# EDGAR Filing Document

**Accession Number:** 0000897111
**File Stem:** 0001193125-26-081022
**Filing Date:** 2026-2
**Character Count:** 104274
**Document Hash:** e54efabcbcd549167e3dc719ac14efff
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-081022.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001193125-26-081022

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** CARILLON SERIES TRUST
- **CENTRAL INDEX KEY:** 0000897111

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07470
- **FILM NUMBER:** 26695326

**BUSINESS ADDRESS:**
- **STREET 1:** 880 CARILLON PARKWAY
- **CITY:** ST PETERSBURG
- **STATE:** FL
- **ZIP:** 33716
- **BUSINESS PHONE:** 727-567-8143

**MAIL ADDRESS:**
- **STREET 1:** 880 CARILLON PARKWAY
- **CITY:** ST. PETERSBURG
- **STATE:** FL
- **ZIP:** 33716

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** EAGLE SERIES TRUST
- **DATE OF NAME CHANGE:** 20081110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HERITAGE SERIES TRUST
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### Carillon Reams Unconstrained Bond Fund (Series ID: S000058965)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000193399 | Class A      | SUBDX           |
| C000193400 | Class C      | SUBEX           |
| C000193401 | Class I      | SUBFX           |
| C000193404 | Class R-6    | SUBTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Carillon Series Trust

- **b. Investment Company Act file number:** 811-07470

- **c. CIK number of Registrant:** 0000897111

- **d. LEI of Registrant:** 549300RNYMX90LFTNW23

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

  - **Street Address 1:** 880 Carillon Parkway

  - **City:** St. Petersburg

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33716

  - **Telephone number:** 7275671000

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

- **a. Name of Series:** Carillon Reams Unconstrained Bond Fund

- **b. EDGAR series identifier (if any):** S000058965

- **c. LEI of Series:** 549300MVU3XYYWJ6RX19

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2182595846.00

**Total Liabilities:** $20848728.23

**Net Assets:** $2161747117.77

**Delayed Delivery Securities:** $4640759.47

**Cash Not Reported:** $77937540.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 403345.940000000000 | **1-Year:** 61399.610000000000 | **5-Year:** 244482.730000000000 | **10-Year:** 463074.650000000000 | **30-Year:** 232492.170000000000

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

- **3-Month:** 11.650000000000 | **1-Year:** 4.090000000000 | **5-Year:** 24051.560000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000193399 | 0.86%                | 0.59%                | -0.44%               |
| Class ID C000193400 | 0.74%                | 0.55%                | -0.43%               |
| Class ID C000193401 | 0.81%                | 0.69%                | -0.38%               |
| Class ID C000193404 | 0.82%                | 0.62%                | -0.29%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6515576.77              | $-631748.80                                |
| Month 2  | $5831691.87              | $2607087.38                                |
| Month 3  | $-3175.56                | $-18759644.70                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GCAT                           | GCAT 2022-INV1 Trust                                  | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4421539 | PA      | $3874890.89   | 0.18%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC 2025-2                | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9390000 | PA      | $9537694.37   | 0.44%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                       | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  12545000 | PA      | $12700694.74  | 0.59%             | 2029-12-26      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                       | CUSIP: 42806MDF3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  11915000 | PA      | $12234836.73  | 0.57%             | 2031-12-25      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust         | Invitation Homes 2024-SFR1 Trust                      | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098119 | PA      | $1081339.77   | 0.05%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA        | JetBlue 2019-1 Class AA Pass Through Trust            | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    748347 | PA      | $671335.61    | 0.03%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP           | JetBlue 2020-1 Class A Pass Through Trust             | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3374168 | PA      | $3212164.59   | 0.15%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2025-HE2                   | CUSIP: 46593XAA1<br>LEI: 529900TXCH9G2RM4XB25 | Long             | ABS-MBS          | CORP              | US        |   4838742 | PA      | $4846089.56   | 0.22%             | 2055-11-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-14                    | CUSIP: 46653QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780139 | PA      | $2222303.93   | 0.10%             | 2052-05-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2025-HE3                     | CUSIP: 46660CAA5<br>LEI: 529900FDW9QWEZPAFE21 | Long             | ABS-MBS          | CORP              | US        |   3169079 | PA      | $3170036.61   | 0.15%             | 2056-03-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                          | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   6350000 | PA      | $6546383.08   | 0.30%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-INV1         | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3538353 | PA      | $3085854.52   | 0.14%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ7          | CUSIP: 36262CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3571460 | PA      | $2989143.79   | 0.14%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-GR2          | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2646553 | PA      | $2215040.86   | 0.10%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ10         | CUSIP: 36262PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4008423 | PA      | $3354861.76   | 0.16%             | 2052-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-MM1          | CUSIP: 36264JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10359166 | PA      | $8670135.21   | 0.40%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2022-PJ2     | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2777124 | PA      | $2320711.93   | 0.11%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GE HealthCare Technologies Inc                        | CUSIP: 36267VAH6<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   6725000 | PA      | $7111779.83   | 0.33%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2023-PJ5          | CUSIP: 36268ABB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3560031 | PA      | $3615470.20   | 0.17%             | 2054-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-LTV2         | CUSIP: 36268SCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3191743 | PA      | $3032923.85   | 0.14%             | 2052-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2025-PJ7          | CUSIP: 36272MAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4272903 | PA      | $4294732.05   | 0.20%             | 2055-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2025-NQM5         | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |   1881797 | PA      | $1883619.08   | 0.09%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2023-CCM1         | CUSIP: 362918AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1458540 | PA      | $1458340.38   | 0.07%             | 2053-08-25      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-PJ5          | CUSIP: 362925AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6219572 | PA      | $5217306.67   | 0.24%             | 2052-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                       | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   7155000 | PA      | $7392693.61   | 0.34%             | 2028-01-09      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                           | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7010000 | PA      | $7238847.69   | 0.33%             | 2031-01-28      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                           | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2501281.76   | 0.12%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GS FINANCE CORP                | GS Finance Corp                                       | CUSIP: 40058QFQ7<br>LEI: 549300FR80KBVO6DRL61 | Long             | SN               | CORP              | US        |   2347000 | PA      | $2968955.00   | 0.14%             | 2026-01-06      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                       | CUSIP: 42806MCE7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  11949000 | PA      | $12507797.37  | 0.58%             | 2030-03-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                       | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  10530000 | PA      | $10651632.03  | 0.49%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2023-SFR2 Trust                                  | CUSIP: 00178YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $856936.99    | 0.04%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2A PTT         | Air Canada 2020-2 Class A Pass Through Trust          | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1170346 | PA      | $1196222.74   | 0.06%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR        | Alaska Airlines 2020-1 Class A Pass Through Trust     | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3371685 | PA      | $3391144.96   | 0.16%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE         | American Honda Finance Corp                           | CUSIP: 02665WFZ9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   4370000 | PA      | $4428904.67   | 0.20%             | 2035-03-05      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO           | Appalachian Power Co                                  | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   6185000 | PA      | $5659060.88   | 0.26%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | ARES XLIV CLO Ltd                                     | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3700000 | PA      | $3697639.40   | 0.17%             | 2034-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC              | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   6090000 | PA      | $6279268.07   | 0.29%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC              | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  10460000 | PA      | $10717444.66  | 0.50%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC              | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   9870000 | PA      | $9859308.82   | 0.46%             | 2030-02-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2022-C18                         | CUSIP: 054975AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6481268 | PA      | $6579198.95   | 0.30%             | 2055-12-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit | Bain Capital Credit CLO 2021-1 Ltd                    | CUSIP: 05684LAN5<br>LEI: 254900DHB4WS9ZL4ED63 | Long             | ABS-CBDO         | CORP              | KY        |   5995000 | PA      | $5985270.12   | 0.28%             | 2034-04-18      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                  | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2966415.40   | 0.14%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                  | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8425000 | PA      | $8582662.84   | 0.40%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                  | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2512660.84   | 0.12%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2023-NQM1                | CUSIP: 066940AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1251224 | PA      | $1258990.80   | 0.06%             | 2063-01-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| BARDOT CLO LTD                 | Bardot CLO Ltd                                        | CUSIP: 06744NBQ9<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |   2992039 | PA      | $2992230.08   | 0.14%             | 2032-10-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Barings Loan Partners CLO Ltd. | Barings Loan Partners CLO Ltd 3                       | CUSIP: 06762QAQ0<br>LEI: 549300RUPLT0ZHQPBR47 | Long             | ABS-CBDO         | CORP              | KY        |   5835150 | PA      | $5836970.32   | 0.27%             | 2033-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                     | CUSIP: 08163GAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3944070 | PA      | $3865124.23   | 0.18%             | 2054-08-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| BOFA FINANCE LLC               | BofA Finance LLC                                      | CUSIP: 09711CAD6<br>LEI: 549300CGZYSEY3ZSIW16 | Long             | SN               | CORP              | US        |   2424000 | PA      | $2870743.20   | 0.13%             | 2026-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | Bravo Residential Funding Trust 2025-NQM9             | CUSIP: 10569WAC5<br>LEI: 254900XY2WSFF1Q6S467 | Long             | ABS-MBS          | CORP              | US        |   8879594 | PA      | $8902704.14   | 0.41%             | 2065-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                   | Bridge 2025-SFR1 Trust                                | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9030390 | PA      | $8702232.18   | 0.40%             | 2042-09-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT         | British Airways 2021-1 Class A Pass Through Trust     | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4181772 | PA      | $3821944.96   | 0.18%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2018-J1 Trust                                    | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1855525 | PA      | $1678207.01   | 0.08%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-10 Mortgage Loan Trust                      | CUSIP: 12675XAA4<br>LEI: 213800STFGFKQEQSRE63 | Long             | ABS-MBS          | CORP              | US        |   7152792 | PA      | $7176019.57   | 0.33%             | 2070-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-11 Mortgage Loan Trust                      | CUSIP: 12676KAC7<br>LEI: 213800CETFGZSOQ6WF79 | Long             | ABS-MBS          | CORP              | US        |   7120000 | PA      | $7137761.55   | 0.33%             | 2070-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2025-3              | CUSIP: 16160MAX1<br>LEI: 529900HBZNCZRSLIS225 | Long             | ABS-MBS          | CORP              | US        |   2445600 | PA      | $2446463.86   | 0.11%             | 2056-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust Series 2025-9       | CUSIP: 16160UBA2<br>LEI: 529900II236FJ8MBXS58 | Long             | ABS-MBS          | CORP              | US        |   1765502 | PA      | $1765574.82   | 0.08%             | 2056-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                         | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2490593.30   | 0.12%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                         | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4105000 | PA      | $4117704.07   | 0.19%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                         | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10255000 | PA      | $10490350.30  | 0.49%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                 | CUSIP: 17329EAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3960169 | PA      | $3314475.59   | 0.15%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-J2                 | CUSIP: 17329MCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1562452 | PA      | $1409217.52   | 0.07%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-12 Mortgage Loan Trust                      | CUSIP: 19688UAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5020000 | PA      | $5026165.06   | 0.23%             | 2071-01-26      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC        | Consolidated Edison Co of New York Inc                | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    510000 | PA      | $493882.77    | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 20-C9 Mortgage Trust                            | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213075 | PA      | $212702.02    | 0.01%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA        | Delta Air Lines 2020-1 Class AA Pass Through Trust    | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10244850 | PA      | $9784411.65   | 0.45%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC            | Dominion Energy Inc                                   | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   6090000 | PA      | $5875860.80   | 0.27%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP               | Duke Energy Corp                                      | CUSIP: 26441CBW4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3542670.55   | 0.16%             | 2027-12-08      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC        | Duke Energy Indiana LLC                               | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   7605000 | PA      | $7876256.58   | 0.36%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC        | Duke Energy Florida LLC                               | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $4264023.22   | 0.20%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC           | ERAC USA Finance LLC                                  | CUSIP: 26884TAV4<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   6410000 | PA      | $6493877.54   | 0.30%             | 2028-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC          | Entergy Louisiana LLC                                 | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   5485000 | PA      | $4837375.57   | 0.22%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC          | Entergy Louisiana LLC                                 | CUSIP: 29364WBM9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |  11650000 | PA      | $12107482.22  | 0.56%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                  | CUSIP: 29366MAE8<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   5810000 | PA      | $6050791.96   | 0.28%             | 2033-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BS6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19259168 | PA      | $19299706.54  | 0.89%             | 2054-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BTYR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3426648 | PA      | $3432587.42   | 0.16%             | 2051-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BUPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15213656 | PA      | $15267252.34  | 0.71%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BV6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5908484 | PA      | $5931054.30   | 0.27%             | 2055-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BVQP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16335755 | PA      | $16391366.34  | 0.76%             | 2055-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21208842 | PA      | $21283526.34  | 0.98%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BXPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7119686 | PA      | $7150784.89   | 0.33%             | 2055-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BXS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11670167 | PA      | $11698154.65  | 0.54%             | 2055-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BXSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3845230 | PA      | $3826692.11   | 0.18%             | 2052-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BXT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16345381 | PA      | $16384009.59  | 0.76%             | 2055-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BYCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17454421 | PA      | $17479090.90  | 0.81%             | 2055-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BYCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20060907 | PA      | $20091012.63  | 0.93%             | 2055-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                     | CUSIP: 3136BYDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4351655 | PA      | $4329447.07   | 0.20%             | 2054-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HHXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9467798 | PA      | $9488704.61   | 0.44%             | 2055-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HJWF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2920491 | PA      | $2919887.62   | 0.14%             | 2055-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HJWK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2314006 | PA      | $2319211.47   | 0.11%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HKEP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3908877 | PA      | $3917311.85   | 0.18%             | 2054-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HKTV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10714779 | PA      | $10746106.62  | 0.50%             | 2055-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HLU34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31589310 | PA      | $31827202.32  | 1.47%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HMKB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12412748 | PA      | $12473529.54  | 0.58%             | 2055-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HN3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7114077 | PA      | $7165092.37   | 0.33%             | 2055-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HNLK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9612442 | PA      | $9636723.06   | 0.45%             | 2055-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HNSG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11846935 | PA      | $11884757.07  | 0.55%             | 2055-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HNXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17798469 | PA      | $17824752.17  | 0.82%             | 2055-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HNXT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2344261 | PA      | $2347407.22   | 0.11%             | 2055-12-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HPKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14420000 | PA      | $14440943.61  | 0.67%             | 2056-01-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-4                        | CUSIP: 33852FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970731 | PA      | $4163250.79   | 0.19%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-8INV                     | CUSIP: 33852HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353959 | PA      | $1129815.17   | 0.05%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                              | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2215000 | PA      | $2203483.93   | 0.10%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2023-6                     | CUSIP: 465989AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4710266 | PA      | $4768176.22   | 0.22%             | 2053-12-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-INV8                  | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000741 | PA      | $4382484.77   | 0.20%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-4                     | CUSIP: 46655GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1833567 | PA      | $1600001.86   | 0.07%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                     | CUSIP: 46655KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2784108 | PA      | $2540103.30   | 0.12%             | 2052-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                     | CUSIP: 46655KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2175453 | PA      | $1895508.82   | 0.09%             | 2052-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-8                     | CUSIP: 46655VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1682866 | PA      | $1573413.66   | 0.07%             | 2053-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2025-NQM4 Trust                                   | CUSIP: 55287RAC2<br>LEI: 254900XBKB8JES2BO797 | Long             | ABS-MBS          | CORP              | US        |  14252460 | PA      | $14308278.45  | 0.66%             | 2070-08-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2024-B                 | CUSIP: 58769GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178928 | PA      | $178947.06    | 0.01%             | 2026-12-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2025-NQM5 Trust                                   | CUSIP: 59319DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9789839 | PA      | $9807522.40   | 0.45%             | 2070-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                        | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2518414.48   | 0.12%             | 2036-01-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust           | STAR 2022-SFR3 Trust                                  | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8181345 | PA      | $8195009.96   | 0.38%             | 2039-05-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2025-11                        | CUSIP: 816950AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12938082 | PA      | $12874905.11  | 0.60%             | 2055-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2025-12                        | CUSIP: 81749XBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4539383 | PA      | $4544157.73   | 0.21%             | 2055-12-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust           | STAR 2024-SFR4 Trust                                  | CUSIP: 85520AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16393737 | PA      | $16455006.49  | 0.76%             | 2041-10-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust           | STAR 2025-SFR5 Trust                                  | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6641235 | PA      | $6649516.61   | 0.31%             | 2042-02-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP              | State Street Corp                                     | CUSIP: 857477CX9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   2425000 | PA      | $2481885.38   | 0.11%             | 2036-02-28      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2015-5                      | CUSIP: 89171VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671421 | PA      | $669008.59    | 0.03%             | 2055-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2025-HE1                    | CUSIP: 89183LAA3<br>LEI: 2549002NBNESH9L3VV66 | Long             | ABS-MBS          | CORP              | US        |   1732156 | PA      | $1733442.30   | 0.08%             | 2065-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2025-HE2                    | CUSIP: 89183PAA4<br>LEI: 254900HCCXAYNB40M417 | Long             | ABS-MBS          | CORP              | US        |   7183369 | PA      | $7198277.74   | 0.33%             | 2065-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES          | TransCanada PipeLines Ltd                             | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   4851000 | PA      | $4795455.27   | 0.22%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT       | United Airlines 2018-1 Class AA Pass Through Trust    | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    944665 | PA      | $912492.97    | 0.04%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT       | United Airlines 2019-1 Class AA Pass Through Trust    | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4476744 | PA      | $4395666.07   | 0.20%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 AA PTT       | United Airlines 2016-1 Class AA Pass Through Trust    | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    811912 | PA      | $790981.42    | 0.04%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT       | United Airlines 2016-2 Class AA Pass Through Trust    | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3209800 | PA      | $3094368.38   | 0.14%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT       | United Airlines 2019-2 Class AA Pass Through Trust    | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    199662 | PA      | $183245.69    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                            | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   8300000 | PA      | $8525352.97   | 0.39%             | 2031-02-12      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds        | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48766176 | PA      | $46259243.63  | 2.14%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds        | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 173490393 | PA      | $173025879.11 | 8.00%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                      | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 214980000 | PA      | $216525168.75 | 10.02%            | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                      | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 244605000 | PA      | $241891413.28 | 11.19%            | 2032-10-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                            | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3235000 | PA      | $2954180.84   | 0.14%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                            | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5675000 | PA      | $5768001.56   | 0.27%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-9                     | CUSIP: 92490EAA1<br>LEI: 2138002AFCEWDDRL8N22 | Long             | ABS-MBS          | CORP              | US        |   3570066 | PA      | $3574245.51   | 0.17%             | 2070-10-27      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-11                    | CUSIP: 924935AC3<br>LEI: 213800H1O4C5SRNN4B66 | Long             | ABS-MBS          | CORP              | US        |   6716345 | PA      | $6720835.45   | 0.31%             | 2070-11-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO       | Virginia Electric and Power Co                        | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3683211.21   | 0.17%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                      | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4230000 | PA      | $4257951.92   | 0.20%             | 2031-04-04      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260105                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2740720.22  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260105                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $889751.53    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260203                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $242652.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260303                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $526640.26    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260303                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $641184.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260303                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $621181.88    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260227                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1032439.08  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNY/USD FWD 20260130                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-911280.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Mar26                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -2094 | NC      | $248006.06    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260112                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-24216.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260129                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-11260.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260211                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-33471.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260304                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-22187.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar26                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -3363 | NC      | $-7970.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260112                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $673.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260211                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-57323.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260218                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1114661.36  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Mar26                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       874 | NC      | $-458836.65   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Mar26                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      1858 | NC      | $-2044756.38  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IRS PAY FIXED 2.341% 12/24/2034                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8335750.54   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MARKIT ITRX AUD 06/20/2030 (BUY PROTECTION)           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-1582751.62  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX45IG CDS (SELL PROTECTION)                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $2214130.57   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX.NA.HY.45 12/20/2030 (SELL PROTECTION)             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $9166453.24   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar26                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1850 | NC      | $169515.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar26                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      3325 | NC      | $-1131434.07  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                            | CUSIP: DC6186597<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |   1763000 | PA      | $2322957.53   | 0.11%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                            | CUSIP: DA2876039<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |   1924000 | PA      | $2881967.19   | 0.13%             | 2026-02-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS ISSUANCE BV        | BNP Paribas Issuance BV                               | CUSIP: DC3996089<br>LEI: 7245009UXRIGIRYOBR48 | Long             | SN               | CORP              | NL        |   2272000 | PA      | $2234739.20   | 0.10%             | 2026-03-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2024-8              | CUSIP: 16159XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2251624 | PA      | $2256012.59   | 0.10%             | 2055-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust Series 2025-11      | CUSIP: 16162QBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9884742 | PA      | $9924474.09   | 0.46%             | 2056-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                | Chevron USA Inc                                       | CUSIP: 166756BF2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   2505000 | PA      | $2566234.85   | 0.12%             | 2035-04-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States   | CUSIP: 17291W4X6<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   2260000 | PA      | $2207364.60   | 0.10%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States   | CUSIP: 17291W5M9<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   2395000 | PA      | $3006395.60   | 0.14%             | 2026-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM2             | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6323022 | PA      | $6379434.75   | 0.30%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                       | CUSIP: 46592KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3177107 | PA      | $2667032.35   | 0.12%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-8                       | CUSIP: 46592TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2314223 | PA      | $1933887.74   | 0.09%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-12                      | CUSIP: 46592WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712592 | PA      | $596406.06    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-13                      | CUSIP: 46592XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3588538 | PA      | $2870830.17   | 0.13%             | 2052-04-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-HE1              | CUSIP: 46593PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4243049 | PA      | $4240064.82   | 0.20%             | 2055-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-7MPR             | CUSIP: 46594CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6654300 | PA      | $6660233.82   | 0.31%             | 2056-02-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-7                       | CUSIP: 465971AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4214011 | PA      | $3677217.31   | 0.17%             | 2053-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2022-INV1                    | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3334588 | PA      | $2920155.61   | 0.14%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-4                       | CUSIP: 46652VAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2460294 | PA      | $2062718.05   | 0.10%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-6                       | CUSIP: 46653PAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2704466 | PA      | $2265133.50   | 0.10%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-INV4                    | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5237186 | PA      | $4573330.89   | 0.21%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-INV6                    | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5385093 | PA      | $4722549.18   | 0.22%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-3                | CUSIP: 46657QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7235110 | PA      | $6340611.29   | 0.29%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-CCM1                    | CUSIP: 46658NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    732820 | PA      | $737742.50    | 0.03%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-12                      | CUSIP: 46658TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3668361 | PA      | $3666888.22   | 0.17%             | 2055-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM4             | CUSIP: 46660HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8722532 | PA      | $8728914.75   | 0.40%             | 2066-03-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-12MPR            | CUSIP: 46660LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10180000 | PA      | $10148795.25  | 0.47%             | 2056-06-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM5             | CUSIP: 46664DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1540000 | PA      | $1539712.33   | 0.07%             | 2065-05-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                | McDonald's Corp                                       | CUSIP: 58013MGA6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   2408000 | PA      | $2435568.06   | 0.11%             | 2035-03-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-1 Trust                 | CUSIP: 437300AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4943468 | PA      | $4502608.43   | 0.21%             | 2041-09-17      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-3 Trust                 | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12808546 | PA      | $12066588.34  | 0.56%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-2 Trust                 | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13091185 | PA      | $12816379.09  | 0.59%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd       | Neuberger Berman Loan Advisers Clo 42 Ltd             | CUSIP: 64133WAL9<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   3455000 | PA      | $3454678.69   | 0.16%             | 2036-07-16      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NOMURA INTL FUNDING PTE        | Nomura International Funding Pte Ltd                  | CUSIP: 65539UAA4<br>LEI: 5493006YXUX4IZ8XXW98 | Long             | SN               | CORP              | SG        |   1801000 | PA      | $1998119.45   | 0.09%             | 2026-02-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-J2 Trust                                     | CUSIP: 670861AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7431493 | PA      | $6210520.88   | 0.29%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-INV2 Trust                                   | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2398433 | PA      | $2002938.60   | 0.09%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-NQM20 Trust                                  | CUSIP: 67126GAC6<br>LEI: 254900Y8CC35WOVR8295 | Long             | ABS-MBS          | CORP              | US        |   5360035 | PA      | $5374791.56   | 0.25%             | 2065-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-INV1                                         | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4499936 | PA      | $3926720.94   | 0.18%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-J3 Trust                                     | CUSIP: 67449KAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4672221 | PA      | $4671401.38   | 0.22%             | 2055-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-NQM19 Trust                                  | CUSIP: 67449LAA9<br>LEI: 2549003HKVOL66FLG606 | Long             | ABS-MBS          | CORP              | US        |   4740220 | PA      | $4741139.79   | 0.22%             | 2065-10-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust      | PRMI Securitization Trust 2021-1                      | CUSIP: 69359DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3442189 | PA      | $3096886.76   | 0.14%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM6 Trust                                  | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2335000 | PA      | $2334576.90   | 0.11%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2024-SFR5 Trust                  | CUSIP: 74332HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9929300 | PA      | $9462104.84   | 0.44%             | 2029-08-09      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR7 Trust                  | CUSIP: 74333PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4749011 | PA      | $4464712.08   | 0.21%             | 2040-08-17      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR9 Trust                  | CUSIP: 74333QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8540500 | PA      | $8038113.84   | 0.37%             | 2040-11-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR8 Trust                  | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4670808 | PA      | $4598472.15   | 0.21%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR3                        | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650362 | PA      | $4620956.74   | 0.21%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR3 Trust                  | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4055000 | PA      | $3864474.20   | 0.18%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC        | Public Service Electric and Gas Co                    | CUSIP: 74456QCL8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $5229594.92   | 0.24%             | 2033-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                     | ROCK Trust 2024-CNTR                                  | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5365000 | PA      | $5511882.43   | 0.25%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust  | Radian Mortgage Capital Trust 2025-J4                 | CUSIP: 75024UBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3494666 | PA      | $3494873.66   | 0.16%             | 2056-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust            | Rate Mortgage Trust 2021-J3                           | CUSIP: 75409TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3523602 | PA      | $2957722.02   | 0.14%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust            | Rate Mortgage Trust 2025-J3                           | CUSIP: 75410EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4373574 | PA      | $4371609.61   | 0.20%             | 2055-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust            | Rate Mortgage Trust 2021-J4                           | CUSIP: 75410JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7304069 | PA      | $6104031.98   | 0.28%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                 | RIDE 2025-SHRE                                        | CUSIP: 765692AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2905000 | PA      | $2989699.34   | 0.14%             | 2047-02-14      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-9                         | CUSIP: 81748CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1073175 | PA      | $900879.86    | 0.04%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-3                         | CUSIP: 81748VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5189098 | PA      | $4336544.69   | 0.20%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-4                         | CUSIP: 81748WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4919878 | PA      | $4111556.55   | 0.19%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-6                         | CUSIP: 81748YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2351631 | PA      | $1962325.63   | 0.09%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2025-10                        | CUSIP: 81750CBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15462117 | PA      | $15462978.29  | 0.72%             | 2055-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL       | Brazil Notas do Tesouro Nacional Serie F              | CUSIP: ZP2084801<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        | 427896000 | PA      | $68790089.59  | 3.18%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar26                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       149 | NC      | $-89981.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States   | CUSIP: YK9436188<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1989000 | PA      | $1787182.84   | 0.08%             | 2026-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States   | CUSIP: DC3894250<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1773000 | PA      | $2403337.86   | 0.11%             | 2026-03-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States   | CUSIP: DC0985176<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   2084000 | PA      | $2909712.00   | 0.13%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States   | CUSIP: DC0744730<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   2357000 | PA      | $2434890.80   | 0.11%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2024-SFR2 Trust                                  | CUSIP: 00179UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430000 | PA      | $1411270.29   | 0.07%             | 2041-11-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2025-SFR2 Trust                                  | CUSIP: 00180BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2365000 | PA      | $2330213.69   | 0.11%             | 2042-11-17      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-10                      | CUSIP: 034940AA4<br>LEI: 254900CFOEUA52TRVZ51 | Long             | ABS-MBS          | CORP              | US        |   3123688 | PA      | $3127156.70   | 0.14%             | 2070-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-13                      | CUSIP: 034952AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2925000 | PA      | $2928652.74   | 0.14%             | 2070-10-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK35                                       | CUSIP: 06540CAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6280000 | PA      | $6059693.20   | 0.28%             | 2064-06-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY       | Canadian Pacific Railway Co                           | CUSIP: 13645RBK9<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   5215000 | PA      | $5367646.86   | 0.25%             | 2035-03-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi | CARLYLE US CLO 2019-1 LTD                             | CUSIP: 14316BBG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4373787 | PA      | $4375536.11   | 0.20%             | 2031-04-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi | Carlyle US CLO 2021-9 Ltd                             | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3630000 | PA      | $3630188.76   | 0.17%             | 2034-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust    | DBC 2025-DBC Mortgage Trust                           | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12035000 | PA      | $12039502.10  | 0.56%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2025-CES1        | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4275032 | PA      | $4285041.43   | 0.20%             | 2055-10-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HCFN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8124821 | PA      | $8142340.97   | 0.38%             | 2054-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HHCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2342712 | PA      | $2347508.06   | 0.11%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                    | CUSIP: 3137HHXY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11243665 | PA      | $11268545.99  | 0.52%             | 2055-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                              | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   6950000 | PA      | $6965670.44   | 0.32%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-1                       | CUSIP: 46592EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096908 | PA      | $918060.23    | 0.04%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust                              | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7751072 | PA      | $7780215.61   | 0.36%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                   | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9380000 | PA      | $9629849.06   | 0.45%             | 2030-07-22      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                   | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2518735.90   | 0.12%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                   | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3990000 | PA      | $4186144.09   | 0.19%             | 2036-04-22      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2023-1 | CUSIP: 61774YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1257133 | PA      | $1172693.05   | 0.05%             | 2053-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                     | PSMC 2021-2 Trust                                     | CUSIP: 69376CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2983406 | PA      | $2715937.05   | 0.13%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR6 Trust                  | CUSIP: 74334EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13055000 | PA      | $12666487.12  | 0.59%             | 2042-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR5 Trust                  | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8705000 | PA      | $8431349.62   | 0.39%             | 2042-10-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP             | Union Pacific Corp                                    | CUSIP: 907818GG7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2487152.25   | 0.12%             | 2035-02-20      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT       | United Airlines 2015-1 Class AA Pass Through Trust    | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    816376 | PA      | $804520.57    | 0.04%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT        | United Airlines 2014-1 Class A Pass Through Trust     | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2268920 | PA      | $2268524.26   | 0.10%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                      | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2456782.01   | 0.11%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                      | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8340000 | PA      | $8741252.16   | 0.40%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2021-RR1 Trust | CUSIP: 95003JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8388028 | PA      | $7020385.55   | 0.32%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260203                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $701656.98    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL         | Brazil Letras do Tesouro Nacional                     | CUSIP: BX5046434<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    319435 | PA      | $58261516.68  | 2.70%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260304                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-30712.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260318                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-9307.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260401                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-671.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20260127                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1518893.41  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                            | CUSIP: DA2890139<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |   2134000 | PA      | $1780590.42   | 0.08%             | 2026-02-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                            | CUSIP: YJ6832572<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |   2330000 | PA      | $1944131.06   | 0.09%             | 2026-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** Carillon Series Trust

**Signature:** /s/ Carolyn Gill

**Name of Signer:** Carolyn Gill

**Title:** Principal Financial Officer