# EDGAR Filing Document

**Accession Number:** 0001681576
**File Stem:** 0001099263-25-001840
**Filing Date:** 2025-10
**Character Count:** 668088
**Document Hash:** f287d9b82c7413fb6150bf8bf5c4c154
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-001840.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0001099263-25-001840

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20260531

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23180
- **FILM NUMBER:** 251424324

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

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

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

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

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

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

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-08-31

**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:** $681323906.72

**Total Liabilities:** $19451097.05

**Net Assets:** $661872809.67

**Delayed Delivery Securities:** $200000.00

**Stand-by Commitments:** $3973015.30

**Cash Not Reported:** $1961911.92

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -506.582988 | **1-Year:** -18203.056979 | **5-Year:** -78171.317689 | **10-Year:** -60792.684645 | **30-Year:** -12875.632544

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

- **3-Month:** -478.018635 | **1-Year:** -1275.574784 | **5-Year:** -30316.552761 | **10-Year:** -7644.591330 | **30-Year:** -2929.980070

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000174964 | 1.61%                | -0.15%               | 1.18%                |
| Class ID C000174965 | 1.59%                | -0.06%               | 1.03%                |
| Class ID C000174966 | 1.62%                | -0.02%               | 1.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-697803.09              | $8287704.36                                |
| Month 2  | $-5122406.68             | $1971855.98                                |
| Month 3  | $527112.76               | $3907628.42                                |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                            | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                             | 10YR MINI JGB FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |         1 | NC      | $-489.58      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | 10YR MINI JGB FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |         8 | NC      | $-3916.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | 10YR MINI JGB FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |         5 | NC      | $-2447.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| 1261229 BC Ltd                                                                  | 1261229 BC LTD                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    530000 | PA      | $549875.00    | 0.08%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd                                                                  | 1261229 BC LTD                                                                  | CUSIP: 91911K9L8<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    535000 | PA      | $527124.80    | 0.08%             | 2030-10-08      | Floating      | 10.57%                | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd                                                       | AADVANTAGE LOYALTY IP LTD                                                       | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    431018 | PA      | $429470.48    | 0.06%             | 2028-04-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | ACRISURE INC SEC A-2 CVT PFD STK PP                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     20764 | NS      | $499997.12    | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Acrisure LLC                                                                    | ACRISURE LLC                                                                    | CUSIP: 00488PAX3<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |    265000 | PA      | $264586.60    | 0.04%             | 2032-06-05      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance Inc                                             | ACRISURE LLC / ACRISURE FINANCE INC                                             | CUSIP: 00489LAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $225750.00    | 0.03%             | 2029-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Advance Auto Parts Inc                                                          | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |    225000 | PA      | $230690.25    | 0.03%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Advance Auto Parts Inc                                                          | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |    225000 | PA      | $230607.23    | 0.03%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| AES Andes SA                                                                    | AES ANDES SA                                                                    | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    650000 | PA      | $673663.25    | 0.10%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AES Corp/The                                                                    | AES CORP/THE                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $1045514.96   | 0.16%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                             | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $563114.33    | 0.09%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                             | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590000 | PA      | $593913.18    | 0.09%             | 2033-07-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Aggreko Holdings Inc                                                            | AGGREKO HOLDINGS INC                                                            | CUSIP: 01330EAD0<br>LEI: 213800VFJ5CIN2NUQ821 | Long             | LON              | CORP              | US        |    348563 | PA      | $349326.26    | 0.05%             | 2031-05-01      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | AH PARENT,INC. SER A PREFERRED SHARES PP                                        | CUSIP: TC3I9NQ04<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1310 | NS      | $1311519.60   | 0.20%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Albion Financing 1 SARL / Aggreko Holdings Inc                                  | ALBION FINANCING 1 SARL / AGGREKO HOLDINGS INC                                  | CUSIP: 01330AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    200000 | PA      | $206500.00    | 0.03%             | 2030-05-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Aldar Properties PJSC                                                           | ALDAR PROPERTIES PJSC                                                           | CUSIP: YS4097384<br>LEI: 98450048CD8AEF13B480 | Long             | DBT              | CORP              | AE        |    640000 | PA      | $668486.31    | 0.10%             | 2055-04-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Alen 2021-ACEN Mortgage Trust                                                   | ALEN 2021-ACEN MORTGAGE TRUST                                                   | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $659600.00    | 0.10%             | 2034-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Alera Group Inc                                                                 | ALERA GROUP INC                                                                 | CUSIP: 01451PAD8<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |    980000 | PA      | $1014300.00   | 0.15%             | 2033-05-30      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| Alera Group Inc                                                                 | ALERA GROUP INC                                                                 | CUSIP: 01451PAB2<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |    175000 | PA      | $175616.00    | 0.03%             | 2032-05-30      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    155000 | PA      | $153470.15    | 0.02%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC                                               | ALLIANT HOLDINGS INTERMEDI                                                      | CUSIP: 01881UAN5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |    981771 | PA      | $979375.36    | 0.15%             | 2031-09-19      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    322000 | PA      | $332867.50    | 0.05%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                                     | ALLIED UNIVERSAL HOLDCO LLC                                                     | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    324000 | PA      | $339795.00    | 0.05%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-A                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                                | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141250 | PA      | $143150.09    | 0.02%             | 2032-05-17      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-A                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                                | CUSIP: 02007GZ55<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141250 | PA      | $143412.09    | 0.02%             | 2032-05-17      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-B                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171441 | PA      | $172136.42    | 0.03%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-B                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171441 | PA      | $172873.89    | 0.03%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                                              | ALLY FINANCIAL INC                                                              | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    615000 | PA      | $663834.69    | 0.10%             | 2030-01-03      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                                            | ALPHA GENERATION LLC                                                            | CUSIP: 000000000<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    193534 | PA      | $193131.69    | 0.03%             | 2031-09-30      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                                            | ALPHA GENERATION LLC                                                            | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |    290000 | PA      | $298337.50    | 0.05%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Altice France SA                                                                | ALTICE FRANCE SA                                                                | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $171000.00    | 0.03%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America Inc                                               | AMCOR FLEXIBLES NORTH AMERICA INC                                               | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306866.40    | 0.05%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| American Express Co                                                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    290000 | PA      | $293417.07    | 0.04%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Americredit Automobile Receivables Trust 2023-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1                                 | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $438345.61    | 0.07%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                                                           | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    245000 | PA      | $248091.17    | 0.04%             | 2028-04-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                                                           | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    285000 | PA      | $289807.95    | 0.04%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables X LLC                                        | AMUR EQUIPMENT FINANCE RECEIVABLES X LLC                                        | CUSIP: 03236VAE1<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |   2520000 | PA      | $2512793.30   | 0.38%             | 2028-08-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIII LLC                                     | AMUR EQUIPMENT FINANCE RECEIVABLES XIII LLC                                     | CUSIP: 03237CAC6<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |    835000 | PA      | $853139.37    | 0.13%             | 2031-01-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-5                                                 | ANGEL OAK MORTGAGE TRUST 2020-5                                                 | CUSIP: 03464WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $230220.08    | 0.03%             | 2065-05-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-6                                                 | ANGEL OAK MORTGAGE TRUST 2020-6                                                 | CUSIP: 03465AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $423970.92    | 0.06%             | 2065-05-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2022-6                                                 | ANGEL OAK MORTGAGE TRUST 2022-6                                                 | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490877 | PA      | $1487673.18   | 0.22%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2025-3                                                 | ANGEL OAK MORTGAGE TRUST 2025-3                                                 | CUSIP: 03466RAA9<br>LEI: 254900U85BAJNPG0MG65 | Long             | ABS-MBS          | CORP              | US        |    158153 | PA      | $159159.11    | 0.02%             | 2070-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | AP GRANGE HOLDINGS PP                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $693350.00    | 0.10%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    175000 | PA      | $175292.78    | 0.03%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    350000 | PA      | $340631.90    | 0.05%             | 2044-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXVII                                                               | APIDOS CLO XXXVII                                                               | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |    525000 | PA      | $525518.71    | 0.08%             | 2034-10-22      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 000000000<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |    752668 | PA      | $751351.29    | 0.11%             | 2031-02-24      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBC4<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |   1261052 | PA      | $1290055.89   | 0.19%             | 2032-02-23      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp                                                                   | APPLOVIN CORP                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    220000 | PA      | $226186.84    | 0.03%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Ares Strategic Income Fund                                                      | ARES STRATEGIC INCOME FUND                                                      | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175903.88    | 0.03%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Arsenal AIC Parent LLC                                                          | ARSENAL AIC PARENT LLC                                                          | CUSIP: 04287KAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    336774 | PA      | $336669.43    | 0.05%             | 2030-08-18      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Arsenal AIC Parent LLC                                                          | ARSENAL AIC PARENT LLC                                                          | CUSIP: 04288BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $328187.50    | 0.05%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                             | ASCEND LEARNING LLC                                                             | CUSIP: 04349HAN4<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |    251633 | PA      | $251396.25    | 0.04%             | 2028-12-11      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                             | ASCEND LEARNING LLC                                                             | CUSIP: 04349HAM6<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |    395865 | PA      | $395469.56    | 0.06%             | 2029-12-10      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| Aspen Insurance Holdings Ltd                                                    | ASPEN INSURANCE HOLDINGS LTD                                                    | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |    305000 | PA      | $316879.15    | 0.05%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    175000 | PA      | $172900.00    | 0.03%             | 2030-09-19      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    190000 | PA      | $189732.10    | 0.03%             | 2028-08-19      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    774046 | PA      | $752032.60    | 0.11%             | 2028-01-31      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    693357 | PA      | $656845.03    | 0.10%             | 2029-01-20      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                          | ATHENAHEALTH GROUP INC                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    406462 | PA      | $406038.88    | 0.06%             | 2029-02-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                          | ATHENAHEALTH GROUP INC                                                          | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    265000 | PA      | $259368.75    | 0.04%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | AUD/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | AU        |         1 | NC      | $274.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | AUD/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | AU        |         1 | NC      | $13.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Autokiniton US Holdings Inc                                                     | AUTOKINITON US HOLDINGS                                                         | CUSIP: 05278HAC0<br>LEI: 254900EHNKMJ1OSEZL85 | Long             | LON              | CORP              | US        |     25000 | PA      | $24364.50     | 0.00%             | 2028-04-06      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Autostrade per l Italia SpA                                                     | AUTOSTRADE PER L'ITALIA SPA                                                     | CUSIP: BN4840177<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |   1030000 | PA      | $1152639.88   | 0.17%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding 2024-1 LLC                                                | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $418290.94    | 0.06%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Avalara Inc                                                                     | AVALARA INC                                                                     | CUSIP: 05338G9A6<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |    475000 | PA      | $477641.00    | 0.07%             | 2032-03-26      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc                            | AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE INC                            | CUSIP: 053773BJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $196887.50    | 0.03%             | 2030-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RFX7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $120478.64    | 0.02%             | 2027-04-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RGN8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100769.66    | 0.02%             | 2027-10-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $421258.03    | 0.06%             | 2030-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKG8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $246673.25    | 0.04%             | 2027-10-20      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKH6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141337.69    | 0.02%             | 2028-02-20      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| Axian Telecom Holding & Management PLC                                          | AXIAN TELECOM HOLDING & MANAGEMENT PLC                                          | CUSIP: 05465QAA7<br>LEI: 984500B7DCD97EB04857 | Long             | DBT              | CORP              | AE        |    320000 | PA      | $321190.59    | 0.05%             | 2030-07-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Axon Enterprise Inc                                                             | AXON ENTERPRISE INC                                                             | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    210000 | PA      | $215512.50    | 0.03%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Axon Enterprise Inc                                                             | AXON ENTERPRISE INC                                                             | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    300000 | PA      | $309375.00    | 0.05%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO 2022-3 Ltd                                              | BAIN CAPITAL CREDIT CLO 2022-3 LTD                                              | CUSIP: 05684NAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    915000 | PA      | $914935.82    | 0.14%             | 2035-07-17      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                 | BANK 2019-BNK21                                                                 | CUSIP: 06540BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036000 | PA      | $764536.09    | 0.12%             | 2052-10-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    614000 | PA      | $634449.27    | 0.10%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    680000 | PA      | $683720.28    | 0.10%             | 2035-10-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    935000 | PA      | $962957.44    | 0.15%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Barbados Government International Bond                                          | BARBADOS GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 067070AK8<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |    200000 | PA      | $201543.00    | 0.03%             | 2035-06-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EDE2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198938.80    | 0.03%             | 2046-08-11      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    625000 | PA      | $644751.88    | 0.10%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Barings Clo Ltd 2021-III                                                        | BARINGS CLO LTD 2021-III                                                        | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |   1330000 | PA      | $1330658.03   | 0.20%             | 2035-01-18      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    470000 | PA      | $482090.28    | 0.07%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                           | BATH & BODY WORKS INC                                                           | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    160000 | PA      | $163200.00    | 0.02%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                           | BATH & BODY WORKS INC                                                           | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    105000 | PA      | $107625.00    | 0.02%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XII Ltd                                                           | BATTALION CLO XII LTD                                                           | CUSIP: 07133RBA2<br>LEI: 549300JIE0P78OIZGS60 | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $660308.27    | 0.10%             | 2031-05-17      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Battalion Clo XV Ltd                                                            | BATTALION CLO XV LTD                                                            | CUSIP: 07131AAT1<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |    635000 | PA      | $635263.85    | 0.10%             | 2033-01-17      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp                                                              | BAUSCH + LOMB CORP                                                              | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    782339 | PA      | $782479.56    | 0.12%             | 2031-01-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                            | BAYER US FINANCE LLC                                                            | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1622815.47   | 0.25%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Bayer US Finance LLC                                                            | BAYER US FINANCE LLC                                                            | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    390000 | PA      | $418735.20    | 0.06%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | BAYVIEW FINANCING TRUST 2024-2F A                                               | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    306202 | PA      | $307717.64    | 0.05%             | 2029-11-01      | Variable      | 7.07%                 | Yes           |                  3 | On Loan: No      |
| Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    212418 | PA      | $213324.66    | 0.03%             | 2031-12-26      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    122079 | PA      | $122534.38    | 0.02%             | 2031-12-26      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY Mortgage Trust                                                  | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $5478.65      | 0.00%             | 2034-11-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| BCPE Pequod Buyer Inc                                                           | BCPE PEQUOD BUYER INC                                                           | CUSIP: 05624AAB8<br>LEI: 254900HEEOS2IWC84V94 | Long             | LON              | CORP              | US        |    319200 | PA      | $319484.09    | 0.05%             | 2031-11-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Bellemeade Re 2022-1 Ltd                                                        | BELLEMEADE RE 2022-1 LTD                                                        | CUSIP: 078774AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    306918 | PA      | $307520.99    | 0.05%             | 2032-01-26      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXIII Ltd                                           | BENEFIT STREET PARTNERS CLO XXIII LTD                                           | CUSIP: 08186VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249298.35    | 0.04%             | 2034-04-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA Inc                                                          | BIMBO BAKERIES USA INC                                                          | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    595000 | PA      | $624616.13    | 0.09%             | 2029-01-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2022-INV1                                            | BINOM SECURITIZATION TRUST 2022-INV1                                            | CUSIP: 090975AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384669 | PA      | $372754.76    | 0.06%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Blackstone Property Partners Europe Holdings Sarl                               | BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | CUSIP: ZR4791987<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |    655000 | PA      | $730414.72    | 0.11%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    204000 | PA      | $145363.06    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1448962.68   | 0.22%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |      2848 | NS      | $211948.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Bon Secours Mercy Health Inc                                                    | BON SECOURS MERCY HEALTH INC                                                    | CUSIP: 09778PAA3<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |    230000 | PA      | $222941.53    | 0.03%             | 2030-06-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Boots Group Finco LP                                                            | BOOTS GROUP FINCO LP                                                            | CUSIP: 000000000<br>LEI: 254900YVLYOVF1PF1N93 | Long             | LON              | CORP              | US        |     90000 | PA      | $90187.20     | 0.01%             | 2032-07-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton Inc                                                         | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    640000 | PA      | $658343.68    | 0.10%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Boston Gas Co                                                                   | BOSTON GAS CO                                                                   | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    365000 | PA      | $361565.35    | 0.05%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BPR Trust 2021-TY                                                               | BPR TRUST 2021-TY                                                               | CUSIP: 05592AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $633416.44    | 0.10%             | 2038-09-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Brazilian Government International Bond                                         | BRAZILIAN GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: 105756CM0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1640000 | PA      | $1674522.00   | 0.25%             | 2030-11-06      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brazos Delaware II LLC                                                          | BRAZOS DELAWARE II LLC                                                          | CUSIP: 10620UAL6<br>LEI: 549300V1BTYXZRGYUU04 | Long             | LON              | CORP              | US        |    282008 | PA      | $282095.40    | 0.04%             | 2030-02-11      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    145000 | PA      | $147941.18    | 0.02%             | 2032-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | BRL/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $32302.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | BRL/USD FWD 20250903 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $48553.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | BRL/USD FWD 20250903 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $21997.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | BRL/USD FWD 20251202 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $24291.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trust 2021-DC                                         | BSREP 2021-DC C                                                                 | CUSIP: 05591UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778838 | PA      | $654387.16    | 0.10%             | 2038-08-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Bulgaria Government International Bond                                          | BULGARIA GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: YO0398140<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    840000 | PA      | $993632.42    | 0.15%             | 2038-05-07      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-GPA3                                          | BX COMMERCIAL MORTGAGE TRUST 2024-GPA3                                          | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518081 | PA      | $519538.46    | 0.08%             | 2039-12-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-MDHS                                          | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646353 | PA      | $647968.77    | 0.10%             | 2041-05-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-MDHS                                          | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646353 | PA      | $647968.77    | 0.10%             | 2041-05-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-VIEW                                                              | BX TRUST 2021-VIEW                                                              | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195000 | PA      | $1167745.16   | 0.18%             | 2036-06-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| BX Trust 2025-TAIL                                                              | BX TRUST 2025-TAIL                                                              | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $225281.25    | 0.03%             | 2035-06-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Cable One Inc                                                                   | CABLE ONE INC                                                                   | CUSIP: 12685JAE5<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |    205000 | PA      | $199206.50    | 0.03%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CAD/USD FWD 20250902 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $207.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CAD/USD FWD 20251001 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-207.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | CAD/USD FWD 20251024 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $11512.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NEW YORK MELLON                                                     | CAD/USD FWD 20251024 IRVTGB2X                                                   | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $45273.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                                                     | CAD/USD FWD 20251024 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-47172.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                       | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    248471 | PA      | $247539.19    | 0.04%             | 2031-02-06      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                       | CAESARS ENTERTAINMENT INC                                                       | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    185000 | PA      | $191243.75    | 0.03%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    325000 | PA      | $328807.38    | 0.05%             | 2031-07-03      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $631285.80    | 0.10%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    540000 | PA      | $543865.86    | 0.08%             | 2036-07-03      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE 10 YEAR CANADIAN BOND FUTURE                                  | CAN 10YR BOND FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |        14 | NC      | $4974.21      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE 5 YEAR CANADIAN BOND FUTURE                                   | CAN 5YR BOND FUT  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |       -32 | NC      | $-7503.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Carmax Auto Owner Trust 2022-2                                                  | CARMAX AUTO OWNER TRUST 2022-2                                                  | CUSIP: 14317HAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1605000 | PA      | $1601454.07   | 0.24%             | 2027-12-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2023-3                                                  | CARMAX AUTO OWNER TRUST 2023-3                                                  | CUSIP: 14319BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $490341.50    | 0.07%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2024-1                                                  | CARMAX AUTO OWNER TRUST 2024-1                                                  | CUSIP: 14318WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515000 | PA      | $525879.58    | 0.08%             | 2029-08-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2024-2                                                  | CARMAX AUTO OWNER TRUST 2024-2                                                  | CUSIP: 14319EAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1190000 | PA      | $1237470.17   | 0.19%             | 2030-10-15      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2024-3                                                  | CARMAX AUTO OWNER TRUST 2024-3                                                  | CUSIP: 14319GAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $220360.60    | 0.03%             | 2031-01-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust 2024-A                                          | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $233723.42    | 0.04%             | 2030-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust 2024-A                                          | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970000 | PA      | $992017.06    | 0.15%             | 2030-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Carpenter Technology Corp                                                       | CARPENTER TECHNOLOGY CORP                                                       | CUSIP: 144285AM5<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |    195000 | PA      | $200850.00    | 0.03%             | 2030-03-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2021-P1                                          | CARVANA AUTO RECEIVABLES TRUST 2021-P1                                          | CUSIP: 14687BAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $516103.51    | 0.08%             | 2027-12-10      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                          | CUSIP: 14686GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428614 | PA      | $424917.42    | 0.06%             | 2028-12-11      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-P1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                          | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210000 | PA      | $1186441.42   | 0.18%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $881808.59    | 0.13%             | 2030-05-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $333884.46    | 0.05%             | 2030-05-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N2                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                          | CUSIP: 14687VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $459190.80    | 0.07%             | 2030-09-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N2                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                          | CUSIP: 14687VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $355523.98    | 0.05%             | 2030-09-10      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Carvana Co                                                                      | CARVANA CO                                                                      | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    266304 | PA      | $300494.18    | 0.05%             | 2031-06-01      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| CBRE Services Inc                                                               | CBRE SERVICES INC                                                               | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    315000 | PA      | $319683.42    | 0.05%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $316393.75    | 0.05%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $388593.75    | 0.06%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $230625.00    | 0.03%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                                      | CD 2017-CD6 MORTGAGE TRUST                                                      | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $504549.67    | 0.08%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CDX IG S44 PAY 60 10/15/2025 CHAS                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $101758.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CDX IG S44 PAY 70 10/15/2025 CHAS                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-49818.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    505000 | PA      | $520150.00    | 0.08%             | 2032-07-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Cellnex Finance Co SA                                                           | CELLNEX FINANCE CO SA                                                           | CUSIP: BR3179453<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    900000 | PA      | $950346.04    | 0.14%             | 2032-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cellnex Finance Co SA                                                           | CELLNEX FINANCE CO SA                                                           | CUSIP: BN9906411<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $416540.56    | 0.06%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENT 2025-CITY                                                                  | CENT 2025-CITY                                                                  | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755000 | PA      | $764939.20    | 0.12%             | 2040-07-10      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1397000 | PA      | $1336136.90   | 0.20%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $201515.33    | 0.03%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Next Generation Inc                                                     | CHARTER NEXT GENERATION                                                         | CUSIP: 16125TAM4<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |    988694 | PA      | $992539.89    | 0.15%             | 2030-11-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes Series 2025-1                                    | CHASE AUTO CREDIT LINKED NOTES SERIES 2025-1                                    | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555844 | PA      | $559386.97    | 0.08%             | 2033-02-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust 2024-RPL4                                     | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                                     | CUSIP: 16160NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97822 | PA      | $87144.50     | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Chenango Park CLO Ltd                                                           | CHENANGO PARK CLO LTD                                                           | CUSIP: 16409TAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1085000 | PA      | $1085956.73   | 0.16%             | 2030-04-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CHF/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CH        |         1 | NC      | $544.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | CHF/USD FWD 20250903 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | CH        |         1 | NC      | $-898.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CHF/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CH        |         1 | NC      | $2.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chile Electricity Lux Mpc II Sarl                                               | CHILE ELECTRICITY LUX MPC II SARL                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    283476 | PA      | $286764.78    | 0.04%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CHPE LLC SR SECURED NOTE PP                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $200000.00    | 0.03%             | 2035-09-30      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                | CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    450000 | PA      | $474750.00    | 0.07%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CIFC Funding 2013-IV Ltd                                                        | CIFC FUNDING 2013-IV LTD                                                        | CUSIP: 12549FCA5<br>LEI: 549300QSQ98IRWUWDV20 | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $920848.01    | 0.14%             | 2031-04-27      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2016-I Ltd                                                         | CIFC FUNDING 2016-I LTD                                                         | CUSIP: 17180TBS0<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |    735000 | PA      | $721487.39    | 0.11%             | 2031-10-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    970000 | PA      | $986294.06    | 0.15%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    395000 | PA      | $406508.33    | 0.06%             | 2036-01-24      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                               | CITIGROUP MORTGAGE LOAN TRUST INC                                               | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    924106 | PA      | $800289.92    | 0.12%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Civitas Resources Inc                                                           | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    175000 | PA      | $181343.75    | 0.03%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Civitas Resources Inc                                                           | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    425000 | PA      | $448375.00    | 0.07%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                               | CLARIOS GLOBAL LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |    465000 | PA      | $465000.00    | 0.07%             | 2032-01-28      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP / Clarios US Finance Co                                       | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $216825.00    | 0.03%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Clarus Capital Funding 2024-1 LLC                                               | CLARUS CAPITAL FUNDING 2024-1 LLC                                               | CUSIP: 18271JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $270576.96    | 0.04%             | 2032-08-20      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    205000 | PA      | $198850.00    | 0.03%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAH9<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96543.75     | 0.01%             | 2033-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAD8<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    199000 | PA      | $186562.50    | 0.03%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |       750 | NS      | $930.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |    546150 | PA      | $546013.49    | 0.08%             | 2028-08-21      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116437.50    | 0.02%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GROUP INC                                                        | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    155000 | PA      | $165850.00    | 0.03%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GROUP INC                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    750000 | PA      | $779062.50    | 0.12%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    277627 | PA      | $278263.21    | 0.04%             | 2031-03-21      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBL3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    490000 | PA      | $490695.80    | 0.07%             | 2032-08-13      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CLP/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CL        |         1 | NC      | $-7.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                             | CLP/USD FWD 20251107 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CL        |         1 | NC      | $10376.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | CMBX BBB- CDSI S17 12/15/2056                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-476118.06   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 4/24/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-194802.66   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 4/30/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-10780.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 5/16/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1020698.74  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME-USD IRS 7/2/35 PAY FIX GSIL_C                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-18660.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMG Media Corp                                                                  | CMG MEDIA CORP                                                                  | CUSIP: 125773AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395000 | PA      | $366856.25    | 0.06%             | 2029-06-18      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CNH/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CN        |         1 | NC      | $26.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | CNH/USD FWD 20250903 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | CN        |         1 | NC      | $-18268.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CNH/USD FWD 20251010 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CN        |         1 | NC      | $-27.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cogentrix Finance Holdco I LLC                                                  | COGENTRIX FINANCE HOLDCO                                                        | CUSIP: 19239LAC0<br>LEI: 254900V51P55ABN4UU67 | Long             | LON              | CORP              | US        |    266512 | PA      | $267122.19    | 0.04%             | 2032-02-26      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Cologix Canadian Issuer LP                                                      | COLOGIX CANADIAN ISSUER LP                                                      | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   1460000 | PA      | $1043809.37   | 0.16%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                                                 | COLT 2020-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 12597QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $154452.45    | 0.02%             | 2065-04-27      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 Mortgage Loan Trust                                                 | COLT 2021-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 19688FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2220000 | PA      | $1501367.57   | 0.23%             | 2066-09-27      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| COLT 2021-5 Mortgage Loan Trust                                                 | COLT 2021-5 MORTGAGE LOAN TRUST                                                 | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949435 | PA      | $858454.07    | 0.13%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| COLT 2025-8 Mortgage Loan Trust                                                 | COLT 2025-8 MORTGAGE LOAN TRUST                                                 | CUSIP: 19689DAA7<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $730652.75    | 0.11%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC23 Mortgage Trust                                                   | COMM 2015-LC23 MORTGAGE TRUST                                                   | CUSIP: 12636FBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239816 | PA      | $239371.80    | 0.04%             | 2048-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 Mortgage Trust                                                   | COMM 2016-CR28 MORTGAGE TRUST                                                   | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162823 | PA      | $161818.73    | 0.02%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 Mortgage Trust                                                   | COMM 2016-CR28 MORTGAGE TRUST                                                   | CUSIP: 12593YBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1103768.41   | 0.17%             | 2049-02-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                             | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     56000 | PA      | $51769.54     | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3M7<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     55029 | PA      | $51056.94     | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3L9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     64116 | PA      | $61417.00     | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3G0<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     78721 | PA      | $81396.22     | 0.01%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3N5<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     74817 | PA      | $65069.35     | 0.01%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   3068285 | PA      | $1925349.06   | 0.29%             | 2043-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3K1<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     71329 | PA      | $69729.90     | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3H8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     77444 | PA      | $82499.62     | 0.01%             | 2029-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3R6<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     91794 | PA      | $64171.81     | 0.01%             | 2033-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Comstock Resources Inc                                                          | COMSTOCK RESOURCES INC                                                          | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    270000 | PA      | $265612.50    | 0.04%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                                              | CONAGRA BRANDS INC                                                              | CUSIP: 205887CL4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    470000 | PA      | $472201.95    | 0.07%             | 2035-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| CONE Trust 2024-DFW1                                                            | CONE TRUST 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $674578.19    | 0.10%             | 2041-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Connect Finco SARL                                                              | CONNECT FINCO SARL                                                              | CUSIP: 4576399B0<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |    202191 | PA      | $199285.79    | 0.03%             | 2029-09-27      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Connect Finco SARL / Connect US Finco LLC                                       | CONNECT FINCO SARL / CONNECT US FINCO LLC                                       | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    290000 | PA      | $301962.50    | 0.05%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Series 2025-R01                                   | CONNECTICUT AVENUE SECURITIES SERIES 2025-R01                                   | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325928 | PA      | $326133.08    | 0.05%             | 2045-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2025-R02                                    | CONNECTICUT AVENUE SECURITIES TRUST 2025-R02                                    | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829310 | PA      | $830137.36    | 0.13%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2025-R05                                    | CONNECTICUT AVENUE SECURITIES TRUST 2025-R05                                    | CUSIP: 20753CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426191 | PA      | $427300.36    | 0.06%             | 2045-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co                                                               | CONOCOPHILLIPS CO                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    426000 | PA      | $401986.81    | 0.06%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co                                                               | CONOCOPHILLIPS CO                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    215000 | PA      | $201662.05    | 0.03%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                                        | CONSTELLATION BRANDS INC                                                        | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106646.72    | 0.02%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Continental Resources Inc/OK                                                    | CONTINENTAL RESOURCES INC/OK                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    335000 | PA      | $263058.75    | 0.04%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| JP MORGAN CHASE BANK                                                            | COP/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $82.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                             | COP/USD FWD 20250903 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $16121.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | COP/USD FWD 20250903 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $-261.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                                                     | COP/USD FWD 20250905 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $5399.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | COP/USD FWD 20250905 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $-4003.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | COP/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $30.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | COP/USD FWD 20251002 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $289.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cornerstone Generation LLC                                                      | CORNERSTONE GENERATION L                                                        | CUSIP: 21924NAB4<br>LEI: 254900JBGAU2N55LVN75 | Long             | LON              | CORP              | US        |    485000 | PA      | $487910.00    | 0.07%             | 2032-08-11      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc                                                              | COTERRA ENERGY INC                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224784.45    | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CPM Holdings Inc                                                                | CPM HOLDINGS INC                                                                | CUSIP: 12620BAR1<br>LEI: 549300FBUISJCXV8IB65 | Long             | LON              | CORP              | US        |    199494 | PA      | $194671.91    | 0.03%             | 2028-09-28      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| CRC Insurance Group LLC                                                         | CRC INSURANCE GROUP LLC                                                         | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    330444 | PA      | $330443.55    | 0.05%             | 2031-05-06      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| CRC Insurance Group LLC                                                         | CRC INSURANCE GROUP LLC                                                         | CUSIP: 89788VAE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    649737 | PA      | $662731.58    | 0.10%             | 2032-05-06      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                     | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    457000 | PA      | $445003.75    | 0.07%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                     | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAD5<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189050.00    | 0.03%             | 2032-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Cross 2024-H2 Mortgage Trust                                                    | CROSS 2024-H2 MORTGAGE TRUST                                                    | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75413 | PA      | $76152.00     | 0.01%             | 2069-04-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Cross 2024-H6 Mortgage Trust                                                    | CROSS 2024-H6 MORTGAGE TRUST                                                    | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890011 | PA      | $889232.58    | 0.13%             | 2069-09-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Cross 2025-H4 Mortgage Trust                                                    | CROSS 2025-H4 MORTGAGE TRUST                                                    | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2666817 | PA      | $2691658.07   | 0.41%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Cross 2025-H5 Mortgage Trust                                                    | CROSS 2025-H5 MORTGAGE TRUST                                                    | CUSIP: 227920AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435174 | PA      | $438697.77    | 0.07%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO 7 Ltd                                                           | CROWN POINT CLO 7 LTD                                                           | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    495934 | PA      | $495975.36    | 0.07%             | 2031-10-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 Commercial Mortgage Trust                                         | CSAIL 2016-C6 COMMERCIAL MORTGAGE TRUST                                         | CUSIP: 12636MAE8<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $212798.81    | 0.03%             | 2049-01-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C18 Commercial Mortgage Trust                                        | CSAIL 2019-C18 COMMERCIAL MORTGAGE TRUST                                        | CUSIP: 12597DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $583064.58    | 0.09%             | 2052-12-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 64072UAM4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |    476307 | PA      | $474444.88    | 0.07%             | 2028-01-18      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199500.00    | 0.03%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |    546439 | PA      | $533565.38    | 0.08%             | 2027-04-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183000.00    | 0.03%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    230000 | PA      | $221375.00    | 0.03%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    452000 | PA      | $456679.56    | 0.07%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650DV9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    725000 | PA      | $664316.78    | 0.10%             | 2053-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    335000 | PA      | $347386.29    | 0.05%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                                              | CYRUSONE DATA CENTERS ISSUER I LLC                                              | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1252108.52   | 0.19%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CZK/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CZ        |         1 | NC      | $2199.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CZK/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CZ        |         1 | NC      | $-2242.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2                                     | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                     | CUSIP: 24381WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089578 | PA      | $972164.02    | 0.15%             | 2066-04-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-1                                             | DELL EQUIPMENT FINANCE TRUST 2024-1                                             | CUSIP: 24702GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $178350.69    | 0.03%             | 2030-09-23      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-2                                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100832.79    | 0.02%             | 2030-08-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-2                                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $211938.38    | 0.03%             | 2031-02-24      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Delta 2 Lux Sarl                                                                | DELTA 2 LUX SARL                                                                | CUSIP: 3469959L9<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |    200000 | PA      | $199834.00    | 0.03%             | 2031-09-10      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Delta Topco Inc                                                                 | DELTA TOPCO INC                                                                 | CUSIP: 24780DAH0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    524352 | PA      | $523041.07    | 0.08%             | 2030-11-29      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    653000 | PA      | $658817.58    | 0.10%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    728000 | PA      | $677529.94    | 0.10%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC                                                           | DIRECTV FINANCING LLC                                                           | CUSIP: 25461LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $163968.75    | 0.02%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC                                                           | DIRECTV FINANCING LLC                                                           | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     20000 | PA      | $19440.00     | 0.00%             | 2031-02-18      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc                        | DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                        | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $228275.00    | 0.03%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Disco Parent Inc                                                                | DISCO PARENT INC                                                                | CUSIP: 25461GAB9<br>LEI: 2549003DLSZ9JWHH1Q80 | Long             | LON              | CORP              | US        |    205000 | PA      | $206025.00    | 0.03%             | 2032-08-01      | Floating      | 7.48%                 | No            |                  3 | On Loan: No      |
| DISH DBS Corp                                                                   | DISH DBS CORP                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $402550.00    | 0.06%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                   | DISH DBS CORP                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $282000.00    | 0.04%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                   | DISH DBS CORP                                                                   | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    122000 | PA      | $110105.00    | 0.02%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DISH Network Corp                                                               | DISH NETWORK CORP                                                               | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     80000 | PA      | $84400.00     | 0.01%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| DLLST 2024-1 LLC                                                                | DLLST 2024-1 LLC                                                                | CUSIP: 23346HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $217245.31    | 0.03%             | 2030-04-22      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Dryden 93 CLO Ltd                                                               | DRYDEN 93 CLO LTD                                                               | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1102227.13   | 0.17%             | 2038-01-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Dye & Durham Ltd                                                                | DYE & DURHAM LTD                                                                | CUSIP: 267486AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    110000 | PA      | $114950.00    | 0.02%             | 2029-04-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                                                        | EAGLE FUNDING LUXCO SARL                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    690000 | PA      | $700591.50    | 0.11%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp                                                                   | ECHOSTAR CORP                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    730000 | PA      | $785662.50    | 0.12%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Edgewater Generation LLC                                                        | EDGEWATER GENERATION LLC                                                        | CUSIP: 28031FAM2<br>LEI: 5493004PLDT1L28SWG83 | Long             | LON              | CORP              | US        |    467682 | PA      | $468654.67    | 0.07%             | 2030-08-01      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| EFMT 2023-1                                                                     | EFMT 2023-1                                                                     | CUSIP: 26844QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342200 | PA      | $341899.19    | 0.05%             | 2068-02-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-INV2                                                                  | EFMT 2024-INV2                                                                  | CUSIP: 26844LAB4<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |    474124 | PA      | $473062.80    | 0.07%             | 2069-10-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1                                                                  | EFMT 2025-INV1                                                                  | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298589 | PA      | $301036.97    | 0.05%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2                                                                  | EFMT 2025-INV2                                                                  | CUSIP: 281914AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322937 | PA      | $324705.55    | 0.05%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM3                                                                  | EFMT 2025-NQM3                                                                  | CUSIP: 26846YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1623796 | PA      | $1633067.11   | 0.25%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| EG America LLC                                                                  | EG AMERICA LLC                                                                  | CUSIP: 000000000<br>LEI: 549300BY1CRYVPEG9R57 | Long             | LON              | CORP              | US        |    348373 | PA      | $349710.31    | 0.05%             | 2028-02-07      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| EG Global Finance PLC                                                           | EG GLOBAL FINANCE PLC                                                           | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |    265000 | PA      | $292924.11    | 0.04%             | 2028-11-30      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | EGP/USD FWD 20250902 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $-2.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | EGP/USD FWD 20250902 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $4857.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | EGP/USD FWD 20250902 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $-257.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | EGP/USD FWD 20250911 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $63703.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | EGP/USD FWD 20250911 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $276256.43    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | EGP/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $6.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2023-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239770 | PA      | $247738.31    | 0.04%             | 2038-02-25      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2023-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178885 | PA      | $184728.15    | 0.03%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Ellucian Holdings Inc                                                           | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 83578B9H8<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |   1098297 | PA      | $1128499.68   | 0.17%             | 2032-11-22      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| Ellucian Holdings Inc                                                           | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 28917XAB6<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |    341602 | PA      | $341817.53    | 0.05%             | 2029-10-09      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    660000 | PA      | $676025.46    | 0.10%             | 2029-06-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                                        | ENGIE SA                                                                        | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    475000 | PA      | $492399.73    | 0.07%             | 2034-04-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Engineered Machinery Holdings Inc                                               | ENGINEERED MACHINERY HOLDINGS INC                                               | CUSIP: 26658NAN9<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |    720000 | PA      | $720000.00    | 0.11%             | 2029-05-21      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| Engineered Machinery Holdings Inc                                               | ENGINEERED MACHINERY HOLDINGS INC                                               | CUSIP: 26658NAQ2<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |    920000 | PA      | $920000.00    | 0.14%             | 2029-05-21      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing 2025-3 LLC                                           | ENTERPRISE FLEET FINANCING 2025-3 LLC                                           | CUSIP: 29375UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $257590.19    | 0.04%             | 2029-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| EOC Borrower LLC                                                                | EOC BORROWER LLC                                                                | CUSIP: 26875YAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    270000 | PA      | $270450.90    | 0.04%             | 2032-03-24      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Epicor Software Corp                                                            | EPICOR SOFTWARE CORP                                                            | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |   1005729 | PA      | $1007840.78   | 0.15%             | 2031-05-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | EUR/USD FWD 20250902 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | EUR/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | EUR/USD FWD 20251121 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $110.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | EUR/USD FWD 20251121 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2871.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | EUR/USD FWD 20251121 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12587.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX 5 YEAR EURO BOBL FUTURE                                                   | EURO-BOBL FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $797.47       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 5 YEAR EURO BOBL FUTURE                                                   | EURO-BOBL FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $797.47       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 5 YEAR EURO BOBL FUTURE                                                   | EURO-BOBL FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -19 | NC      | $15151.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO-BTP ITALIAN BOND FUTURES                                                   | EURO-BTP FUTURE   SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -59 | NC      | $1296.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 10 YEAR EURO BUND FUTURE                                                  | EURO-BUND FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         1 | NC      | $-89.05       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 10 YEAR EURO BUND FUTURE                                                  | EURO-BUND FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         1 | NC      | $-89.05       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 30 YEAR EURO BUXL FUTURE                                                  | EURO-BUXL 30Y BND SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         2 | NC      | $-1078.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FRENCH GOVERNMENT BOND FUTURES                                                  | EURO-OAT FUTURE   SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         2 | NC      | $-806.02      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FRENCH GOVERNMENT BOND FUTURES                                                  | EURO-OAT FUTURE   SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         1 | NC      | $-403.01      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 2 YEAR EURO SCHATZ FUTURE                                                 | EURO-SCHATZ FUT   SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -30 | NC      | $12583.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 2 YEAR EURO SCHATZ FUTURE                                                 | EURO-SCHATZ FUT   SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $1677.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EW Scripps Co/The                                                               | EW SCRIPPS CO                                                                   | CUSIP: 26928BAQ2<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |    195655 | PA      | $196267.87    | 0.03%             | 2028-06-30      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| EW Scripps Co/The                                                               | EW SCRIPPS CO                                                                   | CUSIP: 26928BAR0<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |    293509 | PA      | $282502.72    | 0.04%             | 2029-11-30      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| EW Scripps Co/The                                                               | EW SCRIPPS CO/THE                                                               | CUSIP: 811054AH8<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |    320000 | PA      | $300000.00    | 0.05%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2023-1                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1                                      | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $137602.35    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2023-4                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4                                      | CUSIP: 30166TAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30793 | PA      | $30815.72     | 0.00%             | 2027-10-15      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2025-4                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                      | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $225715.34    | 0.03%             | 2030-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2025-4                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                      | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805000 | PA      | $808136.12    | 0.12%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust 2025-2                               | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                               | CUSIP: 30185EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $479127.70    | 0.07%             | 2031-12-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust 2025-2                               | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                               | CUSIP: 30185EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $231925.51    | 0.04%             | 2031-11-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    295000 | PA      | $286335.85    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    325000 | PA      | $327164.50    | 0.05%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    685000 | PA      | $687136.52    | 0.10%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       101 | PA      | $12.63        | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F030694<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1010000 | PA      | $-874869.66   | -0.13%            | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F070690<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190000 | PA      | $199856.25    | 0.03%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F050692<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160000 | PA      | $1143907.88   | 0.17%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14817 | PA      | $14803.50     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1830 | PA      | $1856.96      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7431 | PA      | $7034.18      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5667 | PA      | $5880.45      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18086 | PA      | $17585.91     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3166 | PA      | $3108.84      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9882 | PA      | $9361.76      | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7651 | PA      | $7644.59      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1057 | PA      | $1078.36      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2201 | PA      | $2244.19      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2705 | PA      | $2807.37      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2606 | PA      | $2767.14      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4908 | PA      | $4649.72      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50793 | PA      | $40943.12     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925731 | PA      | $970089.42    | 0.15%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124071 | PA      | $103521.33    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3128 | PA      | $3171.08      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3168 | PA      | $3230.43      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3021 | PA      | $3192.84      | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5520 | PA      | $5728.00      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2520 | PA      | $2571.16      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22556 | PA      | $21460.81     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LVQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793631 | PA      | $729092.87    | 0.11%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76615 | PA      | $74591.46     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577236 | PA      | $484093.08    | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808548 | PA      | $678064.18    | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2167 | PA      | $2166.17      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5094 | PA      | $5043.04      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $601.39       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365774 | PA      | $363226.29    | 0.05%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10563 | PA      | $10961.22     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       533 | PA      | $551.71       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4315 | PA      | $4313.59      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1692 | PA      | $1726.09      | 0.00%             | 2035-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       899 | PA      | $931.89       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8449 | PA      | $8228.05      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2086672 | PA      | $2018724.84   | 0.31%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8127 | PA      | $7956.28      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12344 | PA      | $12993.07     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $185.03       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10095 | PA      | $10281.45     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2310 | PA      | $2342.04      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42403 | PA      | $39636.66     | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1851 | PA      | $1849.00      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3019569 | PA      | $2421160.79   | 0.37%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7006 | PA      | $7186.04      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8311 | PA      | $8088.53      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51544 | PA      | $51497.69     | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3582 | PA      | $3652.37      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1975787 | PA      | $1879669.10   | 0.28%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1554 | PA      | $1610.02      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53742 | PA      | $55262.21     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11747 | PA      | $12189.77     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       977 | PA      | $1028.74      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62007 | PA      | $63223.41     | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3451 | PA      | $3634.40      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46759 | PA      | $46717.44     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       455 | PA      | $462.26       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2198 | PA      | $2228.01      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        83 | PA      | $84.23        | 0.00%             | 2035-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20369 | PA      | $19745.46     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       725 | PA      | $747.96       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10529 | PA      | $9931.04      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1239930 | PA      | $1042839.17   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5215 | PA      | $4965.35      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26159 | PA      | $24343.94     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7165 | PA      | $7546.58      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3892 | PA      | $3793.66      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24556 | PA      | $21919.96     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138Y32E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27928 | PA      | $26718.71     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2419 | PA      | $2356.39      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2661 | PA      | $2695.08      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41291 | PA      | $39394.54     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6263 | PA      | $6597.30      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1120615 | PA      | $897020.40    | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1882 | PA      | $1981.09      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11174 | PA      | $11731.82     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3146 | PA      | $3073.82      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2461 | PA      | $2543.80      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21078 | PA      | $21467.43     | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12464 | PA      | $12452.79     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10547 | PA      | $11108.67     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11176 | PA      | $10854.41     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31383JVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       125 | PA      | $131.54       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $8.81         | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4798 | PA      | $4522.73      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17133 | PA      | $17714.79     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1618 | PA      | $1700.54      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22007 | PA      | $23180.62     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23660 | PA      | $23594.20     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93879 | PA      | $83565.92     | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12616 | PA      | $12862.70     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61429 | PA      | $62723.29     | 0.01%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195020 | PA      | $1005074.47   | 0.15%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2824 | PA      | $2859.28      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26013 | PA      | $27397.94     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1233030 | PA      | $1035616.82   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       353 | PA      | $360.08       | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852826 | PA      | $706854.42    | 0.11%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408GJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       252 | PA      | $256.50       | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18200 | PA      | $16663.68     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4001 | PA      | $4210.44      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20731 | PA      | $20712.47     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1721 | PA      | $1767.77      | 0.00%             | 2037-11-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35943 | PA      | $32833.52     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50206 | PA      | $50076.45     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8826 | PA      | $8818.26      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18226 | PA      | $19197.09     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117540 | PA      | $114155.78    | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34983 | PA      | $35628.84     | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116771 | PA      | $104189.34    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8716 | PA      | $9179.86      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39231 | PA      | $37348.79     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2526 | PA      | $2621.41      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1594 | PA      | $1593.54      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272426 | PA      | $251046.38    | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322488 | PA      | $318679.31    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141230 | PA      | $129019.97    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19394 | PA      | $17982.37     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31400B5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $27.90        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       336 | PA      | $350.81       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107552 | PA      | $101180.73    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2763859 | PA      | $2200154.57   | 0.33%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97233 | PA      | $99264.09     | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16230 | PA      | $16215.02     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596881 | PA      | $576028.71    | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95685 | PA      | $95034.48     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6224 | PA      | $5792.85      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88953 | PA      | $84121.24     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GA78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2529 | PA      | $2553.87      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XMB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277056 | PA      | $286330.21    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1264 | PA      | $1292.25      | 0.00%             | 2035-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13092 | PA      | $13580.32     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11013 | PA      | $10679.79     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35569 | PA      | $34376.10     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18570 | PA      | $18090.74     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XMBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2139448 | PA      | $1786480.67   | 0.27%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QBUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119905 | PA      | $116929.60    | 0.02%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       739 | PA      | $746.86       | 0.00%             | 2035-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153580 | PA      | $151105.29    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417F4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10571 | PA      | $9628.13      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727488 | PA      | $587078.85    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2747 | PA      | $2744.52      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5232 | PA      | $5510.81      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138AKF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48168 | PA      | $49057.80     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19502 | PA      | $19484.97     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       417 | PA      | $438.67       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EG6X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       378 | PA      | $396.03       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3865 | PA      | $3602.04      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5680 | PA      | $5435.20      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4390 | PA      | $4147.99      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JAMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189778 | PA      | $186164.45    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412891 | PA      | $427192.32    | 0.06%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801247 | PA      | $824429.98    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1219697 | PA      | $977727.64    | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3761 | PA      | $3957.01      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37237 | PA      | $37923.36     | 0.01%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45150 | PA      | $42531.89     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    938788 | PA      | $917551.34    | 0.14%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322253 | PA      | $283461.29    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1273 | PA      | $1340.71      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4056 | PA      | $4135.90      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3068 | PA      | $3130.45      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931051 | PA      | $750482.20    | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986653 | PA      | $792872.28    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1644 | PA      | $1676.35      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1553 | PA      | $1611.95      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14334 | PA      | $13578.53     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34095 | PA      | $28617.37     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792542 | PA      | $708242.70    | 0.11%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634522 | PA      | $581937.32    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12171 | PA      | $12610.34     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1193 | PA      | $1256.44      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245788 | PA      | $249038.81    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29524 | PA      | $30102.99     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340765 | PA      | $345982.04    | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3543 | PA      | $3504.83      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410K3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46985 | PA      | $49286.35     | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1446 | PA      | $1438.25      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13213 | PA      | $12877.50     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38443 | PA      | $39733.76     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4609 | PA      | $4782.70      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70307 | PA      | $68696.91     | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9610 | PA      | $9601.70      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18528 | PA      | $18252.50     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1682 | PA      | $1706.95      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67832 | PA      | $65567.44     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9679 | PA      | $9391.90      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3404 | PA      | $3585.33      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2519 | PA      | $2464.10      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31488 | PA      | $31171.41     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138425 | PA      | $126368.78    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9216 | PA      | $9563.18      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10443 | PA      | $9836.30      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1230 | PA      | $1228.52      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13001 | PA      | $12989.19     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140A94B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267111 | PA      | $1277859.89   | 0.19%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1222847 | PA      | $1094022.72   | 0.17%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81075 | PA      | $79768.49     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149015 | PA      | $145171.22    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147568 | PA      | $140405.13    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1934725 | PA      | $1537039.26   | 0.23%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6128 | PA      | $6204.68      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1027 | PA      | $1054.79      | 0.00%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1920 | PA      | $1986.44      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7293 | PA      | $7136.19      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6543 | PA      | $6376.90      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16693 | PA      | $16678.12     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418Q3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31382 | PA      | $31961.23     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3245 | PA      | $3308.25      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83378 | PA      | $80353.30     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6581 | PA      | $6124.62      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12222 | PA      | $12448.00     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333319 | PA      | $329424.13    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3225 | PA      | $3396.99      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10432 | PA      | $10423.37     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       299 | PA      | $310.58       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2322 | PA      | $2445.62      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195620 | PA      | $1008396.10   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1452 | PA      | $1528.92      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14184 | PA      | $14939.65     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6667 | PA      | $6347.69      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18293 | PA      | $18674.79     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74967 | PA      | $73711.97     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622597 | PA      | $611750.34    | 0.09%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131749 | PA      | $131630.31    | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1860 | PA      | $1930.57      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       401 | PA      | $410.60       | 0.00%             | 2036-12-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23217 | PA      | $24453.42     | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2535 | PA      | $2413.86      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325893 | PA      | $1150605.37   | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101159 | PA      | $105438.86    | 0.02%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408BQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       207 | PA      | $211.40       | 0.00%             | 2035-12-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15351 | PA      | $14843.65     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5835 | PA      | $5475.96      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10878 | PA      | $10182.10     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12646 | PA      | $12811.16     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQLC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27280 | PA      | $27255.72     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339439 | PA      | $273619.60    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808785 | PA      | $837183.28    | 0.13%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369350 | PA      | $298062.08    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60855 | PA      | $59128.30     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1948 | PA      | $2044.52      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31415QP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8158 | PA      | $8465.68      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67874 | PA      | $67054.23     | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3129 | PA      | $2837.33      | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104208 | PA      | $88243.30     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7870 | PA      | $7980.19      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2605 | PA      | $2538.18      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       867 | PA      | $913.34       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5153 | PA      | $4855.30      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310864 | PA      | $313783.48    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       672 | PA      | $694.02       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138XMF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129940 | PA      | $124994.37    | 0.02%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410ELD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       661 | PA      | $695.93       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       899 | PA      | $910.44       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171428 | PA      | $173950.94    | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2076 | PA      | $2182.25      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       238 | PA      | $250.20       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900984 | PA      | $826886.12    | 0.12%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49474 | PA      | $45744.90     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31379UFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.30         | 0.00%             | 2028-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XQXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342518 | PA      | $349982.45    | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24418 | PA      | $23868.27     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163668 | PA      | $136684.38    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467471 | PA      | $430493.76    | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446955 | PA      | $360275.94    | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2002 | PA      | $2041.60      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       329 | PA      | $343.67       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1794648 | PA      | $1864554.18   | 0.28%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36083 | PA      | $35189.43     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410DUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1561 | PA      | $1643.22      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       615 | PA      | $639.75       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20692 | PA      | $19945.93     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383170 | PA      | $394739.64    | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XK6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172656 | PA      | $1102044.34   | 0.17%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1938058 | PA      | $1551560.15   | 0.23%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85614 | PA      | $85537.16     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368581 | PA      | $383562.37    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1624280 | PA      | $1663445.75   | 0.25%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $43.94        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767131 | PA      | $613575.39    | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10476 | PA      | $9973.09      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295858 | PA      | $237288.03    | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12449 | PA      | $12438.13     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20719 | PA      | $21020.35     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861404 | PA      | $869202.45    | 0.13%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1295863 | PA      | $1190428.46   | 0.18%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BCJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2945631 | PA      | $398709.39    | 0.06%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7781818 | PA      | $1244667.51   | 0.19%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BPUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4671016 | PA      | $615854.24    | 0.09%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2284879 | PA      | $322002.01    | 0.05%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                    | FI TRS USD PAY IBOXHY 12/20/25 MSLN_C                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-299947.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                    | FI TRS USD PAY IBXXLLTR 03/20/26/115512102/MSLNGB2XXXX_C                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $46924.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Filtration Group Corp                                                           | FILTRATION GROUP CORP                                                           | CUSIP: 31732FAX4<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |    788611 | PA      | $791734.32    | 0.12%             | 2028-10-23      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    116000 | PA      | $104142.48    | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    640000 | PA      | $593944.32    | 0.09%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                                    | FIRSTENERGY TRANSMISSION LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    230000 | PA      | $229229.27    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                                  | FIRSTKEY HOMES 2020-SFR1 TRUST                                                  | CUSIP: 33767MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $748268.33    | 0.11%             | 2037-08-17      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR2 Trust                                                  | FIRSTKEY HOMES 2020-SFR2 TRUST                                                  | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410000 | PA      | $1399196.30   | 0.21%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust II                                                   | FIVE CORNERS FUNDING TRUST II                                                   | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    301000 | PA      | $281570.75    | 0.04%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2017-2                                                  | FLAGSTAR MORTGAGE TRUST 2017-2                                                  | CUSIP: 33850RAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210759 | PA      | $194721.76    | 0.03%             | 2047-10-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2019-1                                                  | FLAGSTAR MORTGAGE TRUST 2019-1                                                  | CUSIP: 33852AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48617 | PA      | $43873.73     | 0.01%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flutter Treasury DAC                                                            | FLUTTER TREASURY DAC                                                            | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    655000 | PA      | $676555.40    | 0.10%             | 2029-04-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Flutter Treasury DAC                                                            | FLUTTER TREASURY DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $204071.80    | 0.03%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2023-B                                             | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $334085.53    | 0.05%             | 2028-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2023-B                                             | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $404166.76    | 0.06%             | 2027-04-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    725000 | PA      | $736470.23    | 0.11%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Fortitude Group Holdings LLC                                                    | FORTITUDE GROUP HOLDINGS LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |    495000 | PA      | $513995.63    | 0.08%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74676 | PA      | $66457.10     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20539 | PA      | $19286.69     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8391 | PA      | $8127.82      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62315 | PA      | $58439.44     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335CJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174127 | PA      | $169360.89    | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1397 | PA      | $1406.43      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15067 | PA      | $15072.29     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       509 | PA      | $520.08       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       576 | PA      | $550.12       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292LV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17106 | PA      | $16102.14     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       462 | PA      | $465.54       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21740 | PA      | $22168.16     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1894 | PA      | $1991.58      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       309 | PA      | $301.44       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1593 | PA      | $1593.37      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2192 | PA      | $2310.48      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16604 | PA      | $16609.30     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $39.71        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        92 | PA      | $96.78        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4519 | PA      | $4681.79      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3011 | PA      | $2936.90      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7276 | PA      | $7278.48      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57561 | PA      | $55893.13     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6510 | PA      | $6349.54      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1172 | PA      | $1195.40      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30860 | PA      | $27569.47     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        93 | PA      | $98.36        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5555 | PA      | $5664.14      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5304 | PA      | $5298.44      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1425 | PA      | $1474.07      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19822 | PA      | $20522.37     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2598 | PA      | $2589.13      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45854 | PA      | $45869.23     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1975839 | PA      | $1857837.84   | 0.28%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3648 | PA      | $3772.81      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        33 | PA      | $33.60        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29374 | PA      | $28651.52     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44143 | PA      | $46101.62     | 0.01%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       929 | PA      | $934.77       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3523 | PA      | $3592.16      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51275 | PA      | $47650.29     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2291 | PA      | $2292.05      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    790903 | PA      | $744488.35    | 0.11%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3729 | PA      | $3730.41      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3379 | PA      | $3381.16      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2127 | PA      | $2231.95      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1220 | PA      | $1190.69      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1473 | PA      | $1437.25      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       113 | PA      | $110.60       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2958 | PA      | $2865.74      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $541.48       | 0.00%             | 2037-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1777 | PA      | $1823.90      | 0.00%             | 2034-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       106 | PA      | $108.59       | 0.00%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $136.47       | 0.00%             | 2036-10-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $80.94        | 0.00%             | 2035-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       234 | PA      | $240.73       | 0.00%             | 2036-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       607 | PA      | $619.41       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       831 | PA      | $859.71       | 0.00%             | 2036-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1052 | PA      | $1083.04      | 0.00%             | 2036-11-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1315 | PA      | $1349.11      | 0.00%             | 2036-03-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WGCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33628 | PA      | $34530.68     | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138680 | PA      | $131802.98    | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132E0A77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1330265 | PA      | $1349578.57   | 0.20%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A9UX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114744 | PA      | $113259.60    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GSFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71945 | PA      | $73807.04     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DSE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1171866 | PA      | $1162615.40   | 0.18%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    664969 | PA      | $680600.07    | 0.10%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133ANKP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358044 | PA      | $303507.66    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1190054 | PA      | $1113525.33   | 0.17%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GS4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81712 | PA      | $82930.79     | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DQ6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361698 | PA      | $289637.44    | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GSB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141908 | PA      | $145605.94    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DQLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253055 | PA      | $250724.61    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1416875 | PA      | $1133422.90   | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133GEL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505220 | PA      | $464614.52    | 0.07%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331917 | PA      | $336306.27    | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192741 | PA      | $182486.04    | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D9LJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279496 | PA      | $262350.69    | 0.04%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165742 | PA      | $169759.98    | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72703 | PA      | $70692.97     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425UTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129977 | PA      | $134700.78    | 0.02%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713221 | PA      | $574339.68    | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DPUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497717 | PA      | $515206.61    | 0.08%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CTLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368237 | PA      | $371882.22    | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361933 | PA      | $367474.43    | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CWHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177766 | PA      | $184664.40    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949489 | PA      | $796953.77    | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133APQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1233357 | PA      | $1032887.53   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DMZ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2012811 | PA      | $1774062.87   | 0.27%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DUCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329602 | PA      | $325550.91    | 0.05%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1421973 | PA      | $1198463.64   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31536 | PA      | $31155.45     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47338 | PA      | $45855.06     | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425YBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64796 | PA      | $67151.18     | 0.01%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468115 | PA      | $391225.40    | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425WYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191921 | PA      | $198987.24    | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720443 | PA      | $580941.32    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVE92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1057192 | PA      | $1082042.00   | 0.16%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3300024 | PA      | $2751125.01   | 0.42%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A4LW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98416 | PA      | $100232.96    | 0.02%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1038966 | PA      | $886800.78    | 0.13%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653961 | PA      | $648694.63    | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3052234 | PA      | $2650046.11   | 0.40%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DUJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419877 | PA      | $424921.74    | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CW4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222052 | PA      | $218806.86    | 0.03%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435489 | PA      | $440576.29    | 0.07%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132ACSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944160 | PA      | $872014.69    | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130326 | PA      | $123512.52    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466050 | PA      | $412611.87    | 0.06%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278156 | PA      | $289365.03    | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37442 | PA      | $36646.26     | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425VMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64835 | PA      | $66488.31     | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345078 | PA      | $349114.62    | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028813 | PA      | $819134.98    | 0.12%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137FFHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5500115 | PA      | $874581.47    | 0.13%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137FVHM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3574169 | PA      | $607540.52    | 0.09%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1691094 | PA      | $226939.18    | 0.03%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI2           | FREDDIE MAC STACR SECURITIZED PARTICIPATION INTERESTS TRUST 2018-SPI2           | CUSIP: 3137G1CT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2280 | PA      | $2206.73      | 0.00%             | 2048-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                              | FREDDIE MAC STRIPS                                                              | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        30 | PA      | $28.90        | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                         | FREDDIE MAC WHOLE LOAN SECURITIES TRUST                                         | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81158 | PA      | $79886.27     | 0.01%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $216972.46    | 0.03%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1174848 | PA      | $1229373.17   | 0.19%             | 2053-08-20      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1462109 | PA      | $1647100.00   | 0.25%             | 2054-06-20      | Fixed         | 11.16%                | No            |                  2 | On Loan: No      |
| FS Luxembourg Sarl                                                              | FS LUXEMBOURG SARL                                                              | CUSIP: 30315XAC8<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    580000 | PA      | $609027.26    | 0.09%             | 2031-02-12      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                                         | GA GLOBAL FUNDING TRUST                                                         | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    830000 | PA      | $848723.14    | 0.13%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28186 | PA      | $25769.79     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | GBP/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | GB        |         1 | NC      | $9853.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | GBP/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | GB        |         1 | NC      | $414.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM1 Trust                                                            | GCAT 2025-NQM1 TRUST                                                            | CUSIP: 36171GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526347 | PA      | $529603.91    | 0.08%             | 2069-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM4 Trust                                                            | GCAT 2025-NQM4 TRUST                                                            | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975741 | PA      | $985137.30    | 0.15%             | 2070-06-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H022697<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1030000 | PA      | $-877894.37   | -0.13%            | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2165000 | PA      | $2180892.10   | 0.33%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450000 | PA      | $458922.31    | 0.07%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54826 | PA      | $51224.18     | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36179DEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3038 | PA      | $2823.48      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14911 | PA      | $14698.21     | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4765 | PA      | $4842.76      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28020 | PA      | $28598.25     | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7489 | PA      | $7622.00      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10001 | PA      | $10194.36     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36181BV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3290 | PA      | $3069.19      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36180CYU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4453 | PA      | $4138.39      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14909 | PA      | $15213.69     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14909 | PA      | $15213.69     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194PGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18555 | PA      | $16481.49     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386195 | PA      | $339206.92    | 0.05%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816054 | PA      | $695926.30    | 0.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12433 | PA      | $12407.08     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6573 | PA      | $6721.12      | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39007 | PA      | $34599.80     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7989 | PA      | $7091.95      | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105892 | PA      | $99038.87     | 0.01%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2411864 | PA      | $1976472.49   | 0.30%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26544 | PA      | $24850.77     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127174 | PA      | $128534.51    | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15289 | PA      | $13571.12     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5684 | PA      | $5774.44      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13763 | PA      | $12590.56     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79299 | PA      | $80281.03     | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40243 | PA      | $40543.05     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8903 | PA      | $7908.35      | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2880 | PA      | $2762.63      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29044 | PA      | $28983.37     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1027239 | PA      | $876023.88    | 0.13%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24435 | PA      | $25165.04     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1035767 | PA      | $1031056.88   | 0.16%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175324 | PA      | $172583.18    | 0.03%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313442 | PA      | $267301.27    | 0.04%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122604 | PA      | $125818.15    | 0.02%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444292 | PA      | $378889.68    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19216 | PA      | $19453.42     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36183W6J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105524 | PA      | $96533.66     | 0.01%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42933 | PA      | $39350.78     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37780 | PA      | $33535.15     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243138 | PA      | $227653.33    | 0.03%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17304 | PA      | $15359.41     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76046 | PA      | $70086.76     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17288 | PA      | $15356.02     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110348 | PA      | $103298.62    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1082845 | PA      | $887368.45    | 0.13%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       129 | PA      | $134.50       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10084 | PA      | $10150.67     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2487 | PA      | $2481.79      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11402 | PA      | $11655.29     | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36183EZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19648 | PA      | $18276.85     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77327 | PA      | $71998.71     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13730 | PA      | $14000.41     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249853 | PA      | $256824.02    | 0.04%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8624 | PA      | $8767.36      | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23840 | PA      | $21161.15     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210538 | PA      | $207204.38    | 0.03%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3605 | PA      | $3597.51      | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85960 | PA      | $80773.69     | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12093 | PA      | $11327.02     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158459 | PA      | $162844.95    | 0.02%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68697 | PA      | $69547.26     | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17314 | PA      | $15363.10     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    614877 | PA      | $524363.72    | 0.08%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22734 | PA      | $23466.93     | 0.00%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420637 | PA      | $359258.39    | 0.05%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80414 | PA      | $81409.16     | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535302 | PA      | $480966.17    | 0.07%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10212 | PA      | $10352.68     | 0.00%             | 2035-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4486 | PA      | $4448.12      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32449 | PA      | $28742.66     | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33218 | PA      | $34027.50     | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45703 | PA      | $42656.58     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    982984 | PA      | $838283.27    | 0.13%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2229060 | PA      | $1826668.14   | 0.28%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166958 | PA      | $146642.41    | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44931 | PA      | $41166.00     | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45249 | PA      | $42035.76     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3004 | PA      | $3063.11      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1789312 | PA      | $1666664.47   | 0.25%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1663081 | PA      | $1610171.51   | 0.24%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14714 | PA      | $14683.17     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21760 | PA      | $22250.83     | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1969660 | PA      | $1853202.34   | 0.28%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14339 | PA      | $13231.87     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2265 | PA      | $2260.78      | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346850 | PA      | $327341.59    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352247 | PA      | $300394.52    | 0.05%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524841 | PA      | $464966.89    | 0.07%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1464733 | PA      | $1315978.04   | 0.20%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15146 | PA      | $15063.01     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9919 | PA      | $9898.58      | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20772 | PA      | $19168.87     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9733 | PA      | $9706.81      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55809 | PA      | $56483.91     | 0.01%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       278 | PA      | $284.95       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220613 | PA      | $219541.98    | 0.03%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2997 | PA      | $2874.79      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442311 | PA      | $377457.10    | 0.06%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12878 | PA      | $11439.27     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31555 | PA      | $32571.21     | 0.00%             | 2035-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10666 | PA      | $9474.78      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4721 | PA      | $4779.49      | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78204 | PA      | $72749.94     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13697 | PA      | $12157.74     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31200 | PA      | $31977.22     | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8840 | PA      | $7764.20      | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38306 | PA      | $35751.82     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17579 | PA      | $17893.19     | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284843 | PA      | $292661.91    | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20908 | PA      | $21249.90     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2098 | PA      | $2139.54      | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10448 | PA      | $10271.65     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81426 | PA      | $83659.53     | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31121 | PA      | $31056.54     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32396 | PA      | $33363.95     | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69895 | PA      | $70759.99     | 0.01%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II Inc                                           | GLP CAPITAL LP / GLP FINANCING II INC                                           | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    645000 | PA      | $639241.44    | 0.10%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2023-1                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-1                       | CUSIP: 38013JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $292697.67    | 0.04%             | 2028-09-18      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2023-3                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                       | CUSIP: 36267KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $158094.23    | 0.02%             | 2029-01-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2023-3                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                       | CUSIP: 36267KAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $260454.02    | 0.04%             | 2029-02-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                                             | GMF FLOORPLAN OWNER REVOLVING TRUST                                             | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1555000 | PA      | $1568193.86   | 0.24%             | 2028-06-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Golub Capital Private Credit Fund                                               | GOLUB CAPITAL PRIVATE CREDIT FUND                                               | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |   1027000 | PA      | $1040074.74   | 0.16%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Goto Foods Funding LLC                                                          | GOTO FOODS FUNDING LLC                                                          | CUSIP: 34417RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1484100 | PA      | $1501437.70   | 0.23%             | 2052-07-30      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| Goto Foods Funding LLC                                                          | GOTO FOODS FUNDING LLC                                                          | CUSIP: 34417MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1711138 | PA      | $1706126.26   | 0.26%             | 2047-04-30      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382QAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2273478 | PA      | $270675.10    | 0.04%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72913 | PA      | $10632.83     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383X3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6664734 | PA      | $985003.71    | 0.15%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3388030 | PA      | $493348.29    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460000 | PA      | $383109.44    | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14475 | PA      | $13588.98     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16429 | PA      | $2627.32      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1765231 | PA      | $202528.51    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380AVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93412 | PA      | $6819.68      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382UG39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1321727 | PA      | $188752.90    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10838 | PA      | $9980.17      | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gray Media Inc                                                                  | GRAY MEDIA INC                                                                  | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    330000 | PA      | $330825.00    | 0.05%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS4                                           | GS MORTGAGE SECURITIES TRUST 2016-GS4                                           | CUSIP: 36251XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1037313 | PA      | $1023343.37   | 0.15%             | 2049-11-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS8                                           | GS MORTGAGE SECURITIES TRUST 2017-GS8                                           | CUSIP: 36254KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $785191.92    | 0.12%             | 2050-11-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                    | CUSIP: 36262JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1276834 | PA      | $1037509.52   | 0.16%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Guatemala Government Bond                                                       | GUATEMALA GOVERNMENT BOND                                                       | CUSIP: 401494BB4<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    230000 | PA      | $231667.50    | 0.04%             | 2055-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Guatemala Government Bond                                                       | GUATEMALA GOVERNMENT BOND                                                       | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    960000 | PA      | $986995.20    | 0.15%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Harbour Energy PLC                                                              | HARBOUR ENERGY PLC                                                              | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |    790000 | PA      | $799054.98    | 0.12%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1914775 | PA      | $1839284.61   | 0.28%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    487413 | PA      | $505143.84    | 0.08%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC / HAT Holdings II LLC                                        | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    227000 | PA      | $234945.00    | 0.04%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC / HAT Holdings II LLC                                        | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1025156.25   | 0.15%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Health & Happiness H&H International Holdings Ltd                               | HEALTH & HAPPINESS H&H INTERNATIONAL HOLDINGS LTD                               | CUSIP: YS7023080<br>LEI: 2138007WU5DJFZFDDV59 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $1052375.63   | 0.16%             | 2028-07-24      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Heathrow Funding Ltd                                                            | HEATHROW FUNDING LTD                                                            | CUSIP: YS5265238<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    120000 | PA      | $138687.90    | 0.02%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Heathrow Funding Ltd                                                            | HEATHROW FUNDING LTD                                                            | CUSIP: AX5204471<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    578000 | PA      | $585800.73    | 0.09%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Hexcel Corp                                                                     | HEXCEL CORP                                                                     | CUSIP: 428291AP3<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |    225000 | PA      | $229207.73    | 0.03%             | 2035-02-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hightower Holding LLC                                                           | HIGHTOWER HOLDING LLC                                                           | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |    435000 | PA      | $465450.00    | 0.07%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Hightower Holding LLC                                                           | HIGHTOWER HOLDING LLC                                                           | CUSIP: 43117LAP8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | LON              | CORP              | US        |    775000 | PA      | $773550.75    | 0.12%             | 2032-02-03      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                                             | HILCORP ENERGY I LP                                                             | CUSIP: 431319AH5<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |   1614355 | PA      | $1614355.37   | 0.24%             | 2030-02-11      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                        | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    524000 | PA      | $546925.00    | 0.08%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                        | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $185725.00    | 0.03%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                         | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                         | CUSIP: 403956AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $806257.81    | 0.12%             | 2037-05-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2020-A                                             | HILTON GRAND VACATIONS TRUST 2020-A                                             | CUSIP: 43285HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24761 | PA      | $25082.82     | 0.00%             | 2039-02-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2022-1 Trust                                           | HOME PARTNERS OF AMERICA 2022-1 TRUST                                           | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1751210 | PA      | $1728690.06   | 0.26%             | 2039-04-17      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2022-1 Trust                                           | HOME PARTNERS OF AMERICA 2022-1 TRUST                                           | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    579294 | PA      | $575683.07    | 0.09%             | 2039-04-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 Trust                                                           | HOMES 2025-NQM2 TRUST                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416910 | PA      | $419478.21    | 0.06%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Howard Hughes Corp/The                                                          | HOWARD HUGHES CORP/THE                                                          | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    222000 | PA      | $220890.00    | 0.03%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2023-2                                                    | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $147227.65    | 0.02%             | 2031-07-21      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2023-2                                                    | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $322226.11    | 0.05%             | 2031-01-21      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-1                                                    | HPEFS EQUIPMENT TRUST 2024-1                                                    | CUSIP: 403963AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1190000 | PA      | $1198033.69   | 0.18%             | 2031-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-2                                                    | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141547.27    | 0.02%             | 2031-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-2                                                    | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $358597.93    | 0.05%             | 2032-04-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                                                 | HPS LOAN MANAGEMENT 11-2017 LTD                                                 | CUSIP: 40436VAJ0<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |   1830000 | PA      | $1835402.97   | 0.28%             | 2030-05-06      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                                                 | HPS LOAN MANAGEMENT 11-2017 LTD                                                 | CUSIP: 40436VAG6<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |    228111 | PA      | $228522.70    | 0.03%             | 2030-05-06      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $266015.62    | 0.04%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |   1206100 | PA      | $1208113.92   | 0.18%             | 2030-06-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    630000 | PA      | $659925.00    | 0.10%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    650000 | PA      | $679250.00    | 0.10%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | HUF/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | HU        |         1 | NC      | $14349.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | HUF/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | HU        |         1 | NC      | $2410.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2024-1                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301719 | PA      | $306130.11    | 0.05%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2024-2                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    707407 | PA      | $712797.38    | 0.11%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2025-1                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2025-1                          | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    903400 | PA      | $908192.92    | 0.14%             | 2033-03-21      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF                                   | HYG US 09/19/25 C80                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      -408 | NC      | $-37128.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF                                   | HYG US 09/19/25 P80                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      -408 | NC      | $-7956.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYT Commercial Mortgage Trust 2024-RGCY                                         | HYT COMMERCIAL MORTGAGE TRUST 2024-RGCY                                         | CUSIP: 449173AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $545680.71    | 0.08%             | 2041-09-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206434.20    | 0.03%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_BEAZER HOMES USA INC CDS 12/20/2029 MSLN                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-118847.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX EM CDSI S43 5Y 06/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-339133.15   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX HY CDSI S40 V3 5Y 06/20/2028 BARC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2424020.53  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX HY CDSI S44 5Y 06/20/2030 BOFA                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $1603445.68   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX IG CDSI S44 5Y 06/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $1093944.86   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_EMHY CDSI S43 5Y 06/20/2030 MSLN                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $851502.61    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_ITRX EUR SNRFIN CDSI S43 5Y 06/20/2030 BOFA                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |         1 | NC      | $1013565.76   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_ITRX EUR SUBFIN CDSI S43 5Y 06/20/2030 BOFA                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |         1 | NC      | $-55050.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_SES SA CDS 06/20/2030 GSIL                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |         1 | NC      | $-65632.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $208028.60    | 0.03%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $208562.60    | 0.03%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Icon Parent Inc                                                                 | ICON PARENT INC                                                                 | CUSIP: 45115MAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    465000 | PA      | $470231.25    | 0.07%             | 2032-11-12      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| Icon Parent Inc                                                                 | ICON PARENT INC                                                                 | CUSIP: 45115DAC2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    279300 | PA      | $279367.03    | 0.04%             | 2031-11-13      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | IDR/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ID        |         1 | NC      | $-2392.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ilpt Commercial Mortgage Trust 2022-Lpfx                                        | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPFX                                        | CUSIP: 449653AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1415158.33   | 0.21%             | 2032-03-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | ILS/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IL        |         1 | NC      | $-277.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | ILS/USD FWD 20251016 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IL        |         1 | NC      | $-68.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMCD NV                                                                         | IMCD NV                                                                         | CUSIP: YV4272758<br>LEI: 724500NSJPNFJPDAUP02 | Long             | DBT              | CORP              | NL        |    605000 | PA      | $713834.02    | 0.11%             | 2030-04-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Imperial Brands Finance PLC                                                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $638196.30    | 0.10%             | 2035-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Imperial Brands Finance PLC                                                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAL7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $352984.10    | 0.05%             | 2055-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust 2022-NQM4                                          | IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                          | CUSIP: 45276NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1098581 | PA      | $1094074.32   | 0.17%             | 2067-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | INR/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IN        |         1 | NC      | $-90.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IQVIA Inc                                                                       | IQVIA INC                                                                       | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    410000 | PA      | $431123.61    | 0.07%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp                                                                | IRB HOLDING CORP                                                                | CUSIP: 44988LAL1<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |    247027 | PA      | $246785.34    | 0.04%             | 2027-12-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                                       | IVORY COAST GOVERNMENT INTERNATIONAL BOND                                       | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   1015000 | PA      | $1011684.49   | 0.15%             | 2036-04-01      | Fixed         | 8.07%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2023-DSC2                                            | J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                            | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1132565 | PA      | $1139249.32   | 0.17%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                                                     | JACK IN THE BOX FUNDING LLC                                                     | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    947360 | PA      | $914081.42    | 0.14%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO XV Ltd                                                            | JAMESTOWN CLO XV LTD                                                            | CUSIP: 47050EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1370000 | PA      | $1370000.88   | 0.21%             | 2035-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    358000 | PA      | $372767.50    | 0.06%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $433650.00    | 0.07%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $310387.50    | 0.05%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                           | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    321788 | PA      | $320610.09    | 0.05%             | 2031-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management Inc                                      | JONES DESLAURIERS INSURA                                                        | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | LON              | CORP              | CA        |    635191 | PA      | $630693.59    | 0.10%             | 2030-03-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management Inc                                      | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAA3<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    605000 | PA      | $642056.25    | 0.10%             | 2030-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management Inc                                      | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    175000 | PA      | $184625.00    | 0.03%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $142350.00    | 0.02%             | 2033-07-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71081 | PA      | $64202.67     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61841 | PA      | $55856.32     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV2                                              | JP MORGAN MORTGAGE TRUST 2020-INV2                                              | CUSIP: 46652KBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222452 | PA      | $193530.09    | 0.03%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust Series 2025-NQM3                                       | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1586697 | PA      | $1599088.44   | 0.24%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | JPY/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $-2138.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | JPY/USD FWD 20251024 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $8872.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTL INC                                                      | JPY/USD FWD 20251024 NOMAGB2L                                                   | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $-18230.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd                                                        | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: AX9574382<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |    850000 | PA      | $37612.50     | 0.01%             | 2022-04-09      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Kaseya Inc                                                                      | KASEYA INC                                                                      | CUSIP: 48578AAB4<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |    354112 | PA      | $354654.29    | 0.05%             | 2032-03-20      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Kaseya Inc                                                                      | KASEYA INC                                                                      | CUSIP: 48578AAE8<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |    947286 | PA      | $948176.50    | 0.14%             | 2033-03-20      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| Kaspi.KZ JSC                                                                    | KASPI.KZ JSC                                                                    | CUSIP: 466281AA0<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |    770000 | PA      | $789007.94    | 0.12%             | 2030-03-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Kentucky Utilities Co                                                           | KENTUCKY UTILITIES CO                                                           | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69400.24     | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KKR CLO 43 Ltd                                                                  | KKR CLO 43 LTD                                                                  | CUSIP: 48255UAN4<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-CBDO         | CORP              | JE        |   1775000 | PA      | $1781169.07   | 0.27%             | 2036-01-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | KRW/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | KR        |         1 | NC      | $-1.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                                                     | KRW/USD FWD 20250903 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | KR        |         1 | NC      | $3309.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | KRW/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | KR        |         1 | NC      | $-31.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                                                     | KRW/USD FWD 20251002 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | KR        |         1 | NC      | $-4212.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $30376.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $23783.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $4670.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $22232.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $22386.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $15229.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/31/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $34980.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/13/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $54052.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/13/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $55127.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $25981.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $41863.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $23942.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $21036.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-PLN IRS 7/21/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-21920.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-PLN IRS 7/22/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-17880.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-USD ZCIS 8/27/35 REC CPI CHAS_C                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $3862.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-USD ZCIS 8/27/35 REC CPI MSLN_C                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $7162.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298BZ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    138188 | PA      | $155634.24    | 0.02%             | 2030-12-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    160000 | PA      | $161200.00    | 0.02%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    460000 | PA      | $461150.00    | 0.07%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 52729KAT3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |    800000 | PA      | $803168.00    | 0.12%             | 2032-03-29      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CD3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    155000 | PA      | $138725.00    | 0.02%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                                            | LIFEPOINT HEALTH INC                                                            | CUSIP: 53219LAX7<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    468000 | PA      | $482040.00    | 0.07%             | 2032-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| LifePoint Health Inc                                                            | LIFEPOINT HEALTH INC                                                            | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |    594194 | PA      | $589220.87    | 0.09%             | 2031-05-17      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                                            | LIFEPOINT HEALTH INC                                                            | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    585000 | PA      | $643500.00    | 0.10%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Loire Finco Luxembourg Sarl                                                     | LOIRE FINCO LUXEMBOURG SARL                                                     | CUSIP: 5039999D8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    349125 | PA      | $350870.63    | 0.05%             | 2030-01-21      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| LONG GILT FUTURE                                                                | LONG GILT FUTURE  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |        79 | NC      | $-24943.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Louisville Gas and Electric Co                                                  | LOUISVILLE GAS AND ELECTRIC CO                                                  | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69080.90     | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    625000 | PA      | $637531.25    | 0.10%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    191000 | PA      | $193370.31    | 0.03%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    190000 | PA      | $192001.46    | 0.03%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LTI Holdings Inc                                                                | LTI HOLDINGS INC                                                                | CUSIP: 50217UBF3<br>LEI: 5493003GUY3WBOTOAP97 | Long             | LON              | CORP              | US        |    493604 | PA      | $495045.53    | 0.07%             | 2029-07-29      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies Inc                                                          | LUMEN TECHNOLOGIES INC                                                          | CUSIP: 55024EAD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |    129718 | PA      | $132020.64    | 0.02%             | 2028-06-01      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIV Ltd                                                   | MADISON PARK FUNDING XXIV LTD                                                   | CUSIP: 55820NBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $725413.34    | 0.11%             | 2029-10-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXV Ltd                                                   | MADISON PARK FUNDING XXXV LTD                                                   | CUSIP: 55819MAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2506461.85   | 0.38%             | 2032-04-20      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Madison Safety & Flow LLC                                                       | MADISON SAFETY & FLOW                                                           | CUSIP: 55822DAM3<br>LEI: 5493007D2J7BBIFYBY65 | Long             | LON              | CORP              | US        |    188099 | PA      | $188663.42    | 0.03%             | 2031-09-26      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Magna International Inc                                                         | MAGNA INTERNATIONAL INC                                                         | CUSIP: 559222BD5<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $93664.08     | 0.01%             | 2035-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                                        | MARS INC                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    630000 | PA      | $635017.32    | 0.10%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                                        | MARS INC                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    455000 | PA      | $447275.92    | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                                                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    710000 | PA      | $721770.38    | 0.11%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| Matador Resources Co                                                            | MATADOR RESOURCES CO                                                            | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    185000 | PA      | $185693.75    | 0.03%             | 2033-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                                     | MATCH GROUP HOLDINGS II LLC                                                     | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    380000 | PA      | $383325.00    | 0.06%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| McAfee Corp                                                                     | MCAFEE CORP                                                                     | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |    307767 | PA      | $292763.69    | 0.04%             | 2029-03-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| McAfee Corp                                                                     | MCAFEE CORP                                                                     | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |    375000 | PA      | $345937.50    | 0.05%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    395000 | PA      | $395000.00    | 0.06%             | 2030-10-23      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    195000 | PA      | $194980.50    | 0.03%             | 2028-10-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP/Medline Co-Issuer Inc                                       | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                       | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $230906.25    | 0.03%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2018-1                                             | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121649 | PA      | $118837.69    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                           | METROPOLITAN TRANSPORTATION AUTHORITY                                           | CUSIP: 59259YCA5<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    280000 | PA      | $296087.15    | 0.04%             | 2031-11-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Midcap Financial Issuer Trust                                                   | MIDCAP FINANCIAL ISSUER TRUST                                                   | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $397000.00    | 0.06%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MITER BRANDS ACQUISITION                                                        | MITER BRANDS ACQUISITION                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    231851 | PA      | $232757.68    | 0.04%             | 2031-03-28      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    195000 | PA      | $195975.00    | 0.03%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAL4<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    145000 | PA      | $129412.50    | 0.02%             | 2032-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Montenegro Government International Bond                                        | MONTENEGRO GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |   2155000 | PA      | $2281018.69   | 0.34%             | 2031-03-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162587.20    | 0.02%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2                        | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                        | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134380 | PA      | $135425.66    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM5                        | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                        | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187459 | PA      | $188916.23    | 0.03%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP                                                                         | CUSIP: 55336VCD0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    300000 | PA      | $290397.90    | 0.04%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP                                                                         | CUSIP: 55336VCB4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    385000 | PA      | $381644.34    | 0.06%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership LP / MPT Finance Corp                                 | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                 | CUSIP: BR5786222<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $1010469.48   | 0.15%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership LP / MPT Finance Corp                                 | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                 | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $256637.50    | 0.04%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                                                  | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53597 | PA      | $53004.62     | 0.01%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| MVW 2023-1 LLC                                                                  | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    566973 | PA      | $574299.56    | 0.09%             | 2040-10-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | MXN/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MX        |         1 | NC      | $193.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | MXN/USD FWD 20250903 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | MX        |         1 | NC      | $5611.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | MXN/USD FWD 20251017 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | MX        |         1 | NC      | $11290.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | MYR/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MY        |         1 | NC      | $-1.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | MYR/USD FWD 20250903 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |         1 | NC      | $-2653.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| National Fuel Gas Co                                                            | NATIONAL FUEL GAS CO                                                            | CUSIP: 636180BT7<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    359000 | PA      | $370531.44    | 0.06%             | 2030-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAP3<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    360000 | PA      | $407700.00    | 0.06%             | 2031-03-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    244000 | PA      | $255590.00    | 0.04%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    218000 | PA      | $199470.00    | 0.03%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    470000 | PA      | $513475.00    | 0.08%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-B                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                                | CUSIP: 63941GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $845850.33    | 0.13%             | 2069-01-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-C                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $538827.42    | 0.08%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-F                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F                                | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $343640.16    | 0.05%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1340000 | PA      | $1171937.20   | 0.18%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust                               | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $85601.45     | 0.01%             | 2029-04-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust                               | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $130880.07    | 0.02%             | 2029-04-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US Inc                                                            | NEPTUNE BIDCO US INC                                                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    451000 | PA      | $447617.50    | 0.07%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US Inc                                                            | NEPTUNE BIDCO US INC                                                            | CUSIP: 64069JAC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | LON              | CORP              | US        |    402468 | PA      | $390393.57    | 0.06%             | 2029-04-11      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 43 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |    435000 | PA      | $433640.25    | 0.07%             | 2036-07-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2022-SFR1                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-SFR1                                   | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $598467.65    | 0.09%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2025-NQM4                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                   | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1535066 | PA      | $1547975.28   | 0.23%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                                               | NEWELL BRANDS INC                                                               | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    167000 | PA      | $176393.75    | 0.03%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | NFL SR SECURED NOTE PP                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395000 | PA      | $395000.00    | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| NGL Energy Operating LLC / NGL Energy Finance Corp                              | NGL ENERGY OPERATING LLC / NGL ENERGY FINANCE CORP                              | CUSIP: 62922LAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $218493.75    | 0.03%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp                                                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    855000 | PA      | $853213.05    | 0.13%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp                                                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    420000 | PA      | $422206.26    | 0.06%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Nielsen Holdings PLC                                                            | NIELSEN HOLDINGS                                                                | CUSIP: 6539989A4<br>LEI: 549300ZVCBHQE0XHG367 | Long             | DBT              | CORP              | US        |    201214 | PA      | $198195.74    | 0.03%             | 2029-10-11      | Variable      | 14.18%                | No            |                  2 | On Loan: No      |
| Nissan Motor Co Ltd                                                             | NISSAN MOTOR CO LTD                                                             | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    285000 | PA      | $297903.38    | 0.05%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | NOK/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $33.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | NOK/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $107.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Northwoods Capital XIV-B Ltd                                                    | NORTHWOODS CAPITAL XIV-B LTD                                                    | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |    555716 | PA      | $556549.10    | 0.08%             | 2031-11-13      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    225000 | PA      | $229829.85    | 0.03%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    370000 | PA      | $378658.74    | 0.06%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust 2025-INV1                                                       | NYMT LOAN TRUST 2025-INV1                                                       | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |    221193 | PA      | $222393.99    | 0.03%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | NZD/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $-815.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | NZD/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $34.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | NZD/USD FWD 20251024 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $-306.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 Trust                                                             | OBX 2019-EXP2 TRUST                                                             | CUSIP: 67113KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27515 | PA      | $26152.21     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 Trust                                                             | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72988 | PA      | $68527.81     | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                                             | OBX 2020-EXP2 TRUST                                                             | CUSIP: 67448VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40458 | PA      | $35422.90     | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP3 Trust                                                             | OBX 2020-EXP3 TRUST                                                             | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149001 | PA      | $129694.96    | 0.02%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 Trust                                                             | OBX 2021-NQM1 TRUST                                                             | CUSIP: 67114BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    598000 | PA      | $449300.66    | 0.07%             | 2066-02-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 Trust                                                             | OBX 2024-HYB1 TRUST                                                             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217413 | PA      | $213603.10    | 0.03%             | 2053-03-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 Trust                                                            | OBX 2025-NQM14 TRUST                                                            | CUSIP: 673924AB2<br>LEI: 254900T4WKE0IYMYAI09 | Long             | ABS-MBS          | CORP              | US        |   1018454 | PA      | $1015390.87   | 0.15%             | 2065-07-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM8 Trust                                                             | OBX 2025-NQM8 TRUST                                                             | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   1117467 | PA      | $1126929.61   | 0.17%             | 2065-03-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    715000 | PA      | $822250.00    | 0.12%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EM3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $994745.83    | 0.15%             | 2054-10-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    119000 | PA      | $116917.50    | 0.02%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                             | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    705000 | PA      | $709686.50    | 0.11%             | 2037-11-26      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 47 Ltd                                              | OCTAGON INVESTMENT PARTNERS 47 LTD                                              | CUSIP: 67576XAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1655000 | PA      | $1668858.82   | 0.25%             | 2038-01-22      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 47 Ltd                                              | OCTAGON INVESTMENT PARTNERS 47 LTD                                              | CUSIP: 67576XBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1690000 | PA      | $1693447.14   | 0.26%             | 2038-01-22      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2023-1                                                 | OCTANE RECEIVABLES TRUST 2023-1                                                 | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22080 | PA      | $22118.49     | 0.00%             | 2029-05-21      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2023-3                                                 | OCTANE RECEIVABLES TRUST 2023-3                                                 | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102386.15    | 0.02%             | 2029-08-20      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2024-RVM1                                              | OCTANE RECEIVABLES TRUST 2024-RVM1                                              | CUSIP: 67579FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180753 | PA      | $182892.07    | 0.03%             | 2046-01-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| OneDigital Borrower LLC                                                         | ONEDIGITAL BORROWER LLC                                                         | CUSIP: 68252HAB0<br>LEI: 2549009GTKWWAO1E9X77 | Long             | LON              | CORP              | US        |    818752 | PA      | $825916.31    | 0.12%             | 2032-07-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| OneDigital Borrower LLC                                                         | ONEDIGITAL BORROWER LLC                                                         | CUSIP: 68277FAN9<br>LEI: 2549009GTKWWAO1E9X77 | Long             | LON              | CORP              | US        |    515000 | PA      | $514577.70    | 0.08%             | 2031-07-02      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp                                                            | ONEMAIN FINANCE CORP                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     55000 | PA      | $57475.00     | 0.01%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ontario Gaming GTA LP                                                           | ONTARIO GAMING GTA LP                                                           | CUSIP: 000000000<br>LEI: 894500EC9KLZLOC3V025 | Long             | LON              | CORP              | CA        |    456577 | PA      | $441167.06    | 0.07%             | 2030-08-01      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc                                         | ONTARIO GAMING GTA LP/OTG CO-ISSUER INC                                         | CUSIP: 68306MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    105000 | PA      | $105393.75    | 0.02%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                                  | OPAL BIDCO SAS                                                                  | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |    245000 | PA      | $249287.50    | 0.04%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Opal US LLC                                                                     | OPAL US LLC                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    780000 | PA      | $783900.00    | 0.12%             | 2032-04-28      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Osaic Holdings Inc                                                              | OSAIC HOLDINGS INC                                                              | CUSIP: 000000000<br>LEI: 549300XL60BDV6UW5C86 | Long             | LON              | CORP              | US        |    155000 | PA      | $154827.95    | 0.02%             | 2032-07-30      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Osaic Holdings Inc                                                              | OSAIC HOLDINGS INC                                                              | CUSIP: 00791GAC1<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |    220000 | PA      | $223025.00    | 0.03%             | 2033-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Osaic Holdings Inc                                                              | OSAIC HOLDINGS INC                                                              | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116725.00    | 0.02%             | 2032-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OZLM Funding II Ltd                                                             | OZLM FUNDING II LTD                                                             | CUSIP: 67108BCJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1495000 | PA      | $1495272.60   | 0.23%             | 2037-07-30      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    240000 | PA      | $198848.88    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $163423.25    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    157000 | PA      | $146371.41    | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Panther Escrow Issuer LLC                                                       | PANTHER ESCROW ISSUER LLC                                                       | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    335000 | PA      | $346306.25    | 0.05%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Paradigm Parent LLC                                                             | PARADIGM PARENT LLC                                                             | CUSIP: 69902BAB5<br>LEI: 254900EDT9YE5UFH3458 | Long             | LON              | CORP              | US        |    225000 | PA      | $201339.00    | 0.03%             | 2032-04-16      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Paradigm Parent LLC and Paradigm Parent CO-Issuer Inc                           | PARADIGM PARENT LLC AND PARADIGM PARENT CO-ISSUER INC                           | CUSIP: 69902PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    185000 | PA      | $176443.75    | 0.03%             | 2032-04-17      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PEN/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $1086.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | PEN/USD FWD 20250903 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $-83.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | PEN/USD FWD 20251002 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $89.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                                 | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    139000 | PA      | $151162.50    | 0.02%             | 2031-07-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                                 | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    190000 | PA      | $192850.00    | 0.03%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1145000 | PA      | $1215872.82   | 0.18%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1435000 | PA      | $1607712.30   | 0.24%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| PetSmart LLC                                                                    | PETSMART INC                                                                    | CUSIP: 71677HAN5<br>LEI: 894500NGJMHSFNESGA67 | Long             | LON              | CORP              | US        |     60000 | PA      | $59362.80     | 0.01%             | 2032-08-08      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| PetSmart LLC / PetSmart Finance Corp                                            | PETSMART LLC / PETSMART FINANCE CORP                                            | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $246875.00    | 0.04%             | 2032-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                                                       | PG&E CORP                                                                       | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    299000 | PA      | $297505.00    | 0.04%             | 2055-03-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Phoenix Newco Inc                                                               | PHOENIX NEWCO INC                                                               | CUSIP: 71911KAE4<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |    274549 | PA      | $274691.63    | 0.04%             | 2028-11-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PHP/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PH        |         1 | NC      | $-1.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | PHP/USD FWD 20250903 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | PH        |         1 | NC      | $-685.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PLN/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PL        |         1 | NC      | $4195.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PLN/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PL        |         1 | NC      | $-402.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Vibrantz Technologies Inc                                                       | PMHC II INC                                                                     | CUSIP: 69346EAG2<br>LEI: 549300GYZ1T3S8OPH343 | Long             | LON              | CORP              | US        |    161268 | PA      | $127435.44    | 0.02%             | 2029-04-23      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    235000 | PA      | $237874.99    | 0.04%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Port of Beaumont Navigation District                                            | PORT OF BEAUMONT NAVIGATION DISTRICT                                            | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |    865000 | PA      | $870103.41    | 0.13%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance 2024-1 LLC                                          | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54533 | PA      | $54834.57     | 0.01%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Prairie Acquiror LP                                                             | PRAIRIE ACQUIROR LP                                                             | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |    195000 | PA      | $202556.25    | 0.03%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Prairie Acquiror LP                                                             | PRAIRIE ACQUIROR LP                                                             | CUSIP: 73955HAF1<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |    277369 | PA      | $278894.75    | 0.04%             | 2029-08-01      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Pro Mach Group Inc                                                              | PRO MACH GROUP INC                                                              | CUSIP: 74273JAK9<br>LEI: 5493008SZGSVUCSNB151 | Long             | LON              | CORP              | US        |    198690 | PA      | $199170.36    | 0.03%             | 2028-08-31      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR8 Trust                                            | PROGRESS RESIDENTIAL 2021-SFR8 TRUST                                            | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $730186.20    | 0.11%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Project Alpha Intermediate Holding Inc                                          | PROJECT ALPHA INTERMEDIA                                                        | CUSIP: 74339D9B6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1159601 | PA      | $1154533.47   | 0.17%             | 2033-05-09      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| PSEG Power LLC                                                                  | PSEG POWER LLC                                                                  | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $179995.55    | 0.03%             | 2030-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Public Service Co of Oklahoma                                                   | PUBLIC SERVICE CO OF OKLAHOMA                                                   | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    815000 | PA      | $824168.75    | 0.12%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics Inc                                                           | QNITY ELECTRONICS INC                                                           | CUSIP: 74737SAB9<br>LEI: 254900RSUG4J9TFFZX53 | Long             | LON              | CORP              | US        |    130000 | PA      | $129594.40    | 0.02%             | 2032-08-12      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| QualityTech LP                                                                  | QUALITYTECH LP                                                                  | CUSIP: 74758JAB3<br>LEI: 549300GWD2FYVWRWCZ90 | Long             | LON              | CORP              | US        |    209475 | PA      | $209998.69    | 0.03%             | 2031-11-04      | Floating      | 7.84%                 | No            |                  3 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |    331755 | PA      | $331549.06    | 0.05%             | 2032-01-30      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    196000 | PA      | $202615.00    | 0.03%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    335000 | PA      | $344212.50    | 0.05%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Radiate Holdco LLC                                                              | RADIATE HOLDCO LLC                                                              | CUSIP: 75025KAK4<br>LEI: 5493000GQJ5RDX9DNJ71 | Long             | LON              | CORP              | US        |    306921 | PA      | $249628.12    | 0.04%             | 2029-09-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                         | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    760000 | PA      | $697414.00    | 0.11%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Range Resources Corp                                                            | RANGE RESOURCES CORP                                                            | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    215000 | PA      | $209625.00    | 0.03%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                               | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   1862070 | PA      | $1353080.02   | 0.20%             | 2060-01-12      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                               | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   2530000 | PA      | $1842173.81   | 0.28%             | 2060-01-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                              | REALTY INCOME CORP                                                              | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    185000 | PA      | $185870.06    | 0.03%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp                                                              | REGAL REXNORD CORP                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     53000 | PA      | $54794.16     | 0.01%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp                                                              | REGAL REXNORD CORP                                                              | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    700000 | PA      | $740763.10    | 0.11%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Reinsurance Group of America Inc                                                | REINSURANCE GROUP OF AMERICA INC                                                | CUSIP: 759351AR0<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    736000 | PA      | $778250.08    | 0.12%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Reinsurance Group of America Inc                                                | REINSURANCE GROUP OF AMERICA INC                                                | CUSIP: 759351AT6<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    390000 | PA      | $396840.99    | 0.06%             | 2055-09-15      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| Rentokil Terminix Funding LLC                                                   | RENTOKIL TERMINIX FUNDING LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |    995000 | PA      | $1010554.84   | 0.15%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RFS OPCO LLC                                                                    | RFS OPCO LLC                                                                    | CUSIP: 74970UAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    203462 | PA      | $202017.92    | 0.03%             | 2031-04-04      | Floating      | 9.05%                 | No            |                  3 | On Loan: No      |
| RFS OPCO LLC                                                                    | RFS OPCO LLC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    115000 | PA      | $114712.50    | 0.02%             | 2031-04-04      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| RFS OPCO LLC                                                                    | RFS OPCO LLC                                                                    | CUSIP: 74970UAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     99750 | PA      | $99041.78     | 0.01%             | 2031-04-04      | Floating      | 9.07%                 | No            |                  3 | On Loan: No      |
| Rivian Automotive Inc                                                           | RIVIAN AUTO INC SR UNSECURED 144A 03/29 4.625                                   | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84840.54     | 0.01%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC                            | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                            | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    685000 | PA      | $645612.50    | 0.10%             | 2031-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Romanian Government International Bond                                          | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    978000 | PA      | $979163.82    | 0.15%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                                          | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAY6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1160000 | PA      | $1171734.56   | 0.18%             | 2030-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                                  | SABRE GLBL INC                                                                  | CUSIP: 78571YBK5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |    178496 | PA      | $170017.18    | 0.03%             | 2029-11-15      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                                  | SABRE GLBL INC                                                                  | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    195000 | PA      | $189393.75    | 0.03%             | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                                  | SABRE GLBL INC                                                                  | CUSIP: 78573NAM4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137200.00    | 0.02%             | 2030-07-15      | Fixed         | 11.12%                | No            |                  2 | On Loan: No      |
| Sandisk Corp/DE                                                                 | SANDISK CORP                                                                    | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    529498 | PA      | $527512.11    | 0.08%             | 2032-02-20      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2023-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-A                           | CUSIP: 80290CBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35424 | PA      | $35534.37     | 0.01%             | 2033-06-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2023-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-A                           | CUSIP: 80290CBU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66681 | PA      | $66871.23     | 0.01%             | 2033-06-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2023-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-B                           | CUSIP: 80290CCC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    836148 | PA      | $844418.23    | 0.13%             | 2033-12-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                           | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229308 | PA      | $231566.71    | 0.03%             | 2032-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                           | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275947 | PA      | $278819.63    | 0.04%             | 2032-06-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | CUSIP: 80280BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $260857.79    | 0.04%             | 2033-01-18      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250770.43    | 0.04%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust 2021-A                                | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-A                                | CUSIP: 80282YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411902 | PA      | $410042.44    | 0.06%             | 2027-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4                                   | CUSIP: 80285VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3490021.50   | 0.53%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust 2025-NQM2                             | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682532 | PA      | $689379.02    | 0.10%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $90425.57     | 0.01%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2835221.97   | 0.43%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing 2024-1 LLC                                                | SCF EQUIPMENT LEASING 2024-1 LLC                                                | CUSIP: 783896AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $736741.39    | 0.11%             | 2033-06-21      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Scripps Escrow II Inc                                                           | SCRIPPS ESCROW II INC                                                           | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $115050.00    | 0.02%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| SEB Funding LLC                                                                 | SEB FUNDING LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $887700.11    | 0.13%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust                                         | SECURITIZED TERM AUTO RECEIVABLES TRUST                                         | CUSIP: 81378RAB0<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |    240438 | PA      | $242347.32    | 0.04%             | 2031-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust 2025-B                                  | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                  | CUSIP: 81378WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    192125 | PA      | $193517.86    | 0.03%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust 2025-B                                  | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                  | CUSIP: 81378WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     71488 | PA      | $71942.59     | 0.01%             | 2032-12-29      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | SEK/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SE        |         1 | NC      | $16.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | SEK/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SE        |         1 | NC      | $-16.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-4                                                   | SEQUOIA MORTGAGE TRUST 2013-4                                                   | CUSIP: 81744YAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169440 | PA      | $164442.32    | 0.02%             | 2043-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-CH2                                                 | SEQUOIA MORTGAGE TRUST 2017-CH2                                                 | CUSIP: 81746JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39538 | PA      | $37206.87     | 0.01%             | 2047-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH1                                                 | SEQUOIA MORTGAGE TRUST 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $13683.72     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH3                                                 | SEQUOIA MORTGAGE TRUST 2018-CH3                                                 | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |      3545 | PA      | $3511.57      | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                        | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206000.00    | 0.03%             | 2032-06-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                        | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    505000 | PA      | $536562.50    | 0.08%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-1                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $97386.22     | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-1                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035000 | PA      | $1060418.57   | 0.16%             | 2031-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | SGD/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SG        |         1 | NC      | $-14.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Shackleton 2019-XIV Clo Ltd                                                     | SHACKLETON 2019-XIV CLO LTD                                                     | CUSIP: 81880XAY8<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   1190000 | PA      | $1191666.98   | 0.18%             | 2034-07-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2023-2 Receivables Funding LLC                                 | SIERRA TIMESHARE 2023-2 RECEIVABLES FUNDING LLC                                 | CUSIP: 82650BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377091 | PA      | $390534.02    | 0.06%             | 2040-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 5 Ltd                                                           | SIGNAL PEAK CLO 5 LTD                                                           | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $952736.06    | 0.14%             | 2037-04-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Sinclair Television Group Inc                                                   | SINCLAIR TELEVISION GROU                                                        | CUSIP: 829229AU7<br>LEI: 549300CQGEN0CH65UD62 | Long             | LON              | CORP              | US        |    140000 | PA      | $125790.00    | 0.02%             | 2029-12-31      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                             | SIRIUS XM RADIO LLC                                                             | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6973.75      | 0.00%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2017-B                                         | SMB PRIVATE EDUCATION LOAN TRUST 2017-B                                         | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |     22269 | PA      | $22081.93     | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2020-PTB                                       | SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                       | CUSIP: 78449DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213974 | PA      | $202104.74    | 0.03%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    435000 | PA      | $470717.85    | 0.07%             | 2034-01-10      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBT8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    600000 | PA      | $629025.60    | 0.10%             | 2053-01-10      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1030000 | PA      | $1003319.91   | 0.15%             | 2028-01-19      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    995000 | PA      | $1016143.75   | 0.15%             | 2029-04-13      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $1051149.60   | 0.16%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    670000 | PA      | $668657.32    | 0.10%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| SOUND POINT CLO XXII LTD                                                        | SOUND POINT CLO XXII LTD                                                        | CUSIP: 83611KAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250291.22    | 0.04%             | 2032-01-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                                       | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151295.40    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| South32 Treasury Ltd                                                            | SOUTH32 TREASURY LTD                                                            | CUSIP: 84055BAA1<br>LEI: 213800HFGZMXST64GP53 | Long             | DBT              | CORP              | AU        |   2120000 | PA      | $2014042.40   | 0.30%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co                                                      | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434DC3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    310000 | PA      | $317838.66    | 0.05%             | 2035-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MICRO E-MINI S&P 500 FUTURES                                                    | SP500 MIC EMIN FUTSEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        13 | NC      | $-1092.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SG ISSUER SA                                                                    | SPX US 09/19/25 P6200                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        29 | NC      | $53650.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                                         | SRI LANKA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: YS0724148<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |         1 | PA      | $0.84         | 0.00%             | 2038-02-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Stagwell Global LLC                                                             | STAGWELL GLOBAL LLC                                                             | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |    205000 | PA      | $197312.50    | 0.03%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Star Parent Inc                                                                 | STAR PARENT INC                                                                 | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |    196000 | PA      | $207515.00    | 0.03%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-1                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                                      | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $534878.22    | 0.08%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-2                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                      | CUSIP: 85573HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1791277.00   | 0.27%             | 2065-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics Inc                                                              | STEEL DYNAMICS INC                                                              | CUSIP: 858119BS8<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    710000 | PA      | $716434.73    | 0.11%             | 2035-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                                       | SUNOCO LP                                                                       | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    215000 | PA      | $227093.75    | 0.03%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    460000 | PA      | $478102.38    | 0.07%             | 2035-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155114.25    | 0.02%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Swiss RE Subordinated Finance PLC                                               | SWISS RE SUBORDINATED FINANCE PLC                                               | CUSIP: 87088QAB0<br>LEI: 636700H29EH5Z8ZU8L04 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $602627.40    | 0.09%             | 2046-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd                                                            | SYMPHONY CLO XVI LTD                                                            | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |    890310 | PA      | $890527.59    | 0.13%             | 2031-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                    | SYNOPSYS INC                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    595000 | PA      | $584035.94    | 0.09%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund                                           | T. Rowe Price Government Reserve Fund                                           | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |  10235787 | NS      | $10235787.19  | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| T. Rowe Price Government Reserve Fund                                           | T. Rowe Price Government Reserve Fund - Collateral                              | CUSIP: 76105YYY8<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |   7543722 | NS      | $7543722.50   | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAV2<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    556536 | PA      | $557693.38    | 0.08%             | 2030-05-17      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    432000 | PA      | $460080.00    | 0.07%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAY6<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    357876 | PA      | $358770.50    | 0.05%             | 2031-12-13      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                    | CUSIP: 87470LAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $220375.00    | 0.03%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                                                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    785000 | PA      | $791652.88    | 0.12%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp                                                           | TENET HEALTHCARE CORP                                                           | CUSIP: 88033GAV2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    180000 | PA      | $192825.00    | 0.03%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CMG Media Corp                                                                  | TERRIER MEDIA BUYER INC                                                         | CUSIP: 88145LAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    392383 | PA      | $376491.84    | 0.06%             | 2029-06-18      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | THB/USD FWD 20250903 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | TH        |         1 | NC      | $1120.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | THB/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TH        |         1 | NC      | $-9.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | THB/USD FWD 20251002 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | TH        |         1 | NC      | $-1516.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THL Credit Wind River 2019-3 Clo Ltd                                            | THL CREDIT WIND RIVER 2019-3 CLO LTD                                            | CUSIP: 97314JAN5<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    965000 | PA      | $967040.70    | 0.15%             | 2031-04-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     91000 | PA      | $94071.52     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    212000 | PA      | $219299.58    | 0.03%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TK Elevator US Newco Inc                                                        | TK ELEVATOR US NEWCO INC                                                        | CUSIP: 8869969C3<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |    641717 | PA      | $643795.71    | 0.10%             | 2030-04-30      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2024-3                                                | TOWD POINT MORTGAGE TRUST 2024-3                                                | CUSIP: 89183FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140489 | PA      | $143593.29    | 0.02%             | 2065-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2024-5                                                | TOWD POINT MORTGAGE TRUST 2024-5                                                | CUSIP: 891944AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1495363 | PA      | $1485921.91   | 0.22%             | 2064-10-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2025-1                                                | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316849 | PA      | $317547.01    | 0.05%             | 2065-06-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2025-1                                                | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638573 | PA      | $643604.14    | 0.10%             | 2065-06-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Townsquare Media Inc                                                            | TOWNSQUARE MEDIA INC                                                            | CUSIP: 8922319C7<br>LEI: 549300XBA8C68H0DR538 | Long             | LON              | CORP              | US        |    327938 | PA      | $291864.38    | 0.04%             | 2030-02-19      | Floating      | 9.19%                 | No            |                  3 | On Loan: No      |
| TPIC SPV I LLC                                                                  | TPIC SPV I LLC                                                                  | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |   1389652 | PA      | $1389652.28   | 0.21%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76781.25     | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    185000 | PA      | $190550.00    | 0.03%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    136000 | PA      | $141100.00    | 0.02%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    290000 | PA      | $290066.70    | 0.04%             | 2032-08-19      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    460000 | PA      | $478975.00    | 0.07%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Transocean Aquila Ltd                                                           | TRANSOCEAN AQUILA LTD                                                           | CUSIP: 893790AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    118231 | PA      | $121038.75    | 0.02%             | 2028-09-30      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Transocean Inc                                                                  | TRANSOCEAN INC                                                                  | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |    241500 | PA      | $255084.38    | 0.04%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Tricon Residential 2024-SFR2 Trust                                              | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $882875.57    | 0.13%             | 2040-06-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential 2024-SFR2 Trust                                              | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132743 | PA      | $133533.60    | 0.02%             | 2040-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | TRY/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TR        |         1 | NC      | $3895.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | TRY/USD FWD 20251016 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | TR        |         1 | NC      | $30598.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US 2YR FUTR OPTN  Oct25P 103.75                                                 | TUV5P    103.75 PIT                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       473 | NC      | $22172.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | TWD/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TW        |         1 | NC      | $-12689.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | TWD/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TW        |         1 | NC      | $-368.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US 10YR FUT OPTN  Oct25P 112                                                    | TYV5P    112 PIT                                                                | CUSIP: 000000000<br>LEI: 254900HROIFWPRGM1V77 | N/A              | DIR              | CORP              | US        |       161 | NC      | $67921.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    311000 | PA      | $273415.03    | 0.04%             | 2033-02-11      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                                | UFC HOLDINGS LLC                                                                | CUSIP: 90266UAK9<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    248588 | PA      | $249172.09    | 0.04%             | 2031-11-21      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |    340000 | PA      | $350625.00    | 0.05%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |   1092777 | PA      | $1091869.62   | 0.16%             | 2031-02-10      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1980000 | PA      | $2047985.16   | 0.31%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1275000 | PA      | $1047890.63   | 0.16%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5370000 | PA      | $4640015.63   | 0.70%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    825000 | PA      | $707727.54    | 0.11%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6440000 | PA      | $6482514.05   | 0.98%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2395000 | PA      | $1731884.38   | 0.26%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9925000 | PA      | $9730376.90   | 1.47%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12970000 | PA      | $13080447.59  | 1.98%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    960000 | PA      | $852600.00    | 0.13%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2560000 | PA      | $2639900.01   | 0.40%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1480000 | PA      | $1030739.06   | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7300000 | PA      | $6531503.89   | 0.99%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4070000 | PA      | $4168093.35   | 0.63%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2255000 | PA      | $1401623.44   | 0.21%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4080000 | PA      | $3958396.86   | 0.60%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    555000 | PA      | $551813.08    | 0.08%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $551332.03    | 0.08%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2145000 | PA      | $1716670.31   | 0.26%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2715000 | PA      | $2458029.49   | 0.37%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6730000 | PA      | $6629838.69   | 1.00%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10795000 | PA      | $6450012.50   | 0.97%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1620843.75   | 0.24%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13340000 | PA      | $13561985.87  | 2.05%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $168553.71    | 0.03%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7260000 | PA      | $7056096.08   | 1.07%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4555000 | PA      | $4075479.48   | 0.62%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12150000 | PA      | $12517347.60  | 1.89%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12935000 | PA      | $13115887.83  | 1.98%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8225000 | PA      | $7470292.01   | 1.13%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2215000 | PA      | $1400987.50   | 0.21%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9130000 | PA      | $4408434.74   | 0.67%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2815000 | PA      | $2661054.69   | 0.40%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1275000 | PA      | $1038178.71   | 0.16%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3810000 | PA      | $3861345.69   | 0.58%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1535000 | PA      | $1471201.56   | 0.22%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1029843.75   | 0.16%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1163109.38   | 0.18%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9010000 | PA      | $9221171.88   | 1.39%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $513843.75    | 0.08%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6475000 | PA      | $6414549.79   | 0.97%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5495000 | PA      | $5567121.88   | 0.84%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13650000 | PA      | $7699453.13   | 1.16%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13030000 | PA      | $13185749.15  | 1.99%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    455000 | PA      | $398498.24    | 0.06%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    930000 | PA      | $901446.09    | 0.14%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179010.18    | 0.03%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    315000 | PA      | $321551.37    | 0.05%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc                                                    | UNIVISION COMMUNICATIONS INC                                                    | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    190000 | PA      | $195225.00    | 0.03%             | 2031-07-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc                                                    | UNIVISION COMMUNICATIONS INC                                                    | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    140000 | PA      | $147350.00    | 0.02%             | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| CBOT 10 YEAR US TREASURY NOTE                                                   | US 10YR NOTE (CBT)DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -32 | NC      | $-16295.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ULTRA 10-YEAR US TREASURY NOTE FUTURES                                          | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      1125 | NC      | $490590.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ULTRA U.S. TREASURY BOND FUTURES                                                | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       491 | NC      | $125888.23    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOT 5 YEAR US TREASURY NOTE                                                    | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       105 | NC      | $40866.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US Bancorp                                                                      | US BANCORP                                                                      | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    181000 | PA      | $179771.55    | 0.03%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                                                      | US BANK NA                                                                      | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76091 | PA      | $76995.35     | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| ULTRA U.S. TREASURY BOND FUTURES                                                | US ULTRA BOND CBT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      -177 | NC      | $94498.22     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/BRL FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-269.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/BRL FWD 20250903 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-23755.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | USD/BRL FWD 20250903 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1206.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/BRL FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-56.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | USD/BRL FWD 20251002 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1536.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CAD FWD 20250902 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-49.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | USD/CAD FWD 20251024 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-386.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CAD FWD 20251024 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $423.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | USD/CAD FWD 20251024 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1386.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CHF FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-69.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CHF FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-474.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CLP FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $60.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/CLP FWD 20250903 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2329.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | USD/CLP FWD 20250903 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $164.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CLP FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-159.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/CLP FWD 20251002 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2336.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CNH FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-57.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/COP FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3097.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | USD/COP FWD 20251205 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3969.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CZK FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6891.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | USD/EGP FWD 20250902 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $260.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | USD/EGP FWD 20250902 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $216.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/EGP FWD 20250911 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-262574.42   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | USD/EGP FWD 20251002 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-215.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/EUR FWD 20250902 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-44.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/GBP FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-430.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/HUF FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2498.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/IDR FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                                                     | USD/IDR FWD 20250903 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2273.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/IDR FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1438.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/ILS FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2964.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/ILS FWD 20251003 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $303.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | USD/INR FWD 20250903 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-14135.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/INR FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1597.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | USD/INR FWD 20250903 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2766.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/INR FWD 20251003 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-33.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | USD/INR FWD 20251003 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2709.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                                                     | USD/JPY FWD 20251024 BNPAFRPP                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6758.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/JPY FWD 20251024 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7258.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/KRW FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $13.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | USD/KRW FWD 20250903 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8021.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/MXN FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/MXN FWD 20250903 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1693.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/MXN FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-25.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/MXN FWD 20251002 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1578.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/MYR FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $319.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | USD/MYR FWD 20250903 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2456.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/MYR FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | USD/MYR FWD 20251002 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2565.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/NOK FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-254.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/NOK FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-33.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/NZD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | USD/NZD FWD 20251024 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $476.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PEN FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-197.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PHP FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-861.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | USD/PHP FWD 20250903 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-483.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PHP FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | USD/PHP FWD 20251002 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $576.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PLN FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3511.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/SEK FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-107.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/SGD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8882.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/THB FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | USD/THB FWD 20250903 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3525.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/TRY FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $995.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/TRY FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1323.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/TWD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9803.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/ZAR FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| USI Inc/NY                                                                      | USI INC/NY                                                                      | CUSIP: 90346KAB5<br>LEI: 2549006D7UF7072T7I27 | Long             | DBT              | CORP              | US        |    350000 | PA      | $370125.00    | 0.06%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    650000 | PA      | $644312.50    | 0.10%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    290000 | PA      | $318637.50    | 0.05%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    405000 | PA      | $421200.00    | 0.06%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    475000 | PA      | $529031.25    | 0.08%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $197325.00    | 0.03%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    310000 | PA      | $323950.00    | 0.05%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Veon Midco BV                                                                   | VEON MIDCO BV                                                                   | CUSIP: YX4775913<br>LEI: 213800GOFSH7EPKBRE50 | Long             | DBT              | CORP              | NL        |    720000 | PA      | $670500.00    | 0.10%             | 2027-11-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables 2024-1 LLC                                                  | VERDANT RECEIVABLES 2024-1 LLC                                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170586 | PA      | $173603.23    | 0.03%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-4                                               | VERUS SECURITIZATION TRUST 2022-4                                               | CUSIP: 92538NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379106 | PA      | $377419.79    | 0.06%             | 2067-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-1                                               | VERUS SECURITIZATION TRUST 2023-1                                               | CUSIP: 92539BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702897 | PA      | $702446.76    | 0.11%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2025-2                                               | VERUS SECURITIZATION TRUST 2025-2                                               | CUSIP: 92540VAA3<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |    153433 | PA      | $154235.88    | 0.02%             | 2070-03-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2025-INV1                                            | VERUS SECURITIZATION TRUST 2025-INV1                                            | CUSIP: 924929AE2<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |    712223 | PA      | $718052.23    | 0.11%             | 2070-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Viasat Inc                                                                      | VIASAT INC                                                                      | CUSIP: 92555WAD7<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | LON              | CORP              | US        |    203949 | PA      | $202390.55    | 0.03%             | 2029-03-02      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Viasat Inc                                                                      | VIASAT INC                                                                      | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |    140000 | PA      | $130900.00    | 0.02%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust 2020-1                                         | VISTA POINT SECURITIZATION TRUST 2020-1                                         | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $335217.73    | 0.05%             | 2065-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                     | VISTRA CORP                                                                     | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    514000 | PA      | $524280.00    | 0.08%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                     | VISTRA CORP                                                                     | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1962937.50   | 0.30%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    570000 | PA      | $628866.18    | 0.10%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     19000 | PA      | $19438.94     | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Vital Energy Inc                                                                | VITAL ENERGY INC                                                                | CUSIP: 516806AJ5<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |    195000 | PA      | $202312.50    | 0.03%             | 2030-10-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    380000 | PA      | $389871.64    | 0.06%             | 2030-03-27      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2018-3 Ltd                                                             | VOYA CLO 2018-3 LTD                                                             | CUSIP: 92917KAU8<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $410656.75    | 0.06%             | 2031-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2018-3 Ltd                                                             | VOYA CLO 2018-3 LTD                                                             | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    503903 | PA      | $504023.26    | 0.08%             | 2031-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Voyager Parent LLC                                                              | VOYAGER PARENT LLC                                                              | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    265000 | PA      | $278250.00    | 0.04%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Wand NewCo 3 Inc                                                                | WAND NEWCO 3 INC                                                                | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |    185000 | PA      | $194943.75    | 0.03%             | 2032-01-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Wand NewCo 3 Inc                                                                | WAND NEWCO 3 INC                                                                | CUSIP: 93369PAM6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |    308375 | PA      | $307644.64    | 0.05%             | 2031-01-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust 2024-HQ                                            | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $220393.78    | 0.03%             | 2040-03-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WEC US Holdings Inc                                                             | WEC US HOLDINGS INC                                                             | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    187831 | PA      | $187798.68    | 0.03%             | 2031-01-27      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $657875.40    | 0.10%             | 2034-10-23      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1639000 | PA      | $1684749.41   | 0.25%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| WinWater Mortgage Loan Trust 2016-1                                             | WINWATER MORTGAGE LOAN TRUST 2016-1                                             | CUSIP: 97655JCD2<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |    418468 | PA      | $400205.16    | 0.06%             | 2046-01-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Wolfspeed Inc                                                                   | WOLFSPEED INC                                                                   | CUSIP: 977852AE2<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |    200000 | PA      | $212061.68    | 0.03%             | 2030-06-23      | Variable      | 12.88%                | No            |                  2 | On Loan: No      |
| X Corp                                                                          | X CORP                                                                          | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    310000 | PA      | $304519.20    | 0.05%             | 2029-10-26      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| Yum  Brands Inc                                                                 | YUM! BRANDS INC                                                                 | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110275.00    | 0.02%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | ZAR/USD FWD 20250903 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ZA        |         1 | NC      | $50.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | ZAR/USD FWD 20250903 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | ZA        |         1 | NC      | $4804.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | ZAR/USD FWD 20251002 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ZA        |         1 | NC      | $72.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-02

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

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President