIKJK6GN11 | Long             | LON              | CORP              | NL        |    4617639 | PA      | $4578389.14    | 0.02%             | 2030-11-30      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                                                     | Peer Holding III BV 2025 USD Term Loan B5B                                      | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | NL        |    3864274 | PA      | $3861260.05    | 0.01%             | 2031-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                                                     | Peer Holding III BV 2025 USD Term Loan B                                        | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | US        |    8432656 | PA      | $8370717.99    | 0.03%             | 2032-10-14      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Ziggo Financing Partnership                                             | Ziggo Financing Partnership 2025 Term Loan B                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3568294 | PA      | $3483547.31    | 0.01%             | 2033-01-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                                | Comision Federal de Electricidad                                                | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    3368000 | PA      | $3014528.40    | 0.01%             | 2031-02-09      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CODELCO INC                                                             | Corp Nacional del Cobre de Chile                                                | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    8908000 | PA      | $8820968.84    | 0.03%             | 2033-02-02      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                                   | Guatemala Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    5853000 | PA      | $6145825.59    | 0.02%             | 2036-06-13      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                                   | Guatemala Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |   25291000 | PA      | $25820087.72   | 0.09%             | 2036-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-24

**Name of Applicant:** TCW Metropolitan West Funds

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer