# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-26-009297
**Filing Date:** 2026-4
**Character Count:** 1191562
**Document Hash:** 0b8aa36fb71e23719866dd32cfcd6fa7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009297.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009297

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** J.P. Morgan Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001485894

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 26912541

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** (800) 480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

## Series and Classes Contracts Data

### JPMorgan Income ETF (Series ID: S000072932)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000229632 | JPMorgan Income ETF | JPIE            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** J.P. Morgan Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22903

- **c. CIK number of Registrant:** 0001485894

- **d. LEI of Registrant:** 5493001E1K1DVWDV2464

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

  - **Street Address 1:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 844-457-6383

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

- **a. Name of Series:** JPMorgan Income ETF

- **b. EDGAR series identifier (if any):** S000072932

- **c. LEI of Series:** 549300CYQ8KHPO2GR356

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

- **a. Date of fiscal year-end:** 2026-02-28

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $9701085288.13

**Total Liabilities:** $1554292406.32

**Net Assets:** $8146792881.81

**Delayed Delivery Securities:** $24837500.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -19837.10561000 | **1-Year:** 217501.90344000 | **5-Year:** 1008073.15650000 | **10-Year:** 184409.40452000 | **30-Year:** 44055.86893000

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

- **3-Month:** 12431.88450000 | **1-Year:** 124843.65114000 | **5-Year:** 392310.80626000 | **10-Year:** 212066.34645000 | **30-Year:** 56528.58780000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000229632 | 0.49%                | 0.50%                | 0.64%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9300960.25             | $-6033657.41                               |
| Month 2  | $14092272.64             | $-579406.27                                |
| Month 3  | $-902688.24              | $20138044.42                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AB BSL CLO 1 Ltd.                                                         | AB BSL CLO Ltd., Series 2020-1A, Class BR2                                                                    | CUSIP: 00038KBC4<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-CBDO         | CORP              | KY        |    4915000 | PA      | $4931234.25    | 0.06%             | 2038-10-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| ACCO Brands Corp.                                                         | ACCO Brands Corp.                                                                                             | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |    1305000 | PA      | $1200553.28    | 0.01%             | 2029-03-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ACHD Trust                                                                | ACHD Trust, Series 2025-DS1, Class A                                                                          | CUSIP: 00092TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3273846 | PA      | $3280568.00    | 0.04%             | 2034-01-09      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| ACHD Trust                                                                | ACHD Trust, Series 2025-DS1, Class B                                                                          | CUSIP: 00092TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2100000 | PA      | $2132991.21    | 0.03%             | 2034-01-09      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| ADT Security Corp. (The)                                                  | ADT Security Corp. (The)                                                                                      | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    2855000 | PA      | $2785425.08    | 0.03%             | 2029-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| ATS Corp.                                                                 | ATS Corp.                                                                                                     | CUSIP: 001940AC9<br>LEI: 5493005KP4RP3IU7HQ41 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $146566.50     | 0.00%             | 2028-12-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                   | American Airlines, Inc.                                                                                       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     435000 | PA      | $435589.01     | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                   | American Airlines, Inc.                                                                                       | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5295000 | PA      | $5354869.03    | 0.07%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Acushnet Co.                                                              | Acushnet Co.                                                                                                  | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |     455000 | PA      | $463083.53     | 0.01%             | 2033-12-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                               | Adient Global Holdings Ltd.                                                                                   | CUSIP: 00687YAB1<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |     500000 | PA      | $509821.50     | 0.01%             | 2028-04-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                               | Adient Global Holdings Ltd.                                                                                   | CUSIP: 00687YAC9<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    1100000 | PA      | $1150758.40    | 0.01%             | 2031-04-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                               | Adient Global Holdings Ltd.                                                                                   | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    1079000 | PA      | $1132423.45    | 0.01%             | 2033-02-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| AECOM                                                                     | AECOM                                                                                                         | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |    1337000 | PA      | $1366095.79    | 0.02%             | 2033-08-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                                | AerCap Ireland Capital DAC                                                                                    | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     810000 | PA      | $787983.53     | 0.01%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                                | AerCap Ireland Capital DAC                                                                                    | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     335000 | PA      | $340682.94     | 0.00%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                                | AerCap Ireland Capital DAC                                                                                    | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     460000 | PA      | $486162.42     | 0.01%             | 2055-03-10      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2024-B, Class A                                                     | CUSIP: 00835AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5630000 | PA      | $5644732.02    | 0.07%             | 2029-09-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2024-B, Class C                                                     | CUSIP: 00835AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2003617.20    | 0.02%             | 2029-09-15      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2024-B, Class D                                                     | CUSIP: 00835AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2078000 | PA      | $2082404.11    | 0.03%             | 2029-09-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X2, Class D                                                    | CUSIP: 00835DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $6020066.40    | 0.07%             | 2030-10-15      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Ahead DB Holdings LLC                                                     | Ahead DB Holdings LLC                                                                                         | CUSIP: 00867FAA6<br>LEI: 254900L07WFL833JX193 | Long             | DBT              | CORP              | US        |     250000 | PA      | $241815.10     | 0.00%             | 2028-05-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| AIMCO CLO 16 Ltd.                                                         | AIMCO CLO Ltd., Series 2021-16A, Class BR                                                                     | CUSIP: 00901FAN6<br>LEI: 254900Q0PCRO7XC6LM21 | Long             | ABS-CBDO         | CORP              | KY        |    1808000 | PA      | $1813214.27    | 0.02%             | 2037-07-17      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                     | Albertsons Cos., Inc.                                                                                         | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     985000 | PA      | $976871.48     | 0.01%             | 2030-02-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                     | Albertsons Cos., Inc.                                                                                         | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1687388.85    | 0.02%             | 2029-03-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                     | Albertsons Cos., Inc.                                                                                         | CUSIP: 01309QAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $276850.75     | 0.00%             | 2031-03-31      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                     | Albertsons Cos., Inc.                                                                                         | CUSIP: 01309QAE8<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    1635000 | PA      | $1641436.32    | 0.02%             | 2032-03-31      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Alcoa Nederland Holding BV                                                | Alcoa Nederland Holding BV                                                                                    | CUSIP: 013822AH4<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |    2155000 | PA      | $2278324.19    | 0.03%             | 2031-03-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| ATI, Inc.                                                                 | ATI, Inc.                                                                                                     | CUSIP: 01741RAH5<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     375000 | PA      | $375143.76     | 0.00%             | 2027-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ATI, Inc.                                                                 | ATI, Inc.                                                                                                     | CUSIP: 01741RAN2<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     220000 | PA      | $230443.84     | 0.00%             | 2030-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                               | Allied Universal Holdco LLC                                                                                   | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2133945.52    | 0.03%             | 2028-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     220000 | PA      | $219744.67     | 0.00%             | 2027-10-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AF4<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    2995000 | PA      | $3026153.99    | 0.04%             | 2029-06-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    3685000 | PA      | $3505381.05    | 0.04%             | 2031-01-30      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AH0<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     458000 | PA      | $467718.43     | 0.01%             | 2033-12-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -33900000 | PA      | $-29367299.48  | -0.36%            | 2056-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F032633<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -40100000 | PA      | $-37785446.05  | -0.46%            | 2056-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -41993000 | PA      | $-40809357.59  | -0.50%            | 2056-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F052631<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -369600000 | PA      | $-375525719.18 | -4.61%            | 2056-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -286918905 | PA      | $-294289355.30 | -3.61%            | 2056-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F062630<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4300000 | PA      | $-4466016.64   | -0.05%            | 2056-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Altice France SA                                                          | Altice France SA                                                                                              | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     304878 | PA      | $309557.57     | 0.00%             | 2029-11-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                                          | Altice France SA                                                                                              | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     190549 | PA      | $182489.92     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                                          | Altice France SA                                                                                              | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     304879 | PA      | $292684.67     | 0.00%             | 2032-07-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Altice France Lux 3/Altice Holdings 1                                     | Altice France Lux 3                                                                                           | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      80000 | PA      | $75177.06      | 0.00%             | 2033-01-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Alumina Pty. Ltd.                                                         | Alumina Pty. Ltd.                                                                                             | CUSIP: 02220AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    1240000 | PA      | $1285251.32    | 0.02%             | 2030-03-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Alumina Pty. Ltd.                                                         | Alumina Pty. Ltd.                                                                                             | CUSIP: 02220AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     685000 | PA      | $711193.72     | 0.01%             | 2032-09-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Amer Sports Co.                                                           | Amer Sports Co.                                                                                               | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |     630000 | PA      | $657735.75     | 0.01%             | 2031-02-16      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2021-1, Class B                                                  | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      34250 | PA      | $33277.13      | 0.00%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                       | American Axle & Manufacturing, Inc.                                                                           | CUSIP: 02406PBA7<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |     749000 | PA      | $749685.34     | 0.01%             | 2028-07-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                       | American Axle & Manufacturing, Inc.                                                                           | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1328654.86    | 0.02%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2024-3, Class D                                          | CUSIP: 02490BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1050000 | PA      | $1071818.06    | 0.01%             | 2030-07-12      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2024-3, Class E                                          | CUSIP: 02490BAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3370491.52    | 0.04%             | 2032-03-12      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-2, Class C                                          | CUSIP: 024938AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1416293.06    | 0.02%             | 2031-03-12      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-2, Class D                                          | CUSIP: 024938AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2042279.60    | 0.03%             | 2031-07-14      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-2, Class E                                          | CUSIP: 024938AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3127183.50    | 0.04%             | 2033-02-14      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2024-4, Class D                                          | CUSIP: 024945AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1515000 | PA      | $1539993.11    | 0.02%             | 2031-08-12      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2024-4, Class E                                          | CUSIP: 024945AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4127810.40    | 0.05%             | 2032-04-12      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-4, Class C                                          | CUSIP: 024948AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5570000 | PA      | $5632894.77    | 0.07%             | 2031-01-13      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-4, Class D                                          | CUSIP: 024948AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12540000 | PA      | $12752530.43   | 0.16%             | 2031-09-12      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-1, Class E                                          | CUSIP: 02528DAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1969636.71    | 0.02%             | 2032-12-13      | Fixed         | 7.39%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-3, Class C                                          | CUSIP: 02528EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12710000 | PA      | $12865002.26   | 0.16%             | 2032-07-12      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-3, Class D                                          | CUSIP: 02528EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14930000 | PA      | $15165743.21   | 0.19%             | 2032-07-12      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2025-3, Class E                                          | CUSIP: 02528EAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5090942.00    | 0.06%             | 2033-06-13      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2022-4, Class E                                          | CUSIP: 02529XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2210000 | PA      | $2246824.13    | 0.03%             | 2030-01-14      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2023-2, Class E                                          | CUSIP: 02529YAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2378203.45    | 0.03%             | 2030-02-12      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2023-4, Class D                                          | CUSIP: 02530CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2488872.48    | 0.03%             | 2030-09-12      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2023-4, Class E                                          | CUSIP: 02530CAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2119237.60    | 0.03%             | 2031-08-12      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2023-3, Class D                                          | CUSIP: 02530EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1842437.16    | 0.02%             | 2029-10-12      | Fixed         | 6.82%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2023-3, Class E                                          | CUSIP: 02530EAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1981733.25    | 0.02%             | 2031-10-14      | Fixed         | 9.54%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2024-2, Class D                                          | CUSIP: 02531BAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1330000 | PA      | $1357677.30    | 0.02%             | 2030-04-12      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2024-2, Class E                                          | CUSIP: 02531BAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3700000 | PA      | $3833786.08    | 0.05%             | 2031-11-12      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                              | American Credit Acceptance Receivables Trust, Series 2026-1, Class D                                          | CUSIP: 02531FAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18400000 | PA      | $18578389.84   | 0.23%             | 2033-01-12      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| AmeriGas Partners LP                                                      | AmeriGas Partners LP                                                                                          | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     632000 | PA      | $653225.72     | 0.01%             | 2028-06-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| AmeriGas Partners LP                                                      | AmeriGas Partners LP                                                                                          | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     634000 | PA      | $678615.21     | 0.01%             | 2030-06-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Amkor Technology, Inc.                                                    | Amkor Technology, Inc.                                                                                        | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |    1742000 | PA      | $1777604.74    | 0.02%             | 2033-10-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| ams-OSRAM AG                                                              | ams-OSRAM AG                                                                                                  | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |     291000 | PA      | $310008.12     | 0.00%             | 2029-03-30      | Fixed         | 12.25%                | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                     | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                                             | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1206843.84    | 0.01%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                        | Republic of Angola                                                                                            | CUSIP: 035198AH3<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    1400000 | PA      | $1421056.56    | 0.02%             | 2031-01-15      | Fixed         | 9.24%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                        | Republic of Angola                                                                                            | CUSIP: 035198AJ9<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    2500000 | PA      | $2545437.50    | 0.03%             | 2035-10-15      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Antero Resources Corp.                                                    | Antero Resources Corp.                                                                                        | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     880000 | PA      | $893820.40     | 0.01%             | 2030-03-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                              | Antero Midstream Partners LP                                                                                  | CUSIP: 03690AAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4980000 | PA      | $4978203.22    | 0.06%             | 2028-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                              | Antero Midstream Partners LP                                                                                  | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2150427.85    | 0.03%             | 2029-06-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                              | Antero Midstream Partners LP                                                                                  | CUSIP: 03690AAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     871000 | PA      | $884196.44     | 0.01%             | 2033-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: 03846JAG5<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1846000 | PA      | $2070990.48    | 0.03%             | 2033-02-04      | Fixed         | 9.45%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     829000 | PA      | $897181.11     | 0.01%             | 2030-02-04      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Aramark Services, Inc.                                                    | Aramark Services, Inc.                                                                                        | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    4970000 | PA      | $4971336.93    | 0.06%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Archrock Services LP                                                      | Archrock Services LP                                                                                          | CUSIP: 03958CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     295000 | PA      | $298682.78     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Archrock Partners LP                                                      | Archrock Partners LP                                                                                          | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1084000 | PA      | $1128055.93    | 0.01%             | 2032-09-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Ardagh Group SA                                                           | Ardagh Group SA                                                                                               | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    1420000 | PA      | $1372075.00    | 0.02%             | 2030-12-01      | Variable      | 12.00%                | Yes           |                  2 | On Loan: No      |
| Ardagh Group SA                                                           | Ardagh Group SA                                                                                               | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |     826000 | PA      | $894489.59     | 0.01%             | 2030-12-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Argentine Republic (The)                                                  | Argentine Republic                                                                                            | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   15960000 | PA      | $12003915.00   | 0.15%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Argentine Republic (The)                                                  | Argentine Republic                                                                                            | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1700000 | PA      | $1336463.50    | 0.02%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Argentine Republic (The)                                                  | Argentine Republic                                                                                            | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    2700000 | PA      | $1886044.50    | 0.02%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Argentine Republic (The)                                                  | Argentine Republic                                                                                            | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     700000 | PA      | $617533.00     | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                             | Asbury Automotive Group, Inc.                                                                                 | CUSIP: 043436AU8<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     395000 | PA      | $392662.71     | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                             | Asbury Automotive Group, Inc.                                                                                 | CUSIP: 043436AV6<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     898000 | PA      | $883853.63     | 0.01%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                             | Asbury Automotive Group, Inc.                                                                                 | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |    2561000 | PA      | $2521107.30    | 0.03%             | 2029-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Ascent Resources Utica Holdings LLC                                       | Ascent Resources Utica Holdings LLC                                                                           | CUSIP: 04364VAX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1385000 | PA      | $1438872.35    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Ascent Resources Utica Holdings LLC                                       | Ascent Resources Utica Holdings LLC                                                                           | CUSIP: 04364VBA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     822000 | PA      | $852978.71     | 0.01%             | 2033-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Asurion LLC and Asurion Co-Issuer, Inc.                                   | Asurion LLC and Asurion Co-Issuer, Inc.                                                                       | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1486000 | PA      | $1560757.69    | 0.02%             | 2032-12-31      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Avantor Funding, Inc.                                                     | Avantor Funding, Inc.                                                                                         | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    9340000 | PA      | $9254857.12    | 0.11%             | 2028-07-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Aventura  Mall Trust                                                      | Aventura  Mall Trust, Series 2018-AVM, Class A                                                                | CUSIP: 05359AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2220000 | PA      | $2210919.53    | 0.03%             | 2040-07-05      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                                | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     367000 | PA      | $366510.17     | 0.00%             | 2027-07-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                                | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4220000 | PA      | $4123462.44    | 0.05%             | 2028-04-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                                | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2545000 | PA      | $2522731.25    | 0.03%             | 2031-02-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                                | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1204619.31    | 0.01%             | 2032-06-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                  | Avis Budget Rental Car Funding AESOP LLC, Series 2023-1A, Class C                                             | CUSIP: 05377RGG3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    1207000 | PA      | $1242564.50    | 0.02%             | 2029-04-20      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                  | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C                                             | CUSIP: 05377RHA5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2832248.70    | 0.03%             | 2029-06-20      | Fixed         | 7.24%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                  | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class B                                             | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     403000 | PA      | $418436.15     | 0.01%             | 2030-12-20      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                  | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class C                                             | CUSIP: 05377RJM7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     376000 | PA      | $390038.90     | 0.00%             | 2030-12-20      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                  | Avis Budget Rental Car Funding AESOP LLC, Series 2023-6A, Class D                                             | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $412592.04     | 0.01%             | 2029-12-20      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                  | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class D                                             | CUSIP: 05377RJY1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1038889.00    | 0.01%             | 2030-02-20      | Fixed         | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                              | Avolon Holdings Funding Ltd.                                                                                  | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     365000 | PA      | $380282.55     | 0.00%             | 2028-05-04      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                              | Avolon Holdings Funding Ltd.                                                                                  | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    2060000 | PA      | $2142956.20    | 0.03%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                                | Axalta Coating Systems LLC                                                                                    | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |    4885000 | PA      | $4711916.63    | 0.06%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                                | Axalta Coating Systems LLC                                                                                    | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     345000 | PA      | $344823.46     | 0.00%             | 2027-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems Dutch Holding B BV                                 | Axalta Coating Systems Dutch Holding B BV                                                                     | CUSIP: 05455JAA5<br>LEI: 5493007DMEBZH3CQ5E51 | Long             | DBT              | CORP              | NL        |     750000 | PA      | $788452.96     | 0.01%             | 2031-02-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Axon Enterprise, Inc.                                                     | Axon Enterprise, Inc.                                                                                         | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     726000 | PA      | $748234.48     | 0.01%             | 2030-03-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Axon Enterprise, Inc.                                                     | Axon Enterprise, Inc.                                                                                         | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     753000 | PA      | $780498.81     | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2021-C11, Class XB                                                               | CUSIP: 05493MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $216309.15     | 0.00%             | 2054-09-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-5C23, Class A3                                                              | CUSIP: 05493QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4350000 | PA      | $4612904.00    | 0.06%             | 2056-12-15      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C17, Class XA                                                               | CUSIP: 054976AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46962292 | PA      | $2862811.95    | 0.04%             | 2055-09-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-C21, Class A5                                                               | CUSIP: 05553WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1350000 | PA      | $1471530.24    | 0.02%             | 2056-09-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-C22, Class A5                                                               | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $3277892.33    | 0.04%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                                                       | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 4D1                                                              | CUSIP: 055631BM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3750449.00    | 0.05%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BNP Paribas SA                                                            | BNP Paribas SA                                                                                                | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3635000 | PA      | $3869115.81    | 0.05%             | 2029-08-16      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2023-C7, Class A5                                                                  | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1630224.90    | 0.02%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-C9, Class A5                                                                  | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1710000 | PA      | $1847317.10    | 0.02%             | 2057-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-C9, Class XA                                                                  | CUSIP: 05593MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26945305 | PA      | $1659617.92    | 0.02%             | 2057-07-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-5C6, Class A3                                                                 | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $4040540.01    | 0.05%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2023-5C1, Class A3                                                                 | CUSIP: 055986AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6280000 | PA      | $6579360.06    | 0.08%             | 2056-08-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2023-C5, Class A5                                                                  | CUSIP: 055988AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1640000 | PA      | $1740374.40    | 0.02%             | 2056-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                            | BNP Paribas SA                                                                                                | CUSIP: 05602XJC3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     650000 | PA      | $682782.10     | 0.01%             | 2034-09-10      | Variable      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| BWX Technologies, Inc.                                                    | BWX Technologies, Inc.                                                                                        | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     500000 | PA      | $495202.95     | 0.01%             | 2028-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-21M, Class A                                                        | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148759 | PA      | $148712.32     | 0.00%             | 2036-10-15      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2022-C1, Class XA                                                                  | CUSIP: 05609MCE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   49116960 | PA      | $1032251.86    | 0.01%             | 2055-02-17      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-ACNT, Class A                                                       | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634995 | PA      | $634796.78     | 0.01%             | 2038-11-15      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2023-5C2, Class A3                                                                 | CUSIP: 05610QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3310000 | PA      | $3541704.30    | 0.04%             | 2056-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class A                                                         | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1744345 | PA      | $1744345.45    | 0.02%             | 2039-02-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class B                                                         | CUSIP: 05612EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     708364 | PA      | $708585.00     | 0.01%             | 2039-02-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth of the Bahamas                                               | Commonwealth of the Bahamas                                                                                   | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    2277000 | PA      | $2548259.01    | 0.03%             | 2036-06-24      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                              | Bain Capital Credit CLO Ltd., Series 2023-3A, Class D2R                                                       | CUSIP: 05682CAW7<br>LEI: 254900QJNS3TYDIDQH27 | Long             | ABS-CBDO         | CORP              | JE        |    6000000 | PA      | $5822112.00    | 0.07%             | 2038-10-24      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Kingdom of Bahrain                                                        | Kingdom of Bahrain                                                                                            | CUSIP: 056909AA2<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |    1000000 | PA      | $974995.00     | 0.01%             | 2037-10-06      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO Ltd.                                                        | Ballyrock CLO Ltd., Series 2024-27A, Class A2                                                                 | CUSIP: 05874UAE5<br>LEI: 254900WCB773D35B5908 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2002468.00    | 0.02%             | 2037-10-25      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO 17 Ltd.                                                     | Ballyrock CLO Ltd., Series 2021-17A, Class A2R                                                                | CUSIP: 05876LAQ6<br>LEI: 254900J6ILFT5YJVHO91 | Long             | ABS-CBDO         | CORP              | KY        |    8965000 | PA      | $8995122.40    | 0.11%             | 2038-10-20      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Re-REMIC Trust                                            | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class C                                                     | CUSIP: 05942XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2065976.40    | 0.03%             | 2049-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                        | Banco Bilbao Vizcaya Argentaria SA                                                                            | CUSIP: 05946KAM3<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    4703000 | PA      | $5239090.27    | 0.06%             | 2029-03-19      | Variable      | 9.38%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                        | Banco Santander SA                                                                                            | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1400000 | PA      | $1454570.45    | 0.02%             | 2030-03-14      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                        | Banco Santander SA                                                                                            | CUSIP: 05971KAP4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3800000 | PA      | $4220344.60    | 0.05%             | 2028-11-21      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple          | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple                                              | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    1868097 | PA      | $1946252.49    | 0.02%             | 2041-01-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                         | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4185000 | PA      | $4181963.24    | 0.05%             | 2027-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust                                 | Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class C                                          | CUSIP: 06054ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2925000 | PA      | $2684839.37    | 0.03%             | 2048-09-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                         | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11203000 | PA      | $11527462.85   | 0.14%             | 2030-07-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                     | BANK5, Series 2023-5YR3, Class A2                                                                             | CUSIP: 06211EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5793402 | PA      | $6025314.74    | 0.07%             | 2056-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                     | BANK5, Series 2023-5YR4, Class A3                                                                             | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     822333 | PA      | $865987.36     | 0.01%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                                 | Bank of Nova Scotia (The)                                                                                     | CUSIP: 0641598S8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     600000 | PA      | $634211.40     | 0.01%             | 2082-10-27      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2022-BNK39, Class XA                                                                             | CUSIP: 06539VAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7991768 | PA      | $170528.35     | 0.00%             | 2055-02-15      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2019-BN20, Class D                                                                               | CUSIP: 06540AAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $413109.06     | 0.01%             | 2062-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2020-BN26, Class E                                                                               | CUSIP: 06540JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320000 | PA      | $219214.46     | 0.00%             | 2063-03-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2020-BN26, Class AS                                                                              | CUSIP: 06540JBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4121808.75    | 0.05%             | 2063-03-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2019-BN19, Class C                                                                               | CUSIP: 06540WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1123779.15    | 0.01%             | 2061-08-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2020-BN28, Class XA                                                                              | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4059911 | PA      | $259685.30     | 0.00%             | 2063-03-15      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                     | BANK5, Series 2023-5YR1, Class A3                                                                             | CUSIP: 06644EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $6014847.08    | 0.07%             | 2056-04-15      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2022-3A, Class A2R                                                                   | CUSIP: 06762VAH9<br>LEI: 549300P3XUH38MXFT836 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3005433.00    | 0.04%             | 2037-10-20      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2023-4A, Class D1R                                                                   | CUSIP: 06763MAU9<br>LEI: 5493000KFDA0OKC5JK34 | Long             | ABS-CBDO         | CORP              | KY        |    3090000 | PA      | $3090000.00    | 0.04%             | 2039-01-20      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2023-4A, Class D2R                                                                   | CUSIP: 06763MAW5<br>LEI: 5493000KFDA0OKC5JK34 | Long             | ABS-CBDO         | CORP              | KY        |    1390000 | PA      | $1390808.98    | 0.02%             | 2039-01-20      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2023-3A, Class D2R                                                                   | CUSIP: 067932AY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2170000 | PA      | $2092357.40    | 0.03%             | 2038-10-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Bausch Health Cos., Inc.                                                  | Bausch Health Cos., Inc.                                                                                      | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     350000 | PA      | $264250.00     | 0.00%             | 2029-02-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bausch Health Cos., Inc.                                                  | Bausch Health Cos., Inc.                                                                                      | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    2500000 | PA      | $2326575.00    | 0.03%             | 2028-06-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2017-C1, Class D                                                                 | CUSIP: 07332VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $1758532.08    | 0.02%             | 2050-02-15      | Variable      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-C20, Class XA                                                               | CUSIP: 07336DAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13117047 | PA      | $604043.96     | 0.01%             | 2056-07-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC                                   | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class C                                                | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |      95909 | PA      | $96266.16      | 0.00%             | 2031-12-26      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC                                   | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class D                                                | CUSIP: 07336QAD4<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |      87450 | PA      | $88055.27      | 0.00%             | 2031-12-26      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2019-B9, Class D                                                             | CUSIP: 08160JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1240000 | PA      | $846638.15     | 0.01%             | 2052-03-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B2, Class AS                                                            | CUSIP: 08161CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2245097.39    | 0.03%             | 2051-02-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B4, Class A5                                                            | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $999417.00     | 0.01%             | 2051-07-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2022-B37, Class A5                                                           | CUSIP: 08161QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     604000 | PA      | $651878.96     | 0.01%             | 2055-11-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B1, Class C                                                             | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $4303682.24    | 0.05%             | 2051-01-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2019-B10, Class B                                                            | CUSIP: 08162VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1418000 | PA      | $1291812.75    | 0.02%             | 2062-03-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2021-B26, Class ASB                                                          | CUSIP: 08163EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $775653.20     | 0.01%             | 2054-06-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2022-B33, Class A5                                                           | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $757937.60     | 0.01%             | 2055-03-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2022-B36, Class A5                                                           | CUSIP: 08163QBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $794831.04     | 0.01%             | 2055-07-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2023-V3, Class A3                                                            | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $209379.58     | 0.00%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2024-V5, Class A3                                                            | CUSIP: 08163XAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440549 | PA      | $459491.64     | 0.01%             | 2057-01-10      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2024-V5, Class C                                                             | CUSIP: 08163XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $311362.98     | 0.00%             | 2057-01-10      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2024-V7, Class A3                                                            | CUSIP: 08163YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4234960.80    | 0.05%             | 2056-05-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2026-V20, Class XA                                                           | CUSIP: 08164KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27390000 | PA      | $1490495.33    | 0.02%             | 2059-02-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2024-V9, Class A3                                                            | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $4493017.97    | 0.06%             | 2057-08-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2023-B39, Class XA                                                           | CUSIP: 081925AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  118046469 | PA      | $4070903.32    | 0.05%             | 2056-07-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| BMARK                                                                     | BMARK, Series 2023-V4, Class A3                                                                               | CUSIP: 081926AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3816927.36    | 0.05%             | 2056-11-15      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                       | Benin Government Bond                                                                                         | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    2842000 | PA      | $2979864.28    | 0.04%             | 2038-02-13      | Fixed         | 7.96%                 | Yes           |                  2 | On Loan: No      |
| BHMS Commercial Mortgage Trust                                            | BHMS Commercial Mortgage Trust, Series 2025-ATLS, Class A                                                     | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6483000 | PA      | $6523568.02    | 0.08%             | 2042-08-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Big River Steel LLC                                                       | Big River Steel LLC                                                                                           | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      55000 | PA      | $55294.64      | 0.00%             | 2029-01-31      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Blue Racer Midstream LLC                                                  | Blue Racer Midstream LLC                                                                                      | CUSIP: 095796AJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     874000 | PA      | $910622.35     | 0.01%             | 2029-07-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Blue Racer Midstream LLC                                                  | Blue Racer Midstream LLC                                                                                      | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     922000 | PA      | $975209.54     | 0.01%             | 2032-07-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2019-26A, Class CR                                                              | CUSIP: 09630GAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001094.00    | 0.01%             | 2034-10-20      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                            | BNP Paribas SA                                                                                                | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     580000 | PA      | $602223.62     | 0.01%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-5C3, Class A3                                                                 | CUSIP: 09660QAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2420000 | PA      | $2517493.57    | 0.03%             | 2057-02-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-5C3, Class C                                                                  | CUSIP: 09660QAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $720962.48     | 0.01%             | 2057-02-15      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-5C4, Class A3                                                                 | CUSIP: 09660SAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8300000 | PA      | $8844684.18    | 0.11%             | 2057-05-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-5C7, Class A3                                                                 | CUSIP: 09660WAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1462125.00    | 0.02%             | 2057-11-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-5C7, Class XA                                                                 | CUSIP: 09660WAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19938132 | PA      | $614152.30     | 0.01%             | 2057-11-15      | Variable      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-5C7, Class AS                                                                 | CUSIP: 09660WAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $309867.66     | 0.00%             | 2057-11-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2024-C10, Class XA                                                                 | CUSIP: 096920AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   79684930 | PA      | $3861276.71    | 0.05%             | 2057-11-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2025-5C11, Class XA                                                                | CUSIP: 096941AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75681050 | PA      | $3316638.76    | 0.04%             | 2058-07-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2026-C14, Class XA                                                                 | CUSIP: 096942AX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23480000 | PA      | $1932427.48    | 0.02%             | 2059-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bombardier, Inc.                                                          | Bombardier, Inc.                                                                                              | CUSIP: 097751CA7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1455000 | PA      | $1558802.61    | 0.02%             | 2030-11-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                          | Bombardier, Inc.                                                                                              | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1251000 | PA      | $1330955.16    | 0.02%             | 2031-07-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                          | Bombardier, Inc.                                                                                              | CUSIP: 097751CC3<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1095000 | PA      | $1153464.24    | 0.01%             | 2032-06-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                          | Bombardier, Inc.                                                                                              | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     941000 | PA      | $991572.16     | 0.01%             | 2033-06-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Boyne USA, Inc.                                                           | Boyne USA, Inc.                                                                                               | CUSIP: 103557AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     375000 | PA      | $372327.98     | 0.00%             | 2029-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                                            | Braskem Netherlands Finance BV                                                                                | CUSIP: 10554TAG0<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     800000 | PA      | $330000.00     | 0.00%             | 2033-02-13      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Federative Republic of Brazil                                             | Federative Republic of Brazil                                                                                 | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     800000 | PA      | $814768.00     | 0.01%             | 2054-05-13      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                             | Federative Republic of Brazil                                                                                 | CUSIP: 105756CN8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    2500000 | PA      | $2540000.00    | 0.03%             | 2056-01-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2026-1, Class D                                         | CUSIP: 107927AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7890000 | PA      | $7979340.05    | 0.10%             | 2031-11-17      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D                                         | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1427512.66    | 0.02%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class E                                         | CUSIP: 10805MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4173130.40    | 0.05%             | 2031-01-15      | Fixed         | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class D                                         | CUSIP: 10805NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2360000 | PA      | $2409771.46    | 0.03%             | 2030-05-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class D                                         | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3400000 | PA      | $3450674.28    | 0.04%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class E                                         | CUSIP: 10806EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4758455.74    | 0.06%             | 2031-08-15      | Fixed         | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D                                         | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2212000 | PA      | $2261050.66    | 0.03%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D                                         | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1770000 | PA      | $1813008.35    | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class D                                         | CUSIP: 10807UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3340000 | PA      | $3415609.92    | 0.04%             | 2031-08-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                             | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class E                                         | CUSIP: 10807UAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9010000 | PA      | $9270919.69    | 0.11%             | 2032-11-15      | Fixed         | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Brink's Co. (The)                                                         | Brink's Co. (The)                                                                                             | CUSIP: 109696AA2<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |     735000 | PA      | $734132.33     | 0.01%             | 2027-10-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Buckeye Partners LP                                                       | Buckeye Partners LP                                                                                           | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    1997000 | PA      | $1982541.92    | 0.02%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                       | Buckeye Partners LP                                                                                           | CUSIP: 118230AR2<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     405000 | PA      | $402539.75     | 0.00%             | 2027-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                       | Buckeye Partners LP                                                                                           | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     615000 | PA      | $613658.25     | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Buckeye Partners LP                                                       | Buckeye Partners LP                                                                                           | CUSIP: 118230AW1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    1511000 | PA      | $1577352.54    | 0.02%             | 2030-02-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Buckhorn Park CLO Ltd.                                                    | Buckhorn Park CLO Ltd., Series 2019-1A, Class CRR                                                             | CUSIP: 118382BE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3250000 | PA      | $3250201.50    | 0.04%             | 2034-07-18      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                                | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     975000 | PA      | $967783.44     | 0.01%             | 2030-03-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                                | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    3195000 | PA      | $3282832.12    | 0.04%             | 2032-06-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                                | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAS6<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     965000 | PA      | $993965.44     | 0.01%             | 2034-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                                | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     781000 | PA      | $815024.02     | 0.01%             | 2035-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                               | Business Jet Securities LLC, Series 2024-2A, Class C                                                          | CUSIP: 12326TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     653871 | PA      | $659921.12     | 0.01%             | 2039-09-15      | Fixed         | 7.97%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                                               | Business Jet Securities LLC, Series 2024-1A, Class A                                                          | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1171390 | PA      | $1212006.68    | 0.01%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| BX Mortgage Trust                                                         | BX Mortgage Trust, Series 2025-BIO3, Class B                                                                  | CUSIP: 123911AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3587000 | PA      | $3670522.22    | 0.05%             | 2042-02-10      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| BX Mortgage Trust                                                         | BX Mortgage Trust, Series 2025-BIO3, Class C                                                                  | CUSIP: 123911AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3487426.92    | 0.04%             | 2042-02-10      | Variable      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| BX Mortgage Trust                                                         | BX Mortgage Trust, Series 2025-BIO3, Class D                                                                  | CUSIP: 123911AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11340000 | PA      | $11530311.28   | 0.14%             | 2042-02-10      | Variable      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-LBA6, Class A                                                                           | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155000 | PA      | $155084.66     | 0.00%             | 2039-01-15      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2615000 | PA      | $2608778.86    | 0.03%             | 2029-06-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15446000 | PA      | $14932624.39   | 0.18%             | 2030-03-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13892000 | PA      | $13250570.24   | 0.16%             | 2030-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7359000 | PA      | $6859326.33    | 0.08%             | 2031-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2120000 | PA      | $1940127.54    | 0.02%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2558627.62    | 0.03%             | 2029-09-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4415000 | PA      | $4555277.80    | 0.06%             | 2031-03-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD6, Class AM                                                                  | CUSIP: 125039AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1362417 | PA      | $1337079.99    | 0.02%             | 2050-11-13      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD6, Class B                                                                   | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1750000 | PA      | $1664161.45    | 0.02%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Churchill Downs, Inc.                                                     | Churchill Downs, Inc.                                                                                         | CUSIP: 12511VAA6<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |     773000 | PA      | $779186.32     | 0.01%             | 2030-04-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2018-CD7, Class C                                                                   | CUSIP: 12512JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2080000 | PA      | $1959302.18    | 0.02%             | 2051-08-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2016-CD2, Class C                                                                   | CUSIP: 12515ABJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290000 | PA      | $170098.37     | 0.00%             | 2049-11-10      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2019-CD8, Class E                                                                   | CUSIP: 12515BAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $2271207.56    | 0.03%             | 2057-08-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD4, Class D                                                                   | CUSIP: 12515DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1771632.40    | 0.02%             | 2050-05-10      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD3, Class A4                                                                  | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16076138 | PA      | $15723216.93   | 0.19%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD3, Class AS                                                                  | CUSIP: 12515GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $885509.20     | 0.01%             | 2050-02-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| CD&R Smokey Buyer, Inc.                                                   | CD&R Smokey Buyer, Inc.                                                                                       | CUSIP: 12515KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     813000 | PA      | $667324.79     | 0.01%             | 2029-10-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                                     | Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E                                               | CUSIP: 12528YAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674000 | PA      | $489892.72     | 0.01%             | 2052-11-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                                 | CFIN 2022-RTL1 Issuer LLC, Class A                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    3612143 | PA      | $3607627.48    | 0.04%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                                 | CFIN 2022-RTL1 Issuer LLC, Class B-1                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    5634341 | PA      | $5627297.75    | 0.07%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class C                                                      | CUSIP: 12532ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $909181.40     | 0.01%             | 2049-11-10      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                            | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBH2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $1942551.86    | 0.02%             | 2029-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                            | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     705000 | PA      | $646831.34     | 0.01%             | 2031-02-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                            | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    1590000 | PA      | $1527723.17    | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                            | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     888000 | PA      | $962348.69     | 0.01%             | 2032-01-15      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2022-2A, Class BR                                                                   | CUSIP: 12567MAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6596436.00    | 0.08%             | 2035-04-19      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-CR15, Class C                                                          | CUSIP: 12591RBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $966165.50     | 0.01%             | 2047-02-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-CR19, Class E                                                          | CUSIP: 12592GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1370863 | PA      | $1322869.35    | 0.02%             | 2047-08-10      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-UBS5, Class C                                                          | CUSIP: 12592KBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2139224.25    | 0.03%             | 2047-09-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-CR20, Class D                                                          | CUSIP: 12592LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4410000 | PA      | $3246818.40    | 0.04%             | 2047-11-10      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR22, Class D                                                          | CUSIP: 12592XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1580040.00    | 0.02%             | 2048-03-10      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2015-PC1, Class D                                                                 | CUSIP: 12593GAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4725000 | PA      | $3921750.00    | 0.05%             | 2050-07-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2016-COR1, Class C                                                          | CUSIP: 12594MBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7875000 | PA      | $6785966.25    | 0.08%             | 2049-10-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2016-COR1, Class AM                                                               | CUSIP: 12594MBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2449000 | PA      | $2395122.73    | 0.03%             | 2049-10-10      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2018-COR3, Class B                                                                | CUSIP: 12595VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $697370.48     | 0.01%             | 2051-05-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D                                                     | CUSIP: 12596GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2005000 | PA      | $1507780.25    | 0.02%             | 2051-11-15      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class C                                                     | CUSIP: 12596GBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3626252.80    | 0.04%             | 2051-11-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA                                                    | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57333424 | PA      | $2295446.84    | 0.03%             | 2052-06-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2020-C19, Class D                                                     | CUSIP: 12597NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $2673152.56    | 0.03%             | 2053-03-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2020-C19, Class E                                                     | CUSIP: 12597NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $721953.00     | 0.01%             | 2053-03-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2020-C19, Class C                                                     | CUSIP: 12597NAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $1758810.35    | 0.02%             | 2053-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2023-2, Class A1                                                             | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |     187892 | PA      | $188463.75     | 0.00%             | 2068-07-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2015-DC1, Class B                                                                 | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8160000 | PA      | $7797696.00    | 0.10%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                          | CSC Holdings LLC                                                                                              | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    3060000 | PA      | $1933155.92    | 0.02%             | 2029-02-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-CR14, Class C                                                          | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2967820 | PA      | $2912470.16    | 0.04%             | 2047-02-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                                                      | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    2135777 | PA      | $2039688.23    | 0.03%             | 2057-06-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                                                      | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    6852000 | PA      | $6016809.72    | 0.07%             | 2057-06-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                                                      | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1215000 | PA      | $1124482.50    | 0.01%             | 2048-08-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class D                                                      | CUSIP: 12635FBA1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1747000 | PA      | $1312870.50    | 0.02%             | 2048-08-15      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-LC23, Class E                                                          | CUSIP: 12636FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2430270.00    | 0.03%             | 2048-10-10      | Variable      | 3.68%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2016-C6, Class D                                                      | CUSIP: 12636MAV0<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    2338000 | PA      | $1992339.79    | 0.02%             | 2049-01-15      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| CNX Resources Corp.                                                       | CNX Resources Corp.                                                                                           | CUSIP: 12653CAM0<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     550000 | PA      | $551005.63     | 0.01%             | 2034-03-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1                                                   | CUSIP: 126694M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134750 | PA      | $120250.29     | 0.00%             | 2046-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2024-CBM, Class A1                                                                | CUSIP: 12674GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1408820 | PA      | $1430622.62    | 0.02%             | 2041-12-10      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2024-CBM, Class A2                                                                | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1123214 | PA      | $1148906.17    | 0.01%             | 2041-12-10      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2024-CBM, Class B                                                                 | CUSIP: 12674GAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1224000 | PA      | $1261091.61    | 0.02%             | 2041-12-10      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                               | Caesars Entertainment, Inc.                                                                                   | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     760000 | PA      | $743513.47     | 0.01%             | 2029-10-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                               | Caesars Entertainment, Inc.                                                                                   | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    4250000 | PA      | $4357265.75    | 0.05%             | 2030-02-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                               | Caesars Entertainment, Inc.                                                                                   | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    2535000 | PA      | $2576059.40    | 0.03%             | 2032-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| California Infrastructure & Economic Development Bank                     | California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project, Series 2025B | CUSIP: 13034A7E4<br>LEI: 549300C1OG9RDIM8ET06 | Long             | STIV             | MUN               | US        |    1590000 | PA      | $858600.00     | 0.01%             | 2065-01-01      | Variable      | 12.00%                | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2015-4A, Class BR3                                          | CUSIP: 14311NBJ2<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000167.00    | 0.01%             | 2032-07-20      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2016-1A, Class CR3                                          | CUSIP: 14312HBL9<br>LEI: 549300N3CJKPCWZ7KX23 | Long             | ABS-CBDO         | CORP              | KY        |    2895000 | PA      | $2815960.71    | 0.03%             | 2034-04-20      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2018-4A, Class D2R                                                                | CUSIP: 14315RAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $997896.00     | 0.01%             | 2037-10-17      | Floating      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2021-7A, Class CR                                                                 | CUSIP: 14316WAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1750000 | PA      | $1756886.25    | 0.02%             | 2040-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                                            | Carnival Corp.                                                                                                | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    5041000 | PA      | $5218725.50    | 0.06%             | 2033-02-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                                            | Carnival Corp.                                                                                                | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1788000 | PA      | $1855584.61    | 0.02%             | 2032-08-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Carpenter Technology Corp.                                                | Carpenter Technology Corp.                                                                                    | CUSIP: 144285AN3<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |     256000 | PA      | $261037.82     | 0.00%             | 2034-03-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                             | Six Flags Entertainment Corp.                                                                                 | CUSIP: 150190AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2145000 | PA      | $2063118.27    | 0.03%             | 2029-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                  | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     865000 | PA      | $929309.29     | 0.01%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                  | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QBC7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     657000 | PA      | $676704.09     | 0.01%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                  | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    4858000 | PA      | $4990696.27    | 0.06%             | 2034-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust                    | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class A1                            | CUSIP: 151704AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10620000 | PA      | $10663159.68   | 0.13%             | 2030-12-25      | Variable      | 5.38%                 | Yes           |                  3 | On Loan: No      |
| Axia Energia                                                              | Axia Energia                                                                                                  | CUSIP: 15234VAA5<br>LEI: 254900I8KYDELP4B4Z08 | Long             | DBT              | CORP              | BR        |     890000 | PA      | $925914.88     | 0.01%             | 2035-01-11      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Central Garden & Pet Co.                                                  | Central Garden & Pet Co.                                                                                      | CUSIP: 153527AM8<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |     610000 | PA      | $609371.82     | 0.01%             | 2028-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Central Garden & Pet Co.                                                  | Central Garden & Pet Co.                                                                                      | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |    1425000 | PA      | $1375162.91    | 0.02%             | 2030-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                                    | Chart Industries, Inc.                                                                                        | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    2165000 | PA      | $2249027.79    | 0.03%             | 2030-01-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                          | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2272546.23    | 0.03%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                          | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1545000 | PA      | $1458508.95    | 0.02%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                          | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $53103.48      | 0.00%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                          | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1790000 | PA      | $1876063.86    | 0.02%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                         | Chase Home Lending Mortgage Trust, Series 2025-DRT1, Class B3                                                 | CUSIP: 161924AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5001199 | PA      | $5063863.52    | 0.06%             | 2056-05-25      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Chemours Co. (The)                                                        | Chemours Co. (The)                                                                                            | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    3095000 | PA      | $3112994.33    | 0.04%             | 2028-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Chemours Co. (The)                                                        | Chemours Co. (The)                                                                                            | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     810000 | PA      | $767240.34     | 0.01%             | 2029-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Chemours Co. (The)                                                        | Chemours Co. (The)                                                                                            | CUSIP: 163851AL2<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     546000 | PA      | $545317.66     | 0.01%             | 2034-03-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Churchill Downs, Inc.                                                     | Churchill Downs, Inc.                                                                                         | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |     555000 | PA      | $571708.83     | 0.01%             | 2031-05-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Ciena Corp.                                                               | Ciena Corp.                                                                                                   | CUSIP: 171779AL5<br>LEI: W0CZ7N0GH8UIGXDM1H41 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144882.39     | 0.00%             | 2030-01-31      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cinemark USA, Inc.                                                        | Cinemark USA, Inc.                                                                                            | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |     662000 | PA      | $689488.11     | 0.01%             | 2032-08-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Cipher Compute LLC                                                        | Cipher Compute LLC                                                                                            | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     719000 | PA      | $749445.34     | 0.01%             | 2030-11-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2018-C5, Class XA                                                 | CUSIP: 17291DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1433639 | PA      | $18694.51      | 0.00%             | 2051-06-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2016-P6, Class D                                                  | CUSIP: 17291EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2205540.60    | 0.03%             | 2049-12-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CITI Asset Receivables Trust I                                            | CITI Asset Receivables Trust I, Series 2025-2, Class CERT                                                     | CUSIP: 17292CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2594234 | PA      | $2551169.39    | 0.03%             | 2031-05-20      | Fixed         | 24.76%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust I, Series 2025-10, Class CERT                                                    | CUSIP: 17292HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13332541 | PA      | $13857561.23   | 0.17%             | 2032-01-20      | Fixed         | 24.78%                | Yes           |                  3 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc., Series CC                                                                                    | CUSIP: 172967PK1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3990000 | PA      | $4124048.04    | 0.05%             | 2029-08-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc., Series EE                                                                                    | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1616253.10    | 0.02%             | 2030-02-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                               | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2084000 | PA      | $2154399.90    | 0.03%             | 2031-02-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| CITI Asset Receivables Trust I                                            | CITI Asset Receivables Trust I, Series 2025-1, Class CERT                                                     | CUSIP: 17302EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5307329 | PA      | $5197467.13    | 0.06%             | 2031-03-15      | Fixed         | 27.07%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust I, Series 2026-1, Class CERT                                                     | CUSIP: 17302LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16687171 | PA      | $17137724.75   | 0.21%             | 2032-02-20      | Fixed         | 25.47%                | Yes           |                  3 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class B                                                | CUSIP: 17322YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     918122 | PA      | $895169.16     | 0.01%             | 2047-10-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D                                                | CUSIP: 17323VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $2690080.00    | 0.03%             | 2048-04-10      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class D                                                  | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16100 | PA      | $15737.30      | 0.00%             | 2048-09-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2016-GC36, Class B                                                | CUSIP: 17324TAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4674000 | PA      | $4450582.80    | 0.05%             | 2049-02-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2016-GC36, Class C                                                | CUSIP: 17324TAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1317585.00    | 0.02%             | 2049-02-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2016-C3, Class D                                                  | CUSIP: 17325GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1175399.85    | 0.01%             | 2049-11-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CGMS Commercial Mortgage Trust                                            | CGMS Commercial Mortgage Trust, Series 2017-B1, Class D                                                       | CUSIP: 17326CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5762446.30    | 0.07%             | 2050-08-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2017-P8, Class C                                                  | CUSIP: 17326DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1254000 | PA      | $1024348.33    | 0.01%             | 2050-09-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2018-B2, Class AS                                                 | CUSIP: 17327FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $987160.60     | 0.01%             | 2051-03-10      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2018-C6, Class XA                                                 | CUSIP: 17327GAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1995965 | PA      | $36064.29      | 0.00%             | 2051-11-10      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class XA                                                 | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19551212 | PA      | $541685.89     | 0.01%             | 2072-12-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust I, Series 2026-2, Class CERT                                                     | CUSIP: 17332QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19245000 | PA      | $19962290.59   | 0.25%             | 2032-03-20      | Fixed         | 25.72%                | Yes           |                  3 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 17888HAA1<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $1095577.84    | 0.01%             | 2028-07-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 17888HAB9<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    2032000 | PA      | $2133354.13    | 0.03%             | 2031-07-01      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 17888HAC7<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    4385000 | PA      | $4640855.98    | 0.06%             | 2030-11-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 17888HAD5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     632000 | PA      | $698825.15     | 0.01%             | 2033-06-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                         | Clarios Global LP                                                                                             | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     505000 | PA      | $516543.29     | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                         | Clarios Global LP                                                                                             | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1226000 | PA      | $1284185.96    | 0.02%             | 2030-02-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                         | Clarios Global LP                                                                                             | CUSIP: 18060TAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2376000 | PA      | $2466347.40    | 0.03%             | 2032-09-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                          | Clarivate Science Holdings Corp.                                                                              | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4650000 | PA      | $4349208.19    | 0.05%             | 2028-07-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Clean Harbors, Inc.                                                       | Clean Harbors, Inc.                                                                                           | CUSIP: 184496AR8<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |     971000 | PA      | $993950.56     | 0.01%             | 2033-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                      | Clear Channel Outdoor Holdings, Inc.                                                                          | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    1347000 | PA      | $1357689.79    | 0.02%             | 2028-04-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                      | Clear Channel Outdoor Holdings, Inc.                                                                          | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    4414000 | PA      | $4665646.33    | 0.06%             | 2031-02-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                      | Clear Channel Outdoor Holdings, Inc.                                                                          | CUSIP: 18453HAH9<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    1853000 | PA      | $2000352.41    | 0.02%             | 2033-03-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                    | Cleveland-Cliffs, Inc.                                                                                        | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     727000 | PA      | $738360.10     | 0.01%             | 2032-03-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                    | Cleveland-Cliffs, Inc.                                                                                        | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     844000 | PA      | $880922.47     | 0.01%             | 2031-09-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                    | Cleveland-Cliffs, Inc.                                                                                        | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    2142000 | PA      | $2198272.85    | 0.03%             | 2034-01-15      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                     | Clydesdale Acquisition Holdings, Inc.                                                                         | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    3117000 | PA      | $3140535.19    | 0.04%             | 2032-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Coinbase Global, Inc.                                                     | Coinbase Global, Inc.                                                                                         | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      65000 | PA      | $61998.98      | 0.00%             | 2028-10-01      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                           | Permian Resources Operating LLC                                                                               | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1254240.00    | 0.02%             | 2029-07-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                          | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     500000 | PA      | $535250.00     | 0.01%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                          | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    5300000 | PA      | $5656425.00    | 0.07%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                          | CUSIP: 195325EM3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    3579000 | PA      | $3930815.70    | 0.05%             | 2053-11-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Comision Ejecutiva Hidroelectrica del Rio Lempa                           | Comision Ejecutiva Hidroelectrica del Rio Lempa                                                               | CUSIP: 200444AA5<br>LEI: 254900YU43PQQ27Q0E71 | Long             | DBT              | NUSS              | SV        |    2229000 | PA      | $2364969.00    | 0.03%             | 2033-01-24      | Fixed         | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                          | Comision Federal de Electricidad                                                                              | CUSIP: 200447AR1<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | NUSS              | MX        |     738000 | PA      | $746671.50     | 0.01%             | 2051-01-28      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-LC19, Class D                                                          | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7817000 | PA      | $7328515.67    | 0.09%             | 2048-02-10      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Commercial Credit, Inc.                                                   | Commercial Credit, Inc., Series QIB                                                                           | CUSIP: 201616AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3943759.64    | 0.05%             | 2030-08-30      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Commercial Metals Co.                                                     | Commercial Metals Co.                                                                                         | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     686000 | PA      | $699915.51     | 0.01%             | 2033-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Compass Minerals International, Inc.                                      | Compass Minerals International, Inc.                                                                          | CUSIP: 20451NAJ0<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |     285000 | PA      | $300689.25     | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                                  | Comstock Resources, Inc.                                                                                      | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1285012.86    | 0.02%             | 2029-03-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                                  | Comstock Resources, Inc.                                                                                      | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $6216148.09    | 0.08%             | 2030-01-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Connect Finco SARL                                                        | Connect Finco SARL                                                                                            | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     445000 | PA      | $472221.99     | 0.01%             | 2029-09-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2M2                                               | CUSIP: 20753AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2640000 | PA      | $2777796.91    | 0.03%             | 2043-04-25      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M2                                               | CUSIP: 20753BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16000000 | PA      | $16538891.20   | 0.20%             | 2043-09-25      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2B1                                               | CUSIP: 20753BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5340692.50    | 0.07%             | 2043-09-25      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2024-R04, Class 1M2                                               | CUSIP: 20753GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1296000 | PA      | $1301457.07    | 0.02%             | 2044-05-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Connect Holding II LLC                                                    | Connect Holding II LLC                                                                                        | CUSIP: 20753PAD3<br>LEI: 254900LCX7S2QHYUOI31 | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1721326.04    | 0.02%             | 2031-04-03      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2019-R04, Class 2B1                                               | CUSIP: 20753TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4610120 | PA      | $4671436.88    | 0.06%             | 2039-06-25      | Floating      | 9.03%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M1                                               | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2863964 | PA      | $2864851.73    | 0.04%             | 2044-01-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B1                                               | CUSIP: 20753UAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2578506.00    | 0.03%             | 2044-01-25      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2019-R07, Class 1B1                                               | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2593098 | PA      | $2629755.40    | 0.03%             | 2039-10-25      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1B1                                               | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5660000 | PA      | $5968438.30    | 0.07%             | 2042-03-25      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2                                               | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1941000 | PA      | $1949678.79    | 0.02%             | 2041-12-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1                                               | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6800000 | PA      | $6921439.16    | 0.08%             | 2040-01-25      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2                                               | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     680000 | PA      | $697970.63     | 0.01%             | 2043-07-25      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2                                               | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460000 | PA      | $462442.60     | 0.01%             | 2044-02-25      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1                                               | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000700 | PA      | $5057523.85    | 0.06%             | 2039-07-25      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2019-R06, Class 2B1                                               | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2595510 | PA      | $2633724.48    | 0.03%             | 2039-09-25      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2M2                                               | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    4215372 | PA      | $4228508.54    | 0.05%             | 2041-11-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2B1                                               | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      64000 | PA      | $65024.82      | 0.00%             | 2041-11-25      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M2                                               | CUSIP: 20754NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1135815.78    | 0.01%             | 2042-05-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1                                               | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |   17982556 | PA      | $18900327.62   | 0.23%             | 2039-11-25      | Floating      | 13.03%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M2                                               | CUSIP: 20754QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $523555.30     | 0.01%             | 2043-05-25      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R04, Class 1B1                                               | CUSIP: 20754QAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2806286.60    | 0.03%             | 2043-05-25      | Floating      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1                                               | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2026639.20    | 0.02%             | 2041-10-25      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1                                               | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9300000 | PA      | $9444065.37    | 0.12%             | 2040-01-25      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M2                                               | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $420789.60     | 0.01%             | 2044-07-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2B1                                               | CUSIP: 20754XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6999995.80    | 0.09%             | 2044-07-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2025-R06, Class 1M2                                               | CUSIP: 20754YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6520000 | PA      | $6548600.63    | 0.08%             | 2045-09-25      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2025-R06, Class 1B1                                               | CUSIP: 20754YCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2830000 | PA      | $2867280.16    | 0.04%             | 2045-09-25      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M1                                               | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176377 | PA      | $180793.75     | 0.00%             | 2043-01-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M2                                               | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $571527.66     | 0.01%             | 2043-01-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1B1                                               | CUSIP: 20755AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $374753.61     | 0.00%             | 2043-01-25      | Floating      | 9.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1M2                                               | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5400000 | PA      | $5497902.00    | 0.07%             | 2043-10-25      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                       | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2                                               | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4442722 | PA      | $4449638.67    | 0.05%             | 2044-09-25      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                       | Constellation Energy Generation LLC                                                                           | CUSIP: 210385AG5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1240229.36    | 0.02%             | 2029-02-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                          | Cooper-Standard Automotive, Inc.                                                                              | CUSIP: 216762AK0<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |    4849000 | PA      | $4862674.18    | 0.06%             | 2031-03-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| CoreCivic, Inc.                                                           | CoreCivic, Inc.                                                                                               | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |     635000 | PA      | $660302.21     | 0.01%             | 2029-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                | Corebridge Financial, Inc.                                                                                    | CUSIP: 21871XAP4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     500000 | PA      | $510889.58     | 0.01%             | 2052-12-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                | Corebridge Financial, Inc.                                                                                    | CUSIP: 21871XAU3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    6650000 | PA      | $6820100.35    | 0.08%             | 2030-12-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                           | CoreVest American Finance Trust, Series 2019-1, Class E                                                       | CUSIP: 21872FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $303627.00     | 0.00%             | 2052-03-15      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                           | CoreVest American Finance Trust, Series 2019-2, Class E                                                       | CUSIP: 21872GAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     350000 | PA      | $330583.26     | 0.00%             | 2052-06-15      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                           | CoreVest American Finance Trust, Series 2019-3, Class E                                                       | CUSIP: 21872NAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     350000 | PA      | $327062.51     | 0.00%             | 2052-10-15      | Variable      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                           | CoreWeave, Inc.                                                                                               | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    1961000 | PA      | $1920701.06    | 0.02%             | 2030-06-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                           | CoreWeave, Inc.                                                                                               | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    1698000 | PA      | $1638342.96    | 0.02%             | 2031-02-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H030633<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -118200000 | PA      | $-108398704.70 | -1.33%            | 2056-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H040632<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -87403000 | PA      | $-84070633.02  | -1.03%            | 2056-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -145600000 | PA      | $-143882375.73 | -1.77%            | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -29690000 | PA      | $-29790731.94  | -0.37%            | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -170701312 | PA      | $-172879703.14 | -2.12%            | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  174380000 | PA      | $177877986.07  | 2.18%             | 2056-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Costa Rica                                                    | Republic of Costa Rica                                                                                        | CUSIP: 221597CV7<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    1565000 | PA      | $1787684.79    | 0.02%             | 2054-11-13      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                 | Republic of Cote d'Ivoire                                                                                     | CUSIP: 221625AU0<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    4600000 | PA      | $5023200.00    | 0.06%             | 2037-01-30      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                 | Republic of Cote d'Ivoire                                                                                     | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    5481000 | PA      | $5909285.34    | 0.07%             | 2036-04-01      | Fixed         | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                 | Republic of Cote d'Ivoire                                                                                     | CUSIP: 221625AX4<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    7278000 | PA      | $6943212.00    | 0.09%             | 2041-02-25      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                                                    | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     391000 | PA      | $396407.10     | 0.00%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class C                                                    | CUSIP: 224940AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9475000 | PA      | $9657066.86    | 0.12%             | 2036-03-17      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class D                                                    | CUSIP: 22534QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $302710.80     | 0.00%             | 2033-04-18      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class B                                                    | CUSIP: 22535LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1625000 | PA      | $1635859.71    | 0.02%             | 2034-11-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                                                    | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1014983.60    | 0.01%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                                                    | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1467000 | PA      | $1493520.57    | 0.02%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                                                    | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      64600 | PA      | $64650.80      | 0.00%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class B                                                    | CUSIP: 22537GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     708000 | PA      | $718668.99     | 0.01%             | 2034-05-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                         | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C                                                    | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     930000 | PA      | $952786.95     | 0.01%             | 2034-07-17      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                                                     | DB Master Finance LLC, Series 2021-1A, Class A23                                                              | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |     287250 | PA      | $261050.67     | 0.00%             | 2051-11-20      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                      | DBJPM Mortgage Trust, Series 2016-C3, Class B                                                                 | CUSIP: 23312VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $382814.44     | 0.00%             | 2049-08-10      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                       | DT Auto Owner Trust, Series 2022-3A, Class E                                                                  | CUSIP: 23345RAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3132874.20    | 0.04%             | 2029-07-16      | Fixed         | 10.99%                | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                       | DT Auto Owner Trust, Series 2022-1A, Class E                                                                  | CUSIP: 23345YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2399347.44    | 0.03%             | 2029-03-15      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                       | DT Auto Owner Trust, Series 2023-1A, Class C                                                                  | CUSIP: 23346KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     115852 | PA      | $116053.46     | 0.00%             | 2028-10-16      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| DailyPay Securitization Trust 2025-1                                      | DailyPay Securitization Trust, Series 2025-1A, Class A                                                        | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     760000 | PA      | $765236.63     | 0.01%             | 2028-06-26      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Dana, Inc.                                                                | Dana, Inc.                                                                                                    | CUSIP: 235825AH9<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |     199000 | PA      | $191074.79     | 0.00%             | 2030-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                              | DaVita, Inc.                                                                                                  | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     425000 | PA      | $416043.76     | 0.01%             | 2030-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| DaVita, Inc.                                                              | DaVita, Inc.                                                                                                  | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1425101.54    | 0.02%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2022-2, Class A1                                                 | CUSIP: 24380XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81801 | PA      | $81017.38      | 0.00%             | 2067-03-25      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                          | Deutsche Bank AG                                                                                              | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4300000 | PA      | $4393123.77    | 0.05%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Diamond Foreign Asset Co.                                                 | Diamond Foreign Asset Co.                                                                                     | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     300000 | PA      | $318893.40     | 0.00%             | 2030-10-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Diebold Nixdorf, Inc.                                                     | Diebold Nixdorf, Inc.                                                                                         | CUSIP: 253651AK9<br>LEI: 549300XZK6EWDBAZSY16 | Long             | DBT              | CORP              | US        |     416000 | PA      | $438763.52     | 0.01%             | 2030-03-31      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Digicel International Finance Ltd.                                        | Digicel International Finance Ltd.                                                                            | CUSIP: 25381MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3309000 | PA      | $3443899.66    | 0.04%             | 2032-08-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| State of Nevada Department of Business & Industry                         | State of Nevada Department of Business and Industry, Brighline West Passenger Rail Project, Series 2025B      | CUSIP: 25457VBV7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2165000 | PA      | $1169100.00    | 0.01%             | 2065-01-01      | Variable      | 12.00%                | Yes           |                  2 | On Loan: No      |
| Directv Financing LLC                                                     | Directv Financing LLC                                                                                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1551801.10    | 0.02%             | 2027-08-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| DISH Network Corp.                                                        | DISH Network Corp.                                                                                            | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    4608000 | PA      | $4770551.81    | 0.06%             | 2027-11-15      | Fixed         | 11.75%                | Yes           |                  2 | On Loan: No      |
| DISH DBS Corp.                                                            | DISH DBS Corp.                                                                                                | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2335000 | PA      | $2306075.65    | 0.03%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp.                                                            | DISH DBS Corp.                                                                                                | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2679000 | PA      | $2602196.55    | 0.03%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                            | Diversified ABS Phase LLC, Series 2024-1A, Class A2                                                           | CUSIP: 255123AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1584533 | PA      | $1601920.41    | 0.02%             | 2044-05-30      | Fixed         | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                        | Dominican Republic Government Bond                                                                            | CUSIP: 25714PEN4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     150000 | PA      | $153000.00     | 0.00%             | 2033-02-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                        | Dominican Republic Government Bond                                                                            | CUSIP: 25714PFB9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    4400000 | PA      | $4725600.00    | 0.06%             | 2037-03-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                        | Dominican Republic Government Bond                                                                            | CUSIP: 25714PFC7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    5850000 | PA      | $6341400.00    | 0.08%             | 2055-02-24      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                        | Dominican Republic Government Bond                                                                            | CUSIP: 25714PFH6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    2877000 | PA      | $2881697.85    | 0.04%             | 2038-05-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                     | Dominion Energy, Inc., Series C                                                                               | CUSIP: 25746UDM8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    2088000 | PA      | $2077872.36    | 0.03%             | 2027-01-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                     | Dominion Energy, Inc., Series A                                                                               | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    2880000 | PA      | $3015662.40    | 0.04%             | 2055-02-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                     | Dominion Energy, Inc.                                                                                         | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    2920000 | PA      | $2963078.76    | 0.04%             | 2056-02-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                              | Drive Auto Receivables Trust, Series 2024-2, Class C                                                          | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     907000 | PA      | $914709.23     | 0.01%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                              | Drive Auto Receivables Trust, Series 2024-2, Class D                                                          | CUSIP: 26207AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     950000 | PA      | $960409.44     | 0.01%             | 2032-05-17      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                                                 | Driven Brands Funding LLC, Series 2021-1A, Class A2                                                           | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6845027 | PA      | $6511399.39    | 0.08%             | 2051-10-20      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                              | Drive Auto Receivables Trust, Series 2025-1, Class D                                                          | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2240124.92    | 0.03%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                              | Drive Auto Receivables Trust, Series 2025-2, Class D                                                          | CUSIP: 262103AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8600000 | PA      | $8683349.48    | 0.11%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dryden 64 CLO Ltd.                                                        | Dryden CLO Ltd., Series 2018-64A, Class A                                                                     | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     245994 | PA      | $246061.18     | 0.00%             | 2031-04-18      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                                                        | Dryden CLO Ltd., Series 2019-68A, Class BRR                                                                   | CUSIP: 26252QAU6<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1703214.70    | 0.02%             | 2035-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                       | DT Auto Owner Trust, Series 2021-4A, Class E                                                                  | CUSIP: 26253WAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1592850.08    | 0.02%             | 2028-07-17      | Fixed         | 3.34%                 | Yes           |                  2 | On Loan: No      |
| Dycom Industries, Inc.                                                    | Dycom Industries, Inc.                                                                                        | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |      90000 | PA      | $88618.74      | 0.00%             | 2029-04-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class C10                                                                         | CUSIP: 26860XBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885000 | PA      | $1892269.13    | 0.02%             | 2039-06-10      | Variable      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                           | Permian Resources Operating LLC                                                                               | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    1633000 | PA      | $1747213.65    | 0.02%             | 2031-07-15      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| EchoStar Corp.                                                            | EchoStar Corp.                                                                                                | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    1272681 | PA      | $1288912.77    | 0.02%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp.                                                            | EchoStar Corp.                                                                                                | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2500551.76    | 0.03%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                  | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    2600000 | PA      | $2330250.00    | 0.03%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                  | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    2280000 | PA      | $2421132.00    | 0.03%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                  | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    1252000 | PA      | $1286430.00    | 0.02%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: 27927WAQ5<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    1325000 | PA      | $1336925.00    | 0.02%             | 2034-01-29      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: 27927WAR3<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    6948000 | PA      | $7066116.00    | 0.09%             | 2039-01-29      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Edgewell Personal Care Co.                                                | Edgewell Personal Care Co.                                                                                    | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    8245000 | PA      | $8237340.40    | 0.10%             | 2028-06-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                                   | Republic of El Salvador                                                                                       | CUSIP: 283875CE0<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    2390000 | PA      | $2587175.00    | 0.03%             | 2030-04-17      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                                   | Republic of El Salvador                                                                                       | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    4957000 | PA      | $5633072.84    | 0.07%             | 2054-11-21      | Fixed         | 9.65%                 | Yes           |                  2 | On Loan: No      |
| Element Solutions, Inc.                                                   | Element Solutions, Inc.                                                                                       | CUSIP: 28618MAA4<br>LEI: 549300FLGN6P5CU20J91 | Long             | DBT              | CORP              | US        |     715000 | PA      | $702840.42     | 0.01%             | 2028-09-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO III Ltd.                                                      | Elmwood CLO Ltd., Series 2019-3A, Class BRR                                                                   | CUSIP: 29002HBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1653846.15    | 0.02%             | 2037-07-18      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd.                                                       | Elmwood CLO Ltd., Series 2021-2A, Class ER                                                                    | CUSIP: 29003VAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1863962.00    | 0.02%             | 2038-04-20      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO Ltd.                                                          | Elmwood CLO Ltd., Series 2023-2A, Class CR                                                                    | CUSIP: 29003YAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2615000 | PA      | $2616945.56    | 0.03%             | 2036-04-16      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 36 Ltd.                                                       | Elmwood CLO Ltd., Series 2024-12RA, Class CR                                                                  | CUSIP: 29004MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2308334 | PA      | $2312620.58    | 0.03%             | 2037-10-20      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| EMRLD Borrower LP                                                         | EMRLD Borrower LP                                                                                             | CUSIP: 29103CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6634000 | PA      | $6866156.83    | 0.08%             | 2030-12-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                                            | Enbridge, Inc., Series 20-A                                                                                   | CUSIP: 29250NBC8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2030000 | PA      | $2066054.83    | 0.03%             | 2080-07-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                            | Enbridge, Inc., Series NC5                                                                                    | CUSIP: 29250NBS3<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     305000 | PA      | $328543.56     | 0.00%             | 2084-01-15      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| Encompass Health Corp.                                                    | Encompass Health Corp.                                                                                        | CUSIP: 29261AAA8<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    2645000 | PA      | $2632713.71    | 0.03%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Encompass Health Corp.                                                    | Encompass Health Corp.                                                                                        | CUSIP: 29261AAB6<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    2855000 | PA      | $2839992.41    | 0.03%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Encompass Health Corp.                                                    | Encompass Health Corp.                                                                                        | CUSIP: 29261AAE0<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1217368.76    | 0.01%             | 2031-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Energizer Holdings, Inc.                                                  | Energizer Holdings, Inc.                                                                                      | CUSIP: 29272WAC3<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    1292000 | PA      | $1279642.02    | 0.02%             | 2028-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Energizer Holdings, Inc.                                                  | Energizer Holdings, Inc.                                                                                      | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    1612000 | PA      | $1565887.77    | 0.02%             | 2029-03-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                            | CUSIP: 29273VAX8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $2006162.18    | 0.02%             | 2054-05-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Endo Finance Holdings LP                                                  | Endo Finance Holdings LP                                                                                      | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     869000 | PA      | $923567.12     | 0.01%             | 2031-04-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Enpro, Inc.                                                               | Enpro, Inc.                                                                                                   | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     212000 | PA      | $218794.18     | 0.00%             | 2033-06-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Entegris, Inc.                                                            | Entegris, Inc.                                                                                                | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     635000 | PA      | $629571.13     | 0.01%             | 2028-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Entergy Corp.                                                             | Entergy Corp.                                                                                                 | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    4306000 | PA      | $4504958.73    | 0.06%             | 2054-12-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                             | Entergy Corp.                                                                                                 | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2960000 | PA      | $2974234.64    | 0.04%             | 2056-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Entegris, Inc.                                                            | Entegris, Inc.                                                                                                | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    3045000 | PA      | $3047530.40    | 0.04%             | 2029-04-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Entegris, Inc.                                                            | Entegris, Inc.                                                                                                | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    3545000 | PA      | $3614960.58    | 0.04%             | 2030-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                                                | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $2187150.00    | 0.03%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2016-P3, Class B                                                  | CUSIP: 29429CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1630000 | PA      | $1565855.59    | 0.02%             | 2049-04-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| EquipmentShare.com, Inc.                                                  | EquipmentShare.com, Inc.                                                                                      | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |    4529000 | PA      | $4743778.77    | 0.06%             | 2028-05-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| EquipmentShare.com, Inc.                                                  | EquipmentShare.com, Inc.                                                                                      | CUSIP: 29450YAB5<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |     555000 | PA      | $593651.87     | 0.01%             | 2032-05-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Esab Corp.                                                                | Esab Corp.                                                                                                    | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |     330000 | PA      | $338269.14     | 0.00%             | 2029-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| EUSHI Finance, Inc.                                                       | EUSHI Finance, Inc.                                                                                           | CUSIP: 29882DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4281000 | PA      | $4312739.33    | 0.05%             | 2056-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2022-4A, Class D                                                  | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     112148 | PA      | $112914.04     | 0.00%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2022-2A, Class E                                                  | CUSIP: 30166QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3007000 | PA      | $2945049.49    | 0.04%             | 2029-10-15      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2025-5A, Class E                                                  | CUSIP: 30166VAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2696000 | PA      | $2786093.58    | 0.03%             | 2033-06-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                                                  | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3530000 | PA      | $3626144.49    | 0.04%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2025-3A, Class E                                                  | CUSIP: 30166XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3137173.20    | 0.04%             | 2032-12-15      | Fixed         | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2022-3A, Class D                                                  | CUSIP: 30166YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     301388 | PA      | $304558.15     | 0.00%             | 2028-09-15      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2022-1A, Class E                                                  | CUSIP: 30167JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1070000 | PA      | $1066135.80    | 0.01%             | 2029-10-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                                                  | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3445000 | PA      | $3504653.62    | 0.04%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2023-1A, Class D                                                  | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     447222 | PA      | $454104.17     | 0.01%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2023-1A, Class E                                                  | CUSIP: 30168BAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $998904.69     | 0.01%             | 2030-09-16      | Fixed         | 12.07%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2023-2A, Class D                                                  | CUSIP: 30168CAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $510014.05     | 0.01%             | 2029-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2026-1A, Class D                                                  | CUSIP: 30168HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10140000 | PA      | $10246539.97   | 0.13%             | 2032-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                       | Exeter Automobile Receivables Trust, Series 2023-3A, Class D                                                  | CUSIP: 301989AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     954000 | PA      | $973229.30     | 0.01%             | 2029-04-16      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                     | FMC GMSR Issuer Trust, Series 2022-GT1, Class B                                                               | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $302789.16     | 0.00%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K115, Class D                                                               | CUSIP: 302673AG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $4477138.80    | 0.05%             | 2053-09-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K115, Class X2A                                                             | CUSIP: 302673AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   63587170 | PA      | $219388.46     | 0.00%             | 2053-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K115, Class X2B                                                             | CUSIP: 302673AL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14600000 | PA      | $53072.46      | 0.00%             | 2053-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K739, Class X2A                                                             | CUSIP: 30289SAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67443896 | PA      | $67578.78      | 0.00%             | 2053-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K739, Class X2B                                                             | CUSIP: 30289SAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17500000 | PA      | $21484.75      | 0.00%             | 2053-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K739, Class D                                                               | CUSIP: 30289SAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6011369.00    | 0.07%             | 2053-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2017-K62, Class B                                                                | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     415000 | PA      | $412436.09     | 0.01%             | 2050-01-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-K83, Class D                                                                | CUSIP: 302958AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $2751351.74    | 0.03%             | 2051-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2017-K724, Class D                                                               | CUSIP: 30295XAW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18076 | PA      | $15309.53      | 0.00%             | 2049-12-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-KF54, Class B                                                               | CUSIP: 302964AC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442364 | PA      | $420290.89     | 0.01%             | 2028-11-25      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-KF43, Class B                                                               | CUSIP: 30296DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21473 | PA      | $20892.19      | 0.00%             | 2028-01-25      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-K155, Class X2A                                                             | CUSIP: 30296QAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   45056442 | PA      | $202902.68     | 0.00%             | 2033-04-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-K155, Class X2B                                                             | CUSIP: 30296QAN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5250000 | PA      | $29044.05      | 0.00%             | 2033-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-K155, Class C                                                               | CUSIP: 30296QAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $2316635.60    | 0.03%             | 2033-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-KF45, Class B                                                               | CUSIP: 30296TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     675023 | PA      | $705110.23     | 0.01%             | 2025-03-25      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-K92, Class D                                                                | CUSIP: 302973AL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4900000 | PA      | $3872496.46    | 0.05%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-K92, Class X2A                                                              | CUSIP: 302973AU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   57299564 | PA      | $136550.59     | 0.00%             | 2029-04-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-K92, Class X2B                                                              | CUSIP: 302973AW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12014516 | PA      | $33102.39      | 0.00%             | 2029-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K105, Class X2A                                                             | CUSIP: 302975BA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50910739 | PA      | $150914.70     | 0.00%             | 2053-03-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K105, Class X2B                                                             | CUSIP: 302975BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $39782.40      | 0.00%             | 2053-03-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K105, Class D                                                               | CUSIP: 302975BJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $2833001.60    | 0.03%             | 2053-03-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-KW07, Class B                                                               | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $276442.29     | 0.00%             | 2031-10-25      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-K84, Class D                                                                | CUSIP: 30297RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $2828289.80    | 0.03%             | 2028-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KF59, Class B                                                               | CUSIP: 30297XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     675975 | PA      | $651141.81     | 0.01%             | 2029-02-25      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K107, Class D                                                               | CUSIP: 302982AA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4500000 | PA      | $3765102.75    | 0.05%             | 2030-02-25      | Variable      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KC07, Class C                                                               | CUSIP: 302988AN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2053715.52    | 0.03%             | 2029-10-25      | Variable      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-K735, Class B                                                               | CUSIP: 30298FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150000 | PA      | $149388.23     | 0.00%             | 2026-05-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KW09, Class X2A                                                             | CUSIP: 30298GAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17558125 | PA      | $38945.68      | 0.00%             | 2029-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KW09, Class X2B                                                             | CUSIP: 30298GAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $26949.00      | 0.00%             | 2029-06-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KW09, Class C                                                               | CUSIP: 30298GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     790000 | PA      | $616176.77     | 0.01%             | 2029-06-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KF67, Class C                                                               | CUSIP: 30298NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1479218 | PA      | $1297149.42    | 0.02%             | 2029-08-25      | Floating      | 9.79%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KW10, Class X2A                                                             | CUSIP: 30298XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13957863 | PA      | $37668.08      | 0.00%             | 2032-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KW10, Class X2B                                                             | CUSIP: 30298XAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $4580.64       | 0.00%             | 2032-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KW10, Class C                                                               | CUSIP: 30298XAH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $983263.32     | 0.01%             | 2032-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2017-K69, Class D                                                                | CUSIP: 30305KAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5243179.80    | 0.06%             | 2049-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2017-KF38, Class B                                                               | CUSIP: 30305MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     784317 | PA      | $783384.88     | 0.01%             | 2024-09-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2017-KF40, Class B                                                               | CUSIP: 30306JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     943700 | PA      | $937195.62     | 0.01%             | 2027-11-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-K91, Class C                                                                | CUSIP: 30309JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     250000 | PA      | $247328.70     | 0.00%             | 2051-04-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 19K-1511, Class C                                                                | CUSIP: 30309KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5327320 | PA      | $2872439.80    | 0.04%             | 2034-04-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KF62, Class B                                                               | CUSIP: 30310WAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5296 | PA      | $5287.31       | 0.00%             | 2026-04-25      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2019-KF73, Class B                                                               | CUSIP: 30313BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2115635 | PA      | $1970746.15    | 0.02%             | 2029-11-25      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 19K-1513, Class X2A                                                              | CUSIP: 30314MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  167868193 | PA      | $972191.85     | 0.01%             | 2034-08-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K109, Class X2A                                                             | CUSIP: 30314RAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67881251 | PA      | $219005.28     | 0.00%             | 2053-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K109, Class X2B                                                             | CUSIP: 30314RAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $82233.60      | 0.00%             | 2053-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K109, Class D                                                               | CUSIP: 30314RAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $4841629.80    | 0.06%             | 2053-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 19K-1514, Class C                                                                | CUSIP: 30315AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $3196727.40    | 0.04%             | 2034-10-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K113, Class D                                                               | CUSIP: 30315KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $3064350.71    | 0.04%             | 2053-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF                                                                     | FREMF, Series 20K-1517, Class C                                                                               | CUSIP: 30315VAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $2829316.60    | 0.03%             | 2035-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FS Luxembourg Sarl                                                        | FS Luxembourg SARL                                                                                            | CUSIP: 30315XAC8<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    1405000 | PA      | $1454175.00    | 0.02%             | 2031-02-12      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| FS Luxembourg Sarl                                                        | FS Luxembourg SARL                                                                                            | CUSIP: 30315XAD6<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |     230000 | PA      | $227734.50     | 0.00%             | 2033-06-25      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-KF76, Class B                                                               | CUSIP: 30316EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     357645 | PA      | $350222.90     | 0.00%             | 2030-01-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-KSG1, Class X2A                                                             | CUSIP: 30316JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40424336 | PA      | $139306.30     | 0.00%             | 2030-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-KSG1, Class X2B                                                             | CUSIP: 30316JAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $12283.92      | 0.00%             | 2030-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-KSG1, Class C                                                               | CUSIP: 30316JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $2354736.12    | 0.03%             | 2030-09-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K116, Class X2A                                                             | CUSIP: 30316LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   58176601 | PA      | $187386.83     | 0.00%             | 2052-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K116, Class X2B                                                             | CUSIP: 30316LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12768420 | PA      | $44833.75      | 0.00%             | 2052-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K116, Class D                                                               | CUSIP: 30316LAS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4500000 | PA      | $3089389.05    | 0.04%             | 2052-09-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K118, Class X2A                                                             | CUSIP: 30316TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75886390 | PA      | $268023.14     | 0.00%             | 2053-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K118, Class X2B                                                             | CUSIP: 30316TAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15633000 | PA      | $58095.35      | 0.00%             | 2053-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K118, Class D                                                               | CUSIP: 30316TAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $5049796.50    | 0.06%             | 2053-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K122, Class X2B                                                             | CUSIP: 30318BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10972469 | PA      | $41362.92      | 0.00%             | 2054-01-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2020-K122, Class D                                                               | CUSIP: 30318BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $2710844.00    | 0.03%             | 2054-01-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2021-K126, Class X2A                                                             | CUSIP: 30319DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   78716400 | PA      | $295438.39     | 0.00%             | 2054-01-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2021-K126, Class X2B                                                             | CUSIP: 30319DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20236360 | PA      | $81874.29      | 0.00%             | 2054-01-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2021-K126, Class D                                                               | CUSIP: 30319DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7600000 | PA      | $5255312.60    | 0.06%             | 2054-01-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fair Isaac Corp.                                                          | Fair Isaac Corp.                                                                                              | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     607000 | PA      | $613541.15     | 0.01%             | 2033-05-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2022-KF132, Class CS                                                             | CUSIP: 30325VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2759024 | PA      | $2563082.69    | 0.03%             | 2032-02-25      | Floating      | 10.08%                | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2023-K752, Class D                                                               | CUSIP: 30333RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2588480 | PA      | $1838888.55    | 0.02%             | 2030-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2023-K752, Class X2A                                                             | CUSIP: 30333RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43284007 | PA      | $144966.80     | 0.00%             | 2060-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2023-K752, Class X2B                                                             | CUSIP: 30333RAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9003480 | PA      | $32226.16      | 0.00%             | 2030-08-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Connecticut Avenue Securities, Series 2016-C04, Class 1B                                                | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   15659150 | PA      | $16178895.58   | 0.20%             | 2029-01-25      | Floating      | 14.03%                | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Connecticut Avenue Securities, Series 2017-C02, Class 2B1                                               | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2120000 | PA      | $2227993.01    | 0.03%             | 2029-09-25      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Connecticut Avenue Securities, Series 2018-C03, Class 1B1                                               | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    3647000 | PA      | $3877265.74    | 0.05%             | 2030-10-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Connecticut Avenue Securities, Series 2017-C05, Class 1B1                                               | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    1090558 | PA      | $1133905.83    | 0.01%             | 2030-01-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Connecticut Avenue Securities, Series 2017-C06, Class 1B1                                               | CUSIP: 30711XQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $472715.42     | 0.01%             | 2030-02-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Forvia SE                                                                 | Forvia SE                                                                                                     | CUSIP: 31209DAC9<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |     212000 | PA      | $218347.42     | 0.00%             | 2033-09-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC                                                                                                         | CUSIP: 31288RHQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4193082 | PA      | $4288883.72    | 0.05%             | 2055-10-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DT6D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7577133 | PA      | $8017932.42    | 0.10%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DTRC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9941365 | PA      | $10503280.38   | 0.13%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DTUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6855822 | PA      | $7069189.98    | 0.09%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DUFA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2130688 | PA      | $2251502.28    | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132E0PP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4245032 | PA      | $4482960.51    | 0.06%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC Gold Pools, Other                                                                                       | CUSIP: 3132XGSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210000 | PA      | $213950.73     | 0.00%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC Gold Pools, Other                                                                                       | CUSIP: 3132XGXW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     992788 | PA      | $1005114.69    | 0.01%             | 2028-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2604141 | PA      | $2752093.84    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2012-71, Class YF                                                                         | CUSIP: 3136A6Z80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8276 | PA      | $8273.93       | 0.00%             | 2041-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2014-73, Class CZ                                                                         | CUSIP: 3136ALML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6436630 | PA      | $6025464.47    | 0.07%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2016-M10, Class X                                                                           | CUSIP: 3136ATX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   99154113 | PA      | $1045094.27    | 0.01%             | 2028-07-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2019-M11, Class X1                                                                          | CUSIP: 3136B4C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3961523 | PA      | $96039.20      | 0.00%             | 2029-06-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2019-M11, Class X2                                                                          | CUSIP: 3136B4C97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47942001 | PA      | $2549756.97    | 0.03%             | 2034-05-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2020-M3, Class X1                                                                           | CUSIP: 3136B8MM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3102261 | PA      | $26057.44      | 0.00%             | 2030-02-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2020-M15, Class X1                                                                          | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21042238 | PA      | $1209871.89    | 0.01%             | 2031-09-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2020-M16, Class X1                                                                          | CUSIP: 3136B9NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74897702 | PA      | $1248589.63    | 0.02%             | 2032-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2020-M30, Class X                                                                           | CUSIP: 3136BARS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35245983 | PA      | $1172260.24    | 0.01%             | 2031-07-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2020-M31, Class AB                                                                          | CUSIP: 3136BASC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70291 | PA      | $62690.09      | 0.00%             | 2032-10-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2020-M35, Class X                                                                           | CUSIP: 3136BBBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  237009005 | PA      | $1467559.76    | 0.02%             | 2032-07-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2021-M8, Class X                                                                            | CUSIP: 3136BFNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   90961031 | PA      | $1264140.03    | 0.02%             | 2035-11-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2022-M2, Class X2                                                                           | CUSIP: 3136BK7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2796315 | PA      | $23774.55      | 0.00%             | 2032-01-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2023-31, Class LZ                                                                         | CUSIP: 3136BP7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4692172 | PA      | $4949621.19    | 0.06%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2023-28, Class EZ                                                                         | CUSIP: 3136BQAM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2346086 | PA      | $2463286.15    | 0.03%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2023-34, Class LZ                                                                         | CUSIP: 3136BQEN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2918018 | PA      | $3100505.27    | 0.04%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-25, Class ZA                                                                         | CUSIP: 3136BRTP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2120347 | PA      | $2231226.41    | 0.03%             | 2053-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-25, Class ZB                                                                         | CUSIP: 3136BRTR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2985761 | PA      | $3064936.74    | 0.04%             | 2054-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-20, Class MS                                                                         | CUSIP: 3136BRU62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5863405 | PA      | $404707.45     | 0.00%             | 2054-05-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-58, Class BS                                                                         | CUSIP: 3136BSWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5139465 | PA      | $305744.18     | 0.00%             | 2054-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-92, Class SH                                                                         | CUSIP: 3136BT5E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4619217 | PA      | $344621.78     | 0.00%             | 2054-12-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA ACES, Series 2024-M5, Class 1A2C                                                                         | CUSIP: 3136BTHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3548633.55    | 0.04%             | 2034-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-95, Class SE                                                                         | CUSIP: 3136BTR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7017237 | PA      | $460473.91     | 0.01%             | 2054-12-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-95, Class KL                                                                         | CUSIP: 3136BTS61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5463569 | PA      | $5576403.17    | 0.07%             | 2054-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2024-105, Class SH                                                                        | CUSIP: 3136BUBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18424297 | PA      | $1271641.31    | 0.02%             | 2055-01-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-7, Class SE                                                                          | CUSIP: 3136BUWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5402024 | PA      | $375283.50     | 0.00%             | 2055-02-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-11, Class SB                                                                         | CUSIP: 3136BUZ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7110613 | PA      | $534458.57     | 0.01%             | 2055-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-24, Class SC                                                                         | CUSIP: 3136BVSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10735731 | PA      | $719865.13     | 0.01%             | 2055-04-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-73, Class Z                                                                          | CUSIP: 3136BW5D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4345807 | PA      | $4364843.81    | 0.05%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-78, Class BV                                                                         | CUSIP: 3136BW7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3863241 | PA      | $3992781.62    | 0.05%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-69, Class Z                                                                          | CUSIP: 3136BWD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6340093 | PA      | $6354968.64    | 0.08%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-47, Class SM                                                                         | CUSIP: 3136BWKR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54169974 | PA      | $3565321.42    | 0.04%             | 2055-06-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-57, Class Z                                                                          | CUSIP: 3136BWPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1431139 | PA      | $1435342.43    | 0.02%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-55, Class SC                                                                         | CUSIP: 3136BWSE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17475827 | PA      | $1270324.88    | 0.02%             | 2055-07-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-55, Class SG                                                                         | CUSIP: 3136BWTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25333065 | PA      | $1553547.67    | 0.02%             | 2055-07-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-55, Class UN                                                                         | CUSIP: 3136BWTV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4213524 | PA      | $4208102.88    | 0.05%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-66, Class SL                                                                         | CUSIP: 3136BWZW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21467897 | PA      | $1398906.12    | 0.02%             | 2055-08-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-98, Class UZ                                                                         | CUSIP: 3136BX2H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6060981 | PA      | $6106053.59    | 0.07%             | 2054-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-74, Class ZA                                                                         | CUSIP: 3136BXEV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2246656 | PA      | $2332597.28    | 0.03%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-89, Class ZB                                                                         | CUSIP: 3136BXYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3877667 | PA      | $3889673.62    | 0.05%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-106, Class KZ                                                                        | CUSIP: 3136BYAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4249957 | PA      | $4234092.79    | 0.05%             | 2055-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2026-5, Class ZY                                                                          | CUSIP: 3136BYB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121901 | PA      | $1111935.62    | 0.01%             | 2056-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2025-106, Class UZ                                                                        | CUSIP: 3136BYBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2039285 | PA      | $2034605.84    | 0.02%             | 2055-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, REMIC, Series 2026-11, Class SB                                                                         | CUSIP: 3136BYN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2190000 | PA      | $1888875.00    | 0.02%             | 2056-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q001, Class XA                               | CUSIP: 3137BEWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14925094 | PA      | $851631.84     | 0.01%             | 2032-02-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K152, Class X1                               | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16980413 | PA      | $607788.41     | 0.01%             | 2031-01-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K060, Class X3                               | CUSIP: 3137BTAF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13199854 | PA      | $162177.37     | 0.00%             | 2044-12-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K062, Class X3                               | CUSIP: 3137BUX94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14999855 | PA      | $261285.47     | 0.00%             | 2045-01-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K063, Class X3                               | CUSIP: 3137BVZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11342000 | PA      | $209234.95     | 0.00%             | 2045-02-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K064, Class X1                               | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9922875 | PA      | $46074.89      | 0.00%             | 2027-03-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class X3                               | CUSIP: 3137F1G77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8509531 | PA      | $224656.72     | 0.00%             | 2045-07-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K066, Class X3                               | CUSIP: 3137F2LM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $726580.00     | 0.01%             | 2045-08-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K119, Class X1                               | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7214990 | PA      | $252519.58     | 0.00%             | 2030-09-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X1                               | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17439678 | PA      | $156798.40     | 0.00%             | 2027-09-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q014, Class X                                | CUSIP: 3137F72J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1718990 | PA      | $247894.07     | 0.00%             | 2055-10-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K120, Class X1                               | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40324867 | PA      | $1562854.72    | 0.02%             | 2030-10-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K122, Class X1                               | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19450376 | PA      | $663623.48     | 0.01%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K121, Class X1                               | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24596678 | PA      | $939206.92     | 0.01%             | 2030-10-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K121, Class X3                               | CUSIP: 3137F83T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $565642.00     | 0.01%             | 2048-11-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG04, Class X1                               | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   67400858 | PA      | $2173954.00    | 0.03%             | 2030-11-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                           | FHLMC, Multi-Class Certificates, Series 2020-RR14, Class X                                                    | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $321273.00     | 0.00%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1519, Class X1                             | CUSIP: 3137F8TU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13300539 | PA      | $551443.00     | 0.01%             | 2035-12-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K123, Class X1                               | CUSIP: 3137F8ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52448498 | PA      | $1570932.16    | 0.02%             | 2030-12-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K124, Class X1                               | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   99200981 | PA      | $2874636.11    | 0.04%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K124, Class X3                               | CUSIP: 3137F9Z20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $538599.50     | 0.01%             | 2049-02-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K125, Class X3                               | CUSIP: 3137F9ZB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16750000 | PA      | $1853916.80    | 0.02%             | 2049-02-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                           | FHLMC, Multi-Class Certificates, Series 2021-RR16, Class X                                                    | CUSIP: 3137F9ZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5600000 | PA      | $357586.88     | 0.00%             | 2034-10-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K067, Class X3                               | CUSIP: 3137FAWV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $451224.00     | 0.01%             | 2044-09-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X1                               | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     615602 | PA      | $3368.58       | 0.00%             | 2027-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X3                               | CUSIP: 3137FBC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $351825.60     | 0.00%             | 2044-10-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K071, Class X3                               | CUSIP: 3137FCLG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8700000 | PA      | $282624.72     | 0.00%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class X1                               | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14409299 | PA      | $87095.56      | 0.00%             | 2027-12-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K741, Class X3                               | CUSIP: 3137FF4A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13766615 | PA      | $565821.64     | 0.01%             | 2049-03-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K078, Class X1                               | CUSIP: 3137FGR56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   60556228 | PA      | $159226.55     | 0.00%             | 2028-06-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K082, Class X1                               | CUSIP: 3137FJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  190979259 | PA      | $315936.99     | 0.00%             | 2028-09-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K082, Class X3                               | CUSIP: 3137FJKH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $542056.00     | 0.01%             | 2046-10-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K083, Class X1                               | CUSIP: 3137FJXX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  128451020 | PA      | $254063.27     | 0.00%             | 2028-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K083, Class X3                               | CUSIP: 3137FJXY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621062 | PA      | $35562.07      | 0.00%             | 2046-11-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K084, Class X3                               | CUSIP: 3137FJZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     751485 | PA      | $40491.67      | 0.00%             | 2028-11-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K085, Class X3                               | CUSIP: 3137FKJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1850000 | PA      | $104677.81     | 0.00%             | 2045-12-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class X1                               | CUSIP: 3137FL6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13467550 | PA      | $184918.88     | 0.00%             | 2029-01-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K090, Class X3                               | CUSIP: 3137FLMY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $338079.00     | 0.00%             | 2029-10-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K091, Class X1                               | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31694719 | PA      | $503068.09     | 0.01%             | 2029-03-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K092, Class X3                               | CUSIP: 3137FLYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43959013 | PA      | $2851449.73    | 0.04%             | 2047-05-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1512, Class X3                             | CUSIP: 3137FMTV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $522273.00     | 0.01%             | 2034-10-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K094, Class X1                               | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20896899 | PA      | $534795.53     | 0.01%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KW09, Class X1                               | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   67339583 | PA      | $1264536.36    | 0.02%             | 2029-05-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K095, Class XAM                              | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1614000 | PA      | $63342.72      | 0.00%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K096, Class X3                               | CUSIP: 3137FNBB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8380000 | PA      | $491993.99     | 0.01%             | 2051-08-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K097, Class X3                               | CUSIP: 3137FNX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $188891.40     | 0.00%             | 2046-09-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG02, Class X1                               | CUSIP: 3137FPHS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14120452 | PA      | $373816.36     | 0.00%             | 2029-08-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1513, Class X3                             | CUSIP: 3137FPJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4500000 | PA      | $869031.00     | 0.01%             | 2037-12-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC05, Class X1                               | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33747384 | PA      | $281935.77     | 0.00%             | 2027-06-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K100, Class X1                               | CUSIP: 3137FQ3C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53365429 | PA      | $1060765.98    | 0.01%             | 2029-09-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K101, Class X1                               | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1636035 | PA      | $42873.28      | 0.00%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K101, Class X3                               | CUSIP: 3137FQ4C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $1253564.00    | 0.02%             | 2029-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1514, Class X1                             | CUSIP: 3137FQK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1182188 | PA      | $44675.13      | 0.00%             | 2034-10-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1514, Class X3                             | CUSIP: 3137FQK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13043739 | PA      | $2365651.64    | 0.03%             | 2034-10-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K103, Class X1                               | CUSIP: 3137FQKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25475785 | PA      | $526520.78     | 0.01%             | 2029-11-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K737, Class X1                               | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43337005 | PA      | $107051.07     | 0.00%             | 2026-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K737, Class X3                               | CUSIP: 3137FQXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11779376 | PA      | $150829.02     | 0.00%             | 2048-01-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K104, Class X1                               | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12796412 | PA      | $461168.62     | 0.01%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K105, Class X1                               | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24314996 | PA      | $1217089.56    | 0.01%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K106, Class X1                               | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35466457 | PA      | $1621870.42    | 0.02%             | 2030-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                           | FHLMC, Multi-Class Certificates, Series 2020-RR06, Class AX                                                   | CUSIP: 3137FRV73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $79658.00      | 0.00%             | 2028-10-27      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multiclass Certificates                                             | FHLMC Multiclass Certificates, Series 2020-RR06, Class BX                                                     | CUSIP: 3137FRV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50250000 | PA      | $3748599.75    | 0.05%             | 2033-05-27      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K107, Class X1                               | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92842434 | PA      | $4914047.89    | 0.06%             | 2030-01-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K738, Class X1                               | CUSIP: 3137FTFU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40801573 | PA      | $368915.58     | 0.00%             | 2027-01-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K109, Class X1                               | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35834412 | PA      | $1915467.58    | 0.02%             | 2030-04-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K109, Class X3                               | CUSIP: 3137FTG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $416472.80     | 0.01%             | 2048-05-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class X1                             | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8750884 | PA      | $843620.25     | 0.01%             | 2035-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class X3                             | CUSIP: 3137FTZN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $756397.80     | 0.01%             | 2038-03-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K110, Class X1                               | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57931389 | PA      | $3223875.99    | 0.04%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1516, Class X3                             | CUSIP: 3137FUZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $245795.40     | 0.00%             | 2038-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K114, Class X1                               | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2091644 | PA      | $85170.91      | 0.00%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q012, Class X                                | CUSIP: 3137FVNQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336709 | PA      | $49311.96      | 0.00%             | 2035-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                           | FHLMC, Multi-Class Certificates, Series 2020-RR12, Class X                                                    | CUSIP: 3137FVNT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $45259.00      | 0.00%             | 2027-10-27      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K115, Class X1                               | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69858807 | PA      | $3347214.89    | 0.04%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1517, Class X1                             | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19127466 | PA      | $1722782.14    | 0.02%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K117, Class X1                               | CUSIP: 3137FX3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30816164 | PA      | $1379855.39    | 0.02%             | 2030-08-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K119, Class X3                               | CUSIP: 3137FXQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $545366.50     | 0.01%             | 2048-09-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1518, Class X1                             | CUSIP: 3137FXQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35862995 | PA      | $2094718.10    | 0.03%             | 2035-10-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K126, Class X1                               | CUSIP: 3137FXYX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76586033 | PA      | $987025.48     | 0.01%             | 2031-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K126, Class X3                               | CUSIP: 3137FXYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12950000 | PA      | $1444336.81    | 0.02%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K127, Class X3                               | CUSIP: 3137FXZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $444704.00     | 0.01%             | 2049-03-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1520, Class X1                             | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57663357 | PA      | $1921308.47    | 0.02%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K128, Class X1                               | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  125934765 | PA      | $2656052.35    | 0.03%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Debt Notes                                                    | FHLMC STACR, Whole Loan, Series 2017-DNA2, Class B1                                                           | CUSIP: 3137G0PR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $262696.08     | 0.00%             | 2029-10-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                            | FHLMC STACR, Whole Loan, Series 2017-DNA3, Class B1                                                           | CUSIP: 3137G0RJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $1639457.94    | 0.02%             | 2030-03-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K742, Class X1                               | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2053857 | PA      | $21853.25      | 0.00%             | 2028-03-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K742, Class X3                               | CUSIP: 3137H0GY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $257888.50     | 0.00%             | 2028-04-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K129, Class X3                               | CUSIP: 3137H13S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $1124538.40    | 0.01%             | 2031-05-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K743, Class X1                               | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25028583 | PA      | $443886.92     | 0.01%             | 2028-05-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K743, Class X3                               | CUSIP: 3137H14E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $769177.50     | 0.01%             | 2049-06-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K130, Class X1                               | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6152394 | PA      | $281270.83     | 0.00%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K131, Class X1                               | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56473845 | PA      | $1895465.55    | 0.02%             | 2031-07-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K745, Class X1                               | CUSIP: 3137H2NG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14823992 | PA      | $192270.15     | 0.00%             | 2028-08-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5148, Class PZ                                                                           | CUSIP: 3137H2V35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12720789 | PA      | $8386129.59    | 0.10%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5151, Class KZ                                                                           | CUSIP: 3137H3G97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8807318 | PA      | $5866635.35    | 0.07%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG06, Class X1                               | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42557282 | PA      | $1044308.89    | 0.01%             | 2031-10-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K136, Class X1                               | CUSIP: 3137H4SK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   62631611 | PA      | $1013730.20    | 0.01%             | 2031-12-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K140, Class X1                               | CUSIP: 3137H6M36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   84373219 | PA      | $1360543.47    | 0.02%             | 2032-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K142, Class X1                               | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  109934758 | PA      | $1816550.95    | 0.02%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K143, Class X1                               | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34790520 | PA      | $675047.42     | 0.01%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K749, Class XAM                              | CUSIP: 3137H74T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55000000 | PA      | $439208.00     | 0.01%             | 2029-04-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K144, Class X1                               | CUSIP: 3137H7MB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4078121 | PA      | $79445.05      | 0.00%             | 2032-04-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K147, Class X3                               | CUSIP: 3137H8C74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6400000 | PA      | $1241920.64    | 0.02%             | 2050-06-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K148, Class X3                               | CUSIP: 3137H8UC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17000000 | PA      | $3711171.40    | 0.05%             | 2054-08-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class X1                              | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17447385 | PA      | $354157.48     | 0.00%             | 2032-09-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-152, Class A1                              | CUSIP: 3137H9M71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336840 | PA      | $336960.99     | 0.00%             | 2032-01-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-152, Class X1                              | CUSIP: 3137H9MA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  131761496 | PA      | $1595934.77    | 0.02%             | 2032-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-152, Class X3                              | CUSIP: 3137H9MB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $1168991.00    | 0.01%             | 2055-11-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family, Structured Pass-Through Certificates, Series K-153, Class X1                             | CUSIP: 3137H9PD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19682615 | PA      | $566223.57     | 0.01%             | 2032-12-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-154, Class X1                              | CUSIP: 3137H9UF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   85786387 | PA      | $2065495.99    | 0.03%             | 2033-01-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5328, Class Z                                                                            | CUSIP: 3137HADZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4668828 | PA      | $4915522.67    | 0.06%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5338, Class AZ                                                                           | CUSIP: 3137HAJY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4645600 | PA      | $4891772.54    | 0.06%             | 2053-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-159, Class X1                              | CUSIP: 3137HAMD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  151897035 | PA      | $1821397.35    | 0.02%             | 2033-07-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-161, Class A1                              | CUSIP: 3137HB2W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3480000 | PA      | $3661005.94    | 0.04%             | 2032-07-25      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-161, Class X3                              | CUSIP: 3137HB3A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2700000 | PA      | $874433.34     | 0.01%             | 2033-11-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K754, Class XAM                              | CUSIP: 3137HBCC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  116738000 | PA      | $521538.69     | 0.01%             | 2030-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                           | FHLMC, Multi-Class Certificates, Series 2023-RR21, Class X                                                    | CUSIP: 3137HBCL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $3614947.20    | 0.04%             | 2036-04-27      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K514, Class X1                               | CUSIP: 3137HBLW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11782486 | PA      | $288827.60     | 0.00%             | 2028-12-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5387, Class KB                                                                           | CUSIP: 3137HBSQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2900000 | PA      | $3121061.78    | 0.04%             | 2054-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K519, Class AS                               | CUSIP: 3137HCKQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3683801 | PA      | $3679869.24    | 0.05%             | 2029-03-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5414, Class DZ                                                                           | CUSIP: 3137HCRC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5121232 | PA      | $5390127.35    | 0.07%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5413, Class KS                                                                           | CUSIP: 3137HCVR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3938192 | PA      | $278515.99     | 0.00%             | 2054-05-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5442, Class HZ                                                                           | CUSIP: 3137HF5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5496993 | PA      | $5791283.76    | 0.07%             | 2054-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K528, Class X1                               | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $786513.00     | 0.01%             | 2029-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5495, Class SC                                                                           | CUSIP: 3137HJ3S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34887254 | PA      | $2334354.99    | 0.03%             | 2055-01-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5509, Class SA                                                                           | CUSIP: 3137HJF51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19781971 | PA      | $1074675.35    | 0.01%             | 2055-02-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5508, Class SN                                                                           | CUSIP: 3137HJW29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12601369 | PA      | $683502.02     | 0.01%             | 2055-02-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K759, Class X3                               | CUSIP: 3137HJZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1026415 | PA      | $269691.57     | 0.00%             | 2057-02-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5520, Class SD                                                                           | CUSIP: 3137HK3P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17183480 | PA      | $1123734.30    | 0.01%             | 2055-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5520, Class SE                                                                           | CUSIP: 3137HK3Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8160570 | PA      | $479533.86     | 0.01%             | 2055-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5516, Class BZ                                                                           | CUSIP: 3137HKAZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2429738 | PA      | $2474770.36    | 0.03%             | 2055-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5517, Class AL                                                                           | CUSIP: 3137HKG57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4473567 | PA      | $4711303.09    | 0.06%             | 2055-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K760, Class XAM                              | CUSIP: 3137HKPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  115430000 | PA      | $982113.07     | 0.01%             | 2032-02-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5528, Class SA                                                                           | CUSIP: 3137HKR89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18060817 | PA      | $969887.55     | 0.01%             | 2055-04-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5549, Class SA                                                                           | CUSIP: 3137HLTF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20241122 | PA      | $1289383.79    | 0.02%             | 2055-06-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5562, Class Z                                                                            | CUSIP: 3137HLYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1540884 | PA      | $1534159.42    | 0.02%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5558, Class BV                                                                           | CUSIP: 3137HM3G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2862688 | PA      | $2947677.44    | 0.04%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5564, Class PZ                                                                           | CUSIP: 3137HME22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8386072 | PA      | $8309969.43    | 0.10%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5565, Class AZ                                                                           | CUSIP: 3137HMFK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1081010 | PA      | $1022072.38    | 0.01%             | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5565, Class SA                                                                           | CUSIP: 3137HMGY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24341060 | PA      | $1626907.76    | 0.02%             | 2055-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5565, Class ZU                                                                           | CUSIP: 3137HMH94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1664599 | PA      | $1653502.55    | 0.02%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5578, Class ZC                                                                           | CUSIP: 3137HMVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6281341 | PA      | $6262962.24    | 0.08%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5580, Class UZ                                                                           | CUSIP: 3137HMYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206222 | PA      | $205303.89     | 0.00%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5580, Class Z                                                                            | CUSIP: 3137HMYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2153050 | PA      | $2128483.63    | 0.03%             | 2055-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5587, Class ZU                                                                           | CUSIP: 3137HNC22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144656 | PA      | $144063.10     | 0.00%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5601, Class S                                                                            | CUSIP: 3137HNRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  101272275 | PA      | $6921666.31    | 0.08%             | 2055-11-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5607, Class KT                                                                           | CUSIP: 3137HP2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7825747 | PA      | $7861715.20    | 0.10%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5613, Class S                                                                            | CUSIP: 3137HPJC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29837506 | PA      | $2193238.70    | 0.03%             | 2056-01-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5613, Class ZG                                                                           | CUSIP: 3137HPJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6300964 | PA      | $6288211.73    | 0.08%             | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5616, Class GB                                                                           | CUSIP: 3137HPKU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8144795 | PA      | $8158884.72    | 0.10%             | 2032-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5632, Class UZ                                                                           | CUSIP: 3137HPVR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17816666 | PA      | $17592832.08   | 0.22%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5623, Class ZA                                                                           | CUSIP: 3137HPZZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10094831 | PA      | $10044574.90   | 0.12%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5633, Class ZC                                                                           | CUSIP: 3137HQ6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11418449 | PA      | $11228773.84   | 0.14%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, REMIC, Series 5633, Class ZG                                                                           | CUSIP: 3137HQ6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12899528 | PA      | $12649478.43   | 0.16%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140AUYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22299745 | PA      | $22882693.79   | 0.28%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140B9NV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38203607 | PA      | $39208104.83   | 0.48%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BKWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3494831 | PA      | $3597794.98    | 0.04%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BNDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     925008 | PA      | $940495.40     | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BQSQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     980000 | PA      | $996443.31     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BRR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     739322 | PA      | $753028.35     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BRR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229790 | PA      | $233639.05     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BSD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657717 | PA      | $668718.30     | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA                                                                                                          | CUSIP: 3140BSGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5426667 | PA      | $5536870.00    | 0.07%             | 2055-11-01      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BSND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392547 | PA      | $381703.59     | 0.00%             | 2055-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BUL59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248728 | PA      | $252892.62     | 0.00%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA                                                                                                          | CUSIP: 3140BUSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7870558 | PA      | $8048118.50    | 0.10%             | 2055-11-01      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BUYM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $355846.84     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BVXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159703 | PA      | $162376.59     | 0.00%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BWZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1278889 | PA      | $1301807.79    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BWZU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1450000 | PA      | $1479354.18    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BWZW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670000 | PA      | $689860.98     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2357905 | PA      | $2399532.39    | 0.03%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3293041 | PA      | $3354072.05    | 0.04%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997721 | PA      | $1017765.67    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXK54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1473482 | PA      | $1500697.06    | 0.02%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319781 | PA      | $338696.54     | 0.00%             | 2056-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA                                                                                                          | CUSIP: 3140JCWV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15524657 | PA      | $15787748.61   | 0.19%             | 2055-11-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA                                                                                                          | CUSIP: 3140JCWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2648471 | PA      | $2702212.63    | 0.03%             | 2055-10-01      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA                                                                                                          | CUSIP: 3140JCXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22839166 | PA      | $23363669.47   | 0.29%             | 2055-11-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LDXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205000 | PA      | $182794.00     | 0.00%             | 2031-10-01      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LDXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1260182 | PA      | $1131143.41    | 0.01%             | 2031-10-01      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LEXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $691858.78     | 0.01%             | 2034-01-01      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LH3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3520000 | PA      | $3609541.69    | 0.04%             | 2029-11-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LK4P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4800000 | PA      | $4943430.96    | 0.06%             | 2033-07-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LLCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650000 | PA      | $657464.33     | 0.01%             | 2028-07-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LLU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162000 | PA      | $169602.01     | 0.00%             | 2030-09-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LLVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1227924.28    | 0.02%             | 2028-10-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140LLZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220000 | PA      | $229281.59     | 0.00%             | 2030-10-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140NVKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840000 | PA      | $887089.06     | 0.01%             | 2034-06-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA, Other                                                                                                   | CUSIP: 3140NX4X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2648911 | PA      | $2783275.08    | 0.03%             | 2035-04-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6685991 | PA      | $7033578.69    | 0.09%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QS4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8999725 | PA      | $9511054.27    | 0.12%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QT3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2220955 | PA      | $2314609.02    | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QUNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7310460 | PA      | $7620843.62    | 0.09%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QUZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25323506 | PA      | $26443934.46   | 0.32%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QVE34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8652476 | PA      | $9050861.76    | 0.11%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U03Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289741 | PA      | $294570.11     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U0DC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119892 | PA      | $122189.47     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U0V38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748728 | PA      | $761268.25     | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U0WS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449624 | PA      | $464972.76     | 0.01%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U12G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1988354 | PA      | $2065165.61    | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U12S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489591 | PA      | $503194.62     | 0.01%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U12X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     829378 | PA      | $868880.46     | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U13H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319740 | PA      | $333252.67     | 0.00%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5715103 | PA      | $5809834.73    | 0.07%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1N43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479273 | PA      | $501383.05     | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1N50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394478 | PA      | $413794.21     | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1N68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459534 | PA      | $481520.63     | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2027760 | PA      | $2091165.08    | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2706923 | PA      | $2791152.33    | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2656836 | PA      | $2738903.49    | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2407571 | PA      | $2478933.03    | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2986818 | PA      | $3080663.20    | 0.04%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057642 | PA      | $1094539.64    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887002 | PA      | $917480.53     | 0.01%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659018 | PA      | $689905.21     | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209823 | PA      | $219157.11     | 0.00%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209761 | PA      | $218653.18     | 0.00%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1TB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340000 | PA      | $346300.83     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650000 | PA      | $662064.75     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1TQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110000 | PA      | $112068.49     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1ZZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589517 | PA      | $625161.69     | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U34B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1728112 | PA      | $1785280.23    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U34C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1459048 | PA      | $1524873.60    | 0.02%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U34U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1828495 | PA      | $1892182.67    | 0.02%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U3JX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141552 | PA      | $143896.42     | 0.00%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4SW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208866 | PA      | $1232377.55    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4SZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1689112 | PA      | $1742392.42    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4TV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1839097 | PA      | $1877453.01    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4UB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649940 | PA      | $664866.48     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9255525 | PA      | $9534477.78    | 0.12%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4W54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1738975 | PA      | $1771068.59    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4W96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1209091 | PA      | $1235098.91    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4X38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319878 | PA      | $334323.65     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4X46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229886 | PA      | $241229.41     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3198326 | PA      | $3251533.40    | 0.04%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     999539 | PA      | $1031242.53    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2239123 | PA      | $2309135.44    | 0.03%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1389571 | PA      | $1432812.72    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     844946 | PA      | $872386.31     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U52D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430000 | PA      | $439434.42     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U52Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1690000 | PA      | $1740095.89    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U54T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     860000 | PA      | $882780.30     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U5JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140000 | PA      | $146981.37     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U5Z41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1490000 | PA      | $1520742.02    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U6FL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920000 | PA      | $958203.86     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U6FU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260000 | PA      | $265605.35     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U6LX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1260000 | PA      | $1290186.95    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U75K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1640000 | PA      | $1673233.81    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U75T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370000 | PA      | $378217.29     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U77L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     850000 | PA      | $866849.45     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7B68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490000 | PA      | $502914.02     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7B92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740000 | PA      | $755191.18     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7C26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     790000 | PA      | $824645.63     | 0.01%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7C34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480000 | PA      | $502933.20     | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7C75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390000 | PA      | $409847.01     | 0.01%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890000 | PA      | $911818.74     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490000 | PA      | $502912.35     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     830000 | PA      | $858458.84     | 0.01%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390000 | PA      | $409100.09     | 0.01%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360000 | PA      | $377199.90     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360000 | PA      | $375788.60     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590000 | PA      | $615875.75     | 0.01%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7ER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370000 | PA      | $380153.18     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7EV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     830000 | PA      | $849877.93     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W0S71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12596759 | PA      | $13142019.14   | 0.16%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W1CG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17772450 | PA      | $18263835.93   | 0.22%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W2D73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10461966 | PA      | $10800919.23   | 0.13%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3DK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17405760 | PA      | $18383133.36   | 0.23%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48429912 | PA      | $50513889.37   | 0.62%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3PD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20948874 | PA      | $21548543.91   | 0.26%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3YV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62724458 | PA      | $65423546.88   | 0.80%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140XMM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7236913 | PA      | $7357189.61    | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140XNWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1645851 | PA      | $1716687.87    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140XQ3V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7999106 | PA      | $8484144.77    | 0.10%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140XRD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6503235 | PA      | $6864470.27    | 0.08%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140Y8CZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14260016 | PA      | $14671536.62   | 0.18%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 31418FTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  103751200 | PA      | $105494675.98  | 1.29%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 31418FTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20405229 | PA      | $21196942.77   | 0.26%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                      | FNMA UMBS, 30 Year                                                                                            | CUSIP: 31418FUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6230000 | PA      | $6334216.69    | 0.08%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31425WSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197793 | PA      | $201094.96     | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31426HA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7424569 | PA      | $7676250.96    | 0.09%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427D5P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3790680 | PA      | $3860341.80    | 0.05%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427D5S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5856625 | PA      | $5960534.55    | 0.07%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427GW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4445463 | PA      | $4525424.49    | 0.06%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427H6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1653698 | PA      | $1681316.10    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427KDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2990157 | PA      | $3044231.54    | 0.04%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427PZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28862220 | PA      | $30482881.42   | 0.37%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427QRN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   82241250 | PA      | $85780175.30   | 1.05%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427RCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23528350 | PA      | $23960508.63   | 0.29%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC                                                                                                         | CUSIP: 3142AWR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6791390 | PA      | $6910594.00    | 0.08%             | 2055-11-01      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC                                                                                                         | CUSIP: 3142BBEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5361056 | PA      | $5490611.48    | 0.07%             | 2055-06-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC                                                                                                         | CUSIP: 3142BBK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8963808 | PA      | $9151444.51    | 0.11%             | 2055-11-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC                                                                                                         | CUSIP: 3142BBKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2971668 | PA      | $3029732.93    | 0.04%             | 2055-11-01      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC                                                                                                         | CUSIP: 3142BBKX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4459049 | PA      | $4557989.61    | 0.06%             | 2055-11-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6CA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31013727 | PA      | $31536459.24   | 0.39%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   73145878 | PA      | $74376901.96   | 0.91%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6CY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14931349 | PA      | $15326217.40   | 0.19%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6DH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58210000 | PA      | $59183745.61   | 0.73%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JNKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5644115 | PA      | $5739282.73    | 0.07%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JPBM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369102 | PA      | $375295.44     | 0.00%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JPKC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259497 | PA      | $263842.65     | 0.00%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JPYQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199281 | PA      | $203278.41     | 0.00%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JR3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1108860 | PA      | $1127437.61    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4872653 | PA      | $4970549.67    | 0.06%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4966410 | PA      | $5065429.49    | 0.06%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409624 | PA      | $417743.82     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2227600 | PA      | $2268728.83    | 0.03%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSDZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15941183 | PA      | $16362750.52   | 0.20%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20844275 | PA      | $21418151.48   | 0.26%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4994809 | PA      | $5082752.50    | 0.06%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSXE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169845 | PA      | $172675.97     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1268828 | PA      | $1294877.86    | 0.02%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549283 | PA      | $561100.94     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549237 | PA      | $560869.83     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3805483 | PA      | $3884011.40    | 0.05%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3795744 | PA      | $3873672.18    | 0.05%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4569068 | PA      | $4696379.34    | 0.06%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTFV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     876353 | PA      | $901782.20     | 0.01%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10055121 | PA      | $10237924.59   | 0.13%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1318001 | PA      | $1375788.71    | 0.02%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTT45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14586009 | PA      | $14979399.47   | 0.18%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2128390 | PA      | $2172779.13    | 0.03%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719114 | PA      | $743760.22     | 0.01%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     749466 | PA      | $775886.23     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259780 | PA      | $272745.75     | 0.00%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTXT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399732 | PA      | $423378.09     | 0.01%             | 2056-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTZT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719625 | PA      | $756353.31     | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479568 | PA      | $489276.20     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     879111 | PA      | $908779.83     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUA75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2229292 | PA      | $2270434.35    | 0.03%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUB25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389631 | PA      | $397408.26     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369924 | PA      | $376359.98     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUB58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649493 | PA      | $663248.91     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5148121 | PA      | $5233688.76    | 0.06%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649054 | PA      | $670133.25     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299409 | PA      | $312929.68     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846316 | PA      | $872462.55     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249686 | PA      | $261763.25     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1589258 | PA      | $1638957.17    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     659502 | PA      | $689034.61     | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     449814 | PA      | $469537.64     | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299630 | PA      | $306205.03     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     329942 | PA      | $344619.98     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUFX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     679631 | PA      | $698792.06     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUJ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1120000 | PA      | $1138792.18    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUJZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $509281.20     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUT91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230000 | PA      | $234381.92     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680000 | PA      | $691374.71     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170000 | PA      | $174688.90     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250000 | PA      | $261046.60     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220000 | PA      | $230985.82     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220000 | PA      | $228891.71     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230000 | PA      | $241703.21     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1530000 | PA      | $1560505.71    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1040000 | PA      | $1061350.88    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVKE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660000 | PA      | $677397.22     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVKM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850000 | PA      | $880579.32     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVKN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210000 | PA      | $221123.90     | 0.00%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1960000 | PA      | $1996246.08    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVNW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470000 | PA      | $479317.04     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVP28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1380000 | PA      | $1422944.51    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1320000 | PA      | $1360780.20    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260000 | PA      | $271799.72     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1290000 | PA      | $1333025.05    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1310000 | PA      | $1350964.56    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3540000 | PA      | $3598812.00    | 0.04%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260000 | PA      | $273044.69     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220000 | PA      | $230509.54     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170000 | PA      | $178122.19     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     540000 | PA      | $564183.89     | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460000 | PA      | $468515.36     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     830000 | PA      | $858959.08     | 0.01%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360000 | PA      | $370671.43     | 0.00%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWRE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3680000 | PA      | $3754498.29    | 0.05%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340000 | PA      | $346980.48     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWRJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650000 | PA      | $663218.33     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     820000 | PA      | $837641.10     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JXBS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1931566.01    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JXBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     942000 | PA      | $960673.38     | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                          | First Investors Auto Owner Trust, Series 2025-1A, Class D                                                     | CUSIP: 32059WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $6096945.60    | 0.07%             | 2033-12-15      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                                 | First Student Bidco, Inc.                                                                                     | CUSIP: 337120AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     180000 | PA      | $174413.47     | 0.00%             | 2029-07-31      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2021-SFR2, Class F2                                                              | CUSIP: 33767TAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3300000 | PA      | $3250719.12    | 0.04%             | 2038-09-17      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2022-SFR3, Class F1                                                              | CUSIP: 33768EAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1860034.07    | 0.02%             | 2038-07-17      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2022-SFR3, Class F2                                                              | CUSIP: 33768EAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1859288.70    | 0.02%             | 2038-07-17      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2022-SFR1, Class F1                                                              | CUSIP: 33768NAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2527897.14    | 0.03%             | 2039-05-19      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2022-SFR1, Class F2                                                              | CUSIP: 33768NAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1214991.57    | 0.01%             | 2039-05-19      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Flagship Credit Auto Trust                                                | Flagship Credit Auto Trust, Series 2023-1, Class B                                                            | CUSIP: 337955AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      42692 | PA      | $42718.37      | 0.00%             | 2028-01-18      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Flash Compute LLC                                                         | Flash Compute LLC                                                                                             | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     827000 | PA      | $846532.78     | 0.01%             | 2030-12-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5505000 | PA      | $5484253.58    | 0.07%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201033.49     | 0.00%             | 2026-06-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     700000 | PA      | $755782.30     | 0.01%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1581038.84    | 0.02%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397E25<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3080000 | PA      | $3205114.47    | 0.04%             | 2031-03-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3242000 | PA      | $3333943.35    | 0.04%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397J38<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     500000 | PA      | $509509.54     | 0.01%             | 2033-04-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                          | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class A                                    | CUSIP: 34962ABD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3007500.00    | 0.04%             | 2031-05-15      | Fixed         | 5.92%                 | Yes           |                  3 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2023-1A, Class D                                                             | CUSIP: 35042AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     283502 | PA      | $305409.50     | 0.00%             | 2043-12-15      | Fixed         | 9.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2021-MN1, Class M1                                                                   | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |     260945 | PA      | $260415.92     | 0.00%             | 2051-01-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2021-MN1, Class M2                                                                   | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3112989.00    | 0.04%             | 2051-01-25      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2021-MN3, Class M2                                                                   | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | USGSE             | US        |    8700000 | PA      | $9003827.49    | 0.11%             | 2051-11-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2021-MN3, Class B1                                                                   | CUSIP: 35563GAC3<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | USGSE             | US        |    1750000 | PA      | $1852037.25    | 0.02%             | 2051-11-25      | Floating      | 10.52%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Multi-Family Structured Credit Risk, Series 2022-MN4, Class M2                                         | CUSIP: 35563HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3301257.00    | 0.04%             | 2052-05-25      | Floating      | 10.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2021-MN2, Class B1                                                                   | CUSIP: 35563JAC7<br>LEI: 549300OXOJE8K5OHDX86 | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $200002.68     | 0.00%             | 2041-07-25      | Floating      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2023-MN7, Class M1                                                                   | CUSIP: 35563QAA5<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |    1590685 | PA      | $1596230.57    | 0.02%             | 2043-09-25      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2023-MN7, Class M2                                                                   | CUSIP: 35563QAB3<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |    5348000 | PA      | $5733743.22    | 0.07%             | 2043-09-25      | Floating      | 9.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2023-MN7, Class B1                                                                   | CUSIP: 35563QAC1<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |    1750000 | PA      | $2026726.63    | 0.02%             | 2043-09-25      | Floating      | 12.52%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2024-MN8, Class M1                                                                   | CUSIP: 35563RAA3<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGSE             | US        |   10629344 | PA      | $10694428.25   | 0.13%             | 2044-05-25      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2024-MN8, Class M2                                                                   | CUSIP: 35563RAB1<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2602907.25    | 0.03%             | 2044-05-25      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2024-MN8, Class B1                                                                   | CUSIP: 35563RAC9<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGSE             | US        |    2900000 | PA      | $3382936.42    | 0.04%             | 2044-05-25      | Floating      | 11.02%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2025-MN10, Class M1                                                                  | CUSIP: 35563UAA6<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |    3760983 | PA      | $3727266.94    | 0.05%             | 2045-02-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2025-MN10, Class M2                                                                  | CUSIP: 35563UAB4<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1507517.85    | 0.02%             | 2045-02-25      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2025-MN10, Class B1                                                                  | CUSIP: 35563UAC2<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |     180000 | PA      | $182222.10     | 0.00%             | 2045-02-25      | Floating      | 8.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Series 2025-MN11, Class M1                                                                             | CUSIP: 35563YAA8<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |    2470390 | PA      | $2469812.07    | 0.03%             | 2045-07-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC, Series 2025-MN11, Class M2                                                                             | CUSIP: 35563YAB6<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2998408.20    | 0.04%             | 2045-07-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2025-MN11, Class B1                                                                  | CUSIP: 35563YAC4<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |    2700000 | PA      | $2698659.18    | 0.03%             | 2045-07-25      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| STACR Trust                                                               | STACR Trust, Series 2018-HRP2, Class B1                                                                       | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $647221.26     | 0.01%             | 2047-02-25      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| STACR Trust                                                               | STACR Trust, Series 2018-HRP2, Class B2                                                                       | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    2290000 | PA      | $2780852.57    | 0.03%             | 2047-02-25      | Floating      | 14.28%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1B                                                          | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |    8200000 | PA      | $8433082.54    | 0.10%             | 2043-06-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M2                                                           | CUSIP: 35564K2K4<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |    9800000 | PA      | $10288906.32   | 0.13%             | 2043-06-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-HQA2, Class M2                                                           | CUSIP: 35564KB65<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2665168.75    | 0.03%             | 2042-07-25      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2                                                           | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | CORP              | US        |    1585000 | PA      | $1774523.21    | 0.02%             | 2051-01-25      | Floating      | 8.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B1                                                           | CUSIP: 35564KCN7<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3735675.88    | 0.05%             | 2033-08-25      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B2                                                           | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | CORP              | US        |    9166267 | PA      | $10848616.15   | 0.13%             | 2033-08-25      | Floating      | 8.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                            | FHLMC STACR REMIC Trust, Series 2021-DNA2, Class B1                                                           | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |    6600000 | PA      | $7330620.00    | 0.09%             | 2033-08-25      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                            | FHLMC STACR REMIC Trust, Series 2021-DNA2, Class B2                                                           | CUSIP: 35564KDY2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   18622782 | PA      | $23232890.79   | 0.29%             | 2033-08-25      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M1B                                                          | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    7600000 | PA      | $7889270.44    | 0.10%             | 2042-08-25      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B2                                                           | CUSIP: 35564KFH7<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $7354223.10    | 0.09%             | 2033-10-25      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2021-HQA2, Class B2                                                           | CUSIP: 35564KGS2<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | CORP              | US        |    9090000 | PA      | $10991665.27   | 0.13%             | 2033-12-25      | Floating      | 9.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M2                                                           | CUSIP: 35564KH77<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3206487.60    | 0.04%             | 2042-09-25      | Floating      | 9.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class B2                                                           | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |   23730000 | PA      | $28775688.54   | 0.35%             | 2034-01-25      | Floating      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                                                           | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $512500.00     | 0.01%             | 2041-09-25      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                                                           | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1868354.46    | 0.02%             | 2041-10-25      | Floating      | 11.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B1                                                           | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |    8386000 | PA      | $8547215.82    | 0.10%             | 2041-11-25      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2023-DNA1, Class M1A                                                          | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |     284768 | PA      | $287794.77     | 0.00%             | 2043-03-25      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                                                           | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    5470000 | PA      | $5603358.60    | 0.07%             | 2042-02-25      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                            | FHLMC STACR REMIC Trust, Series 2023-DNA2, Class M1A                                                          | CUSIP: 35564KT58<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |     658991 | PA      | $667993.55     | 0.01%             | 2043-04-25      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class B2                                                           | CUSIP: 35564KUL1<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    5600000 | PA      | $6128528.00    | 0.08%             | 2042-03-25      | Floating      | 14.67%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1B                                                          | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $510315.00     | 0.01%             | 2042-04-25      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2023-DNA2, Class B1                                                           | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5587873.50    | 0.07%             | 2043-04-25      | Floating      | 11.27%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class B1                                                           | CUSIP: 35564KWA3<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $6565651.25    | 0.08%             | 2042-04-25      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class B2                                                           | CUSIP: 35564KWG0<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $7609697.20    | 0.09%             | 2042-04-25      | Floating      | 13.42%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M1B                                                          | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $6168780.00    | 0.08%             | 2042-05-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M2                                                           | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $577435.65     | 0.01%             | 2042-05-25      | Floating      | 8.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                                                           | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $6421860.00    | 0.08%             | 2042-06-25      | Floating      | 10.42%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class M2                                                           | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1514982.30    | 0.02%             | 2044-02-25      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC STACR REMIC Trust, Series 2020-DNA5, Class B2                                                           | CUSIP: 35566ABE8<br>LEI: 5493000ITF7RKPWPZQ19 | Long             | ABS-MBS          | CORP              | US        |   38601608 | PA      | $53688919.10   | 0.66%             | 2050-10-25      | Floating      | 15.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                   | FHLMC STACR REMIC Trust, Series 2020-DNA6, Class B2                                                           | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | CORP              | US        |    1937000 | PA      | $2256696.04    | 0.03%             | 2050-12-25      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2024-MN9, Class M1                                                                   | CUSIP: 355917AA3<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | USGSE             | US        |   10534003 | PA      | $10622945.83   | 0.13%             | 2044-10-25      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2024-MN9, Class M2                                                                   | CUSIP: 355917AB1<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | USGSE             | US        |    7100000 | PA      | $7208632.84    | 0.09%             | 2044-10-25      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2024-MN9, Class B1                                                                   | CUSIP: 355917AC9<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $529806.70     | 0.01%             | 2044-10-25      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                     | FHLMC MSCR Trust, Series 2023-MN6, Class M2                                                                   | CUSIP: 355920AA7<br>LEI: 5493000F3M25G6705C67 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5692994.50    | 0.07%             | 2043-05-25      | Floating      | 10.42%                | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2018-KF50, Class B                                                               | CUSIP: 35709BAC9<br>LEI: 549300LI8XT0ZWPV2P54 | Long             | ABS-MBS          | USGSE             | US        |       3383 | PA      | $3268.82       | 0.00%             | 2028-07-25      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2020-K740 Mortgage Trust                                            | FREMF Mortgage Trust, Series 2020-K740, Class X2A                                                             | CUSIP: 35709FAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  103685077 | PA      | $123551.14     | 0.00%             | 2052-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2020-K740 Mortgage Trust                                            | FREMF Mortgage Trust, Series 2020-K740, Class X2B                                                             | CUSIP: 35709FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24500000 | PA      | $32352.25      | 0.00%             | 2052-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2020-K740 Mortgage Trust                                            | FREMF Mortgage Trust, Series 2020-K740, Class D                                                               | CUSIP: 35709FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8841133.00    | 0.11%             | 2052-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                      | FREMF Mortgage Trust, Series 2023-KF149, Class CS                                                             | CUSIP: 35709HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     341663 | PA      | $348305.39     | 0.00%             | 2032-12-25      | Floating      | 9.83%                 | Yes           |                  2 | On Loan: No      |
| Frontier Communications Holdings LLC                                      | Frontier Communications Holdings LLC                                                                          | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1265000 | PA      | $1265728.64    | 0.02%             | 2028-05-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GCI LLC                                                                   | GCI LLC                                                                                                       | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |    2453000 | PA      | $2410232.44    | 0.03%             | 2028-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                                   | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    2625000 | PA      | $2584376.10    | 0.03%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                                   | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAP9<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     570000 | PA      | $559868.00     | 0.01%             | 2029-08-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                                   | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAQ7<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    2642000 | PA      | $2771061.70    | 0.03%             | 2031-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2023-NQM3, Class A1                                                                        | CUSIP: 36169GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2933550 | PA      | $2959924.54    | 0.04%             | 2068-08-25      | Variable      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| GGAM Master Trust International Ltd.                                      | GGAM Master Trust International Ltd., Series 2025-1A, Class Y                                                 | CUSIP: 36173XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    7375866 | PA      | $7618288.51    | 0.09%             | 2060-09-30      | Fixed         | 9.70%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $22.58         | 0.00%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 36179XTE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     245782 | PA      | $252684.63     | 0.00%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 36179YDN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597440 | PA      | $620471.70     | 0.01%             | 2053-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 36179YYW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16691701 | PA      | $16920462.35   | 0.21%             | 2054-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3617FTVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303895 | PA      | $320495.35     | 0.00%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618F5AC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1025929 | PA      | $1054957.54    | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618GCR38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139854 | PA      | $147855.04     | 0.00%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618GPTL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     794308 | PA      | $834286.25     | 0.01%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618GQDV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148045 | PA      | $156515.37     | 0.00%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618GQG88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176419 | PA      | $185299.16     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618GQHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73554 | PA      | $77256.03      | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618GSHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     614713 | PA      | $646394.01     | 0.01%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H03N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116216 | PA      | $121975.04     | 0.00%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H0XZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69483 | PA      | $72302.63      | 0.00%             | 2045-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H3JE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     504335 | PA      | $529719.26     | 0.01%             | 2054-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H3VN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162638 | PA      | $168029.05     | 0.00%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H4AK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     571617 | PA      | $600386.37     | 0.01%             | 2054-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H4AL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284805 | PA      | $299138.40     | 0.00%             | 2054-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H96M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162703 | PA      | $171589.50     | 0.00%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618H96T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83598 | PA      | $86064.49      | 0.00%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HAJP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413143 | PA      | $433936.21     | 0.01%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HAK95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     423229 | PA      | $436487.25     | 0.01%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HAN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73391 | PA      | $77084.75      | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HCAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114655 | PA      | $117773.29     | 0.00%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HKK44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     301447 | PA      | $316619.48     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HKLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     827374 | PA      | $869016.31     | 0.01%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HKUN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     605274 | PA      | $636469.50     | 0.01%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HL6F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     312669 | PA      | $329747.08     | 0.00%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMBM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1270857 | PA      | $1334817.47    | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMD48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     331079 | PA      | $342053.78     | 0.00%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMD55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208733 | PA      | $215272.22     | 0.00%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259439 | PA      | $268116.87     | 0.00%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMFD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1251955 | PA      | $1291173.73    | 0.02%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HML72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1257314 | PA      | $1296700.89    | 0.02%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HNSG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70906 | PA      | $74475.25      | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HNTT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1414111 | PA      | $1458409.86    | 0.02%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HPG30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59375 | PA      | $61235.16      | 0.00%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HPG48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97804 | PA      | $100868.22     | 0.00%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HPGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237074 | PA      | $249451.35     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HSJB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147347 | PA      | $155395.98     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HSU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196756 | PA      | $207218.70     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618HTT79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1496702 | PA      | $1572036.08    | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86574 | PA      | $91264.55      | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86425 | PA      | $90409.25      | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42280 | PA      | $44407.93      | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121490 | PA      | $127925.62     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35220 | PA      | $37085.14      | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J1Y56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     363165 | PA      | $381443.84     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143858 | PA      | $151098.29     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J1Y80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     967135 | PA      | $1015808.81    | 0.01%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6A51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93253 | PA      | $96910.34      | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6A77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146183 | PA      | $154167.64     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6A85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97617 | PA      | $102948.82     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6BA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150314 | PA      | $158524.47     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6CG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67968 | PA      | $70097.42      | 0.00%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J7B74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2726848 | PA      | $2812271.27    | 0.03%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J7CH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2457983 | PA      | $2581696.61    | 0.03%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J92B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188515 | PA      | $194420.06     | 0.00%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618J92E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     203087 | PA      | $209448.96     | 0.00%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JB6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6557741 | PA      | $6763175.57    | 0.08%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JCCD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     583195 | PA      | $611478.27     | 0.01%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JM5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223290 | PA      | $232045.66     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JM5W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251789 | PA      | $259474.74     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JM6N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382781 | PA      | $397792.19     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JN2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102306 | PA      | $105511.48     | 0.00%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JN2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     916584 | PA      | $945299.27     | 0.01%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JN2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     984523 | PA      | $1015366.87    | 0.01%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JSAU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7218483 | PA      | $7444618.86    | 0.09%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JSAV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7719933 | PA      | $7961773.05    | 0.10%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JSF82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     928380 | PA      | $957463.81     | 0.01%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61942 | PA      | $64370.67      | 0.00%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWD85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     319112 | PA      | $331626.70     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283033 | PA      | $294133.10     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150273 | PA      | $155503.41     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     254751 | PA      | $264754.22     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196056 | PA      | $203744.44     | 0.00%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWEK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47932 | PA      | $49811.21      | 0.00%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K52C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85482 | PA      | $88839.20      | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5XX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85369 | PA      | $88721.29      | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5Y22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169727 | PA      | $176382.89     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83533 | PA      | $86808.75      | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94780 | PA      | $98496.99      | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     399308 | PA      | $414968.53     | 0.01%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122621 | PA      | $126189.10     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123917 | PA      | $128782.92     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     356392 | PA      | $370369.34     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100222 | PA      | $103138.39     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137034 | PA      | $142385.13     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618KPSH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5575573 | PA      | $5707292.68    | 0.07%             | 2055-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M23C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9061015 | PA      | $9275076.61    | 0.11%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8JF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3025909 | PA      | $3097395.10    | 0.04%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8JH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13855491 | PA      | $14182828.57   | 0.17%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8JJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7698800 | PA      | $7939189.85    | 0.10%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8JK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4745679 | PA      | $4857797.64    | 0.06%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8JN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2969658 | PA      | $3039817.65    | 0.04%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8T38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3598449 | PA      | $3704227.01    | 0.05%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8T87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1063373 | PA      | $1092814.68    | 0.01%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     996183 | PA      | $1031483.73    | 0.01%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8TS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     995196 | PA      | $1028344.05    | 0.01%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8TW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3686036 | PA      | $3803636.33    | 0.05%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N53Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  199039854 | PA      | $202181845.38  | 2.48%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N54A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33504114 | PA      | $34968142.57   | 0.43%             | 2055-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N56J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  149700538 | PA      | $152126835.43  | 1.87%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5TN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  164864622 | PA      | $167151527.16  | 2.05%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6019049 | PA      | $6260804.20    | 0.08%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5VR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52629312 | PA      | $53374780.29   | 0.66%             | 2055-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31448525 | PA      | $32146624.21   | 0.39%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II                                                                                                       | CUSIP: 3618N5X38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9877844 | PA      | $10130043.87   | 0.12%             | 2055-10-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5XS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36067870 | PA      | $37535079.30   | 0.46%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5ZN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15970924 | PA      | $16620605.97   | 0.20%             | 2055-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3618NHHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1152792 | PA      | $1182077.71    | 0.01%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 36202C5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        120 | PA      | $125.08        | 0.00%             | 2028-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ACTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44667272 | PA      | $46307644.38   | 0.57%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622AD4R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54447045 | PA      | $55696696.86   | 0.68%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1830004 | PA      | $1922110.25    | 0.02%             | 2054-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADG93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9220253 | PA      | $9741083.09    | 0.12%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADGY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6917391 | PA      | $7116228.12    | 0.09%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADH68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8993166 | PA      | $9279483.77    | 0.11%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADH76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7319126 | PA      | $7694562.50    | 0.09%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADHB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9457198 | PA      | $9948187.42    | 0.12%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADHC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8348703 | PA      | $8803977.16    | 0.11%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12094078 | PA      | $12714467.41   | 0.16%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADKE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9869432 | PA      | $10086609.63   | 0.12%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADKG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26454366 | PA      | $27330798.94   | 0.34%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27583022 | PA      | $28564281.01   | 0.35%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADS41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52045156 | PA      | $52872831.78   | 0.65%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADUJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31446022 | PA      | $32431146.76   | 0.40%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADUP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5342108 | PA      | $5506423.48    | 0.07%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21305634 | PA      | $21838193.81   | 0.27%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADV21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48863347 | PA      | $49640418.76   | 0.61%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADV47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9972051 | PA      | $10209986.37   | 0.13%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16386228 | PA      | $16835827.63   | 0.21%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7857013 | PA      | $8315365.36    | 0.10%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26857582 | PA      | $27510073.81   | 0.34%             | 2055-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADZ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11360544 | PA      | $11716443.92   | 0.14%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19787165 | PA      | $20790087.92   | 0.26%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6285708 | PA      | $6481210.30    | 0.08%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEDU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9379320 | PA      | $9844621.39    | 0.12%             | 2055-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEDV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12433256 | PA      | $12692318.89   | 0.16%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37990816 | PA      | $39870018.60   | 0.49%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2015-GC30, Class C                                                       | CUSIP: 36250GAW5<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3028025.00    | 0.04%             | 2050-05-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2015-GC34, Class B                                                       | CUSIP: 36250VAJ1<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $800900.00     | 0.01%             | 2048-10-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2015-GS1, Class C                                                        | CUSIP: 36252AAK2<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |    2575082 | PA      | $2266072.16    | 0.03%             | 2048-11-10      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2017-GS5, Class B                                                        | CUSIP: 36252HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $412469.25     | 0.01%             | 2050-03-10      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2016-GS2, Class D                                                        | CUSIP: 36252TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $660397.13     | 0.01%             | 2049-05-10      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2019-GC40, Class E                                                       | CUSIP: 36257HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $524818.32     | 0.01%             | 2052-07-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                         | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class D                                                    | CUSIP: 36265NAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     255631 | PA      | $257396.30     | 0.00%             | 2028-04-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                         | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class E                                                    | CUSIP: 36265NAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2512538.25    | 0.03%             | 2029-06-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class A                                                 | CUSIP: 36270GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $998745.40     | 0.01%             | 2038-09-10      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                         | GLS Auto Receivables Issuer Trust, Series 2024-4A, Class D                                                    | CUSIP: 36270YAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2465000 | PA      | $2531327.97    | 0.03%             | 2030-07-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-PJ6, Class A1                                                | CUSIP: 36272KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2176307 | PA      | $2212577.24    | 0.03%             | 2055-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-PJ7, Class A1                                                | CUSIP: 36272MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10589338 | PA      | $10765820.19   | 0.13%             | 2055-12-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-PJ9, Class A1                                                | CUSIP: 36273FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22295896 | PA      | $22625116.69   | 0.28%             | 2056-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A1                                               | CUSIP: 36277LAA1<br>LEI: 2549005U12N6A8G3H936 | Long             | ABS-O            | CORP              | US        |    6912891 | PA      | $6948021.17    | 0.09%             | 2056-05-25      | Variable      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                                 | GS Mortgage-Backed Securities Corp. Trust, Series 2025-NQM6, Class A1                                         | CUSIP: 362933AA1<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |    4915193 | PA      | $4936178.96    | 0.06%             | 2066-02-25      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Galaxy 32 CLO Ltd.                                                        | Galaxy CLO Ltd., Series 2023-32A, Class D1R                                                                   | CUSIP: 362943AS1<br>LEI: 391200J1K1EF617W8568 | Long             | ABS-CBDO         | CORP              | KY        |    4883000 | PA      | $4883000.00    | 0.06%             | 2039-01-20      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Gap, Inc. (The)                                                           | Gap, Inc. (The)                                                                                               | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    1775000 | PA      | $1688461.47    | 0.02%             | 2029-10-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Garda World Security Corp.                                                | Garda World Security Corp.                                                                                    | CUSIP: 36485MAP4<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |     842000 | PA      | $862373.03     | 0.01%             | 2032-11-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Garda World Security Corp.                                                | Garda World Security Corp.                                                                                    | CUSIP: 36485MAQ2<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    1043000 | PA      | $1071540.65    | 0.01%             | 2031-01-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                                   | Genesee & Wyoming, Inc.                                                                                       | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1030736.00    | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Genesis Energy LP                                                         | Genesis Energy LP                                                                                             | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     262000 | PA      | $273513.59     | 0.00%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                         | Genesis Energy LP                                                                                             | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     388000 | PA      | $406152.97     | 0.00%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                         | Genesis Energy LP                                                                                             | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     213000 | PA      | $225199.58     | 0.00%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                         | Genesis Energy LP                                                                                             | CUSIP: 37185LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     568000 | PA      | $574551.84     | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of Ghana                                                         | Republic of Ghana                                                                                             | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     100000 | PA      | $98375.00      | 0.00%             | 2026-07-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                         | Republic of Ghana                                                                                             | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    2362500 | PA      | $2312863.88    | 0.03%             | 2029-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                         | Republic of Ghana                                                                                             | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    2500000 | PA      | $2262031.25    | 0.03%             | 2035-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Global Medical Response, Inc.                                             | Global Medical Response, Inc.                                                                                 | CUSIP: 37960BAD7<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |     782000 | PA      | $818660.16     | 0.01%             | 2032-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Global Infrastructure Solutions, Inc.                                     | Global Infrastructure Solutions, Inc.                                                                         | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |     750000 | PA      | $749820.90     | 0.01%             | 2029-06-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                         | GLS Auto Receivables Issuer Trust, Series 2024-2A, Class C                                                    | CUSIP: 37964VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1420000 | PA      | $1447785.14    | 0.02%             | 2030-02-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Goat Holdco LLC                                                           | Goat Holdco LLC                                                                                               | CUSIP: 38021MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     418000 | PA      | $431958.27     | 0.01%             | 2032-02-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities XII Ltd.                                    | GoldenTree Loan Opportunities Ltd., Series 2016-12A, Class CR                                                 | CUSIP: 38137MAR8<br>LEI: 5493004WVEVHIF701522 | Long             | ABS-CBDO         | CORP              | KY        |      33236 | PA      | $33241.23      | 0.00%             | 2030-07-21      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The), Series W                                                                     | CUSIP: 38141GA38<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     390000 | PA      | $416935.35     | 0.01%             | 2029-02-10      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The), Series X                                                                     | CUSIP: 38141GA79<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4271000 | PA      | $4546693.05    | 0.06%             | 2029-05-10      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The), Series Y                                                                     | CUSIP: 38141GB52<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     950000 | PA      | $978896.15     | 0.01%             | 2034-11-10      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                          | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    5434000 | PA      | $5326599.16    | 0.07%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                          | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |     260000 | PA      | $248066.99     | 0.00%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                          | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BS9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |     495000 | PA      | $505756.35     | 0.01%             | 2030-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2014-88, Class AJ                                                                                | CUSIP: 38378N7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     745195 | PA      | $671556.22     | 0.01%             | 2055-03-16      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2013-174, Class IA                                                                               | CUSIP: 38378NJM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31036837 | PA      | $497747.07     | 0.01%             | 2053-10-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2014-181, Class SL                                                                               | CUSIP: 38379HNC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     379211 | PA      | $41104.27      | 0.00%             | 2044-12-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2015-33                                                                                          | CUSIP: 38379KFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45050574 | PA      | $291283.49     | 0.00%             | 2056-02-16      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2017-70                                                                                          | CUSIP: 38379RYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41262029 | PA      | $892167.59     | 0.01%             | 2059-02-16      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2016-165                                                                                         | CUSIP: 38379U3T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3297989 | PA      | $102444.78     | 0.00%             | 2057-12-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2017-9                                                                                           | CUSIP: 38379U4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18154521 | PA      | $570876.18     | 0.01%             | 2057-01-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2018-85                                                                                          | CUSIP: 38380J2N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13415672 | PA      | $478371.99     | 0.01%             | 2060-07-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2019-53, Class IA                                                                                | CUSIP: 38380M4K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1959632 | PA      | $97821.87      | 0.00%             | 2061-06-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-28                                                                                          | CUSIP: 38380N3R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5151154 | PA      | $287280.88     | 0.00%             | 2061-11-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2019-76                                                                                          | CUSIP: 38380NDH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22111824 | PA      | $1226023.24    | 0.02%             | 2061-03-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2019-130                                                                                         | CUSIP: 38380NNM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17691905 | PA      | $898755.87     | 0.01%             | 2062-01-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-6                                                                                           | CUSIP: 38380NP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9504864 | PA      | $544091.70     | 0.01%             | 2062-10-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2019-144                                                                                         | CUSIP: 38380NSZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13224414 | PA      | $766405.07     | 0.01%             | 2062-01-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-10                                                                                          | CUSIP: 38380NT41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9927413 | PA      | $400208.77     | 0.00%             | 2062-04-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-2                                                                                           | CUSIP: 38380NW21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9959796 | PA      | $425887.87     | 0.01%             | 2062-03-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2019-155                                                                                         | CUSIP: 38380NXA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5023251 | PA      | $191375.83     | 0.00%             | 2061-07-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-23                                                                                          | CUSIP: 38380NY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9339766 | PA      | $431475.70     | 0.01%             | 2062-04-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2019-154                                                                                         | CUSIP: 38380NZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6962526 | PA      | $270368.83     | 0.00%             | 2061-09-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-118                                                                                         | CUSIP: 38380P2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6090311 | PA      | $383628.10     | 0.00%             | 2062-06-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-143, Class IB                                                                               | CUSIP: 38380P3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13887026 | PA      | $876674.08     | 0.01%             | 2062-03-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-137                                                                                         | CUSIP: 38380P4X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29564557 | PA      | $1822252.88    | 0.02%             | 2062-09-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-147                                                                                         | CUSIP: 38380P8J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   78956952 | PA      | $5193148.73    | 0.06%             | 2062-06-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-38, Class FA                                                                                | CUSIP: 38380PCN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6583786 | PA      | $6263984.99    | 0.08%             | 2062-04-16      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-38                                                                                          | CUSIP: 38380PCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14390789 | PA      | $849708.43     | 0.01%             | 2062-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-56                                                                                          | CUSIP: 38380PGL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7006442 | PA      | $461674.06     | 0.01%             | 2061-11-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-64                                                                                          | CUSIP: 38380PHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3421796 | PA      | $295258.21     | 0.00%             | 2062-07-16      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-94                                                                                          | CUSIP: 38380PNV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17457136 | PA      | $1192832.12    | 0.01%             | 2062-03-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-89, Class IA                                                                                | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36445129 | PA      | $2971298.48    | 0.04%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-120                                                                                         | CUSIP: 38380PV76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5358676 | PA      | $312963.32     | 0.00%             | 2062-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-110                                                                                         | CUSIP: 38380PVU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18110321 | PA      | $1245026.60    | 0.02%             | 2062-03-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-100                                                                                         | CUSIP: 38380PXL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5461414 | PA      | $328138.12     | 0.00%             | 2062-05-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-63                                                                                          | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30418708 | PA      | $1836885.40    | 0.02%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-60                                                                                          | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2146087 | PA      | $131000.57     | 0.00%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-47                                                                                          | CUSIP: 38380RA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25231791 | PA      | $1686914.28    | 0.02%             | 2061-03-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-161                                                                                         | CUSIP: 38380RAQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8213006 | PA      | $612832.33     | 0.01%             | 2062-08-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-150                                                                                         | CUSIP: 38380RBL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236659 | PA      | $16635.25      | 0.00%             | 2062-12-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-40                                                                                          | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9881739 | PA      | $605692.31     | 0.01%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-169                                                                                         | CUSIP: 38380RFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6062279 | PA      | $380715.35     | 0.00%             | 2062-07-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-184                                                                                         | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35649955 | PA      | $2449847.07    | 0.03%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-195, Class IX                                                                               | CUSIP: 38380RLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13188747 | PA      | $1063148.87    | 0.01%             | 2062-12-16      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2020-194                                                                                         | CUSIP: 38380RMP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7992692 | PA      | $572081.70     | 0.01%             | 2062-06-16      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-17                                                                                          | CUSIP: 38380RNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12529115 | PA      | $997109.55     | 0.01%             | 2061-01-16      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-62, Class AT                                                                                | CUSIP: 38380RP95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22105723 | PA      | $21378473.57   | 0.26%             | 2063-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-3                                                                                           | CUSIP: 38380RQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13913780 | PA      | $886157.49     | 0.01%             | 2062-09-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-61                                                                                          | CUSIP: 38380RR44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1308500 | PA      | $98690.76      | 0.00%             | 2063-08-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-11                                                                                          | CUSIP: 38380RRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8258113 | PA      | $606583.15     | 0.01%             | 2062-12-16      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-11, Class IX                                                                                | CUSIP: 38380RRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31463409 | PA      | $2609619.20    | 0.03%             | 2062-12-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-22                                                                                          | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7269972 | PA      | $507187.44     | 0.01%             | 2063-05-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-71                                                                                          | CUSIP: 38380RV49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  122953098 | PA      | $8137933.55    | 0.10%             | 2062-10-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-33                                                                                          | CUSIP: 38380RVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51432058 | PA      | $3290160.16    | 0.04%             | 2062-10-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-35                                                                                          | CUSIP: 38380RWA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3060169 | PA      | $221614.09     | 0.00%             | 2062-12-16      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-28                                                                                          | CUSIP: 38380RXW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   96563002 | PA      | $7298067.54    | 0.09%             | 2062-10-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-48, Class FT                                                                                | CUSIP: 38380RZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13172000 | PA      | $11839000.08   | 0.15%             | 2062-12-16      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-168                                                                                         | CUSIP: 38381D4F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12697129 | PA      | $775001.03     | 0.01%             | 2063-05-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-178, Class SA                                                                               | CUSIP: 38381D5B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14886706 | PA      | $769921.82     | 0.01%             | 2061-10-16      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-180                                                                                         | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14075138 | PA      | $980731.71     | 0.01%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-141, Class SA                                                                               | CUSIP: 38381DA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1652410 | PA      | $57697.85      | 0.00%             | 2063-06-16      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-82, Class TA                                                                                | CUSIP: 38381DCE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9970647 | PA      | $228755.56     | 0.00%             | 2061-04-16      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-92                                                                                          | CUSIP: 38381DCM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40072441 | PA      | $2435122.09    | 0.03%             | 2063-09-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-150                                                                                         | CUSIP: 38381DD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12154898 | PA      | $973298.62     | 0.01%             | 2063-11-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-80                                                                                          | CUSIP: 38381DDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5167956 | PA      | $355344.51     | 0.00%             | 2062-12-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-147                                                                                         | CUSIP: 38381DF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7409024 | PA      | $537429.85     | 0.01%             | 2061-06-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-90                                                                                          | CUSIP: 38381DJK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16495873 | PA      | $988407.94     | 0.01%             | 2061-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-95, Class TA                                                                                | CUSIP: 38381DJV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9983555 | PA      | $389903.74     | 0.00%             | 2061-06-01      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-151                                                                                         | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7446048 | PA      | $517168.99     | 0.01%             | 2063-04-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-106                                                                                         | CUSIP: 38381DMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   66543536 | PA      | $4365814.95    | 0.05%             | 2063-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-110                                                                                         | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10014761 | PA      | $675997.34     | 0.01%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-144                                                                                         | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69705467 | PA      | $4247488.69    | 0.05%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-108                                                                                         | CUSIP: 38381DPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15576331 | PA      | $1113033.18    | 0.01%             | 2061-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-153, Class SA                                                                               | CUSIP: 38381DR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6422834 | PA      | $225126.10     | 0.00%             | 2061-08-16      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-164                                                                                         | CUSIP: 38381DT91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29866188 | PA      | $2076025.60    | 0.03%             | 2063-10-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-126                                                                                         | CUSIP: 38381DTB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9320851 | PA      | $620828.36     | 0.01%             | 2063-05-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-170                                                                                         | CUSIP: 38381DW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13042562 | PA      | $961997.18     | 0.01%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-133                                                                                         | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31475521 | PA      | $2086405.25    | 0.03%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-120                                                                                         | CUSIP: 38381DXT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6109200 | PA      | $453917.24     | 0.01%             | 2063-02-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-80                                                                                          | CUSIP: 38381E5K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47357416 | PA      | $2227100.88    | 0.03%             | 2064-06-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-67                                                                                          | CUSIP: 38381E5T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18059711 | PA      | $1338533.42    | 0.02%             | 2063-08-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-185                                                                                         | CUSIP: 38381EAC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1376019 | PA      | $121313.97     | 0.00%             | 2063-11-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-195, Class IX                                                                               | CUSIP: 38381ECK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   99879286 | PA      | $9094987.76    | 0.11%             | 2063-08-16      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-26                                                                                          | CUSIP: 38381EJ90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6673673 | PA      | $366748.36     | 0.00%             | 2064-02-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-218                                                                                         | CUSIP: 38381EKC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17195258 | PA      | $1268733.20    | 0.02%             | 2061-10-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-220                                                                                         | CUSIP: 38381ELU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10674412 | PA      | $660442.94     | 0.01%             | 2063-12-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-224                                                                                         | CUSIP: 38381EMC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1868287 | PA      | $119325.84     | 0.00%             | 2064-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-7, Class SA                                                                                 | CUSIP: 38381EPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6809426 | PA      | $276268.65     | 0.00%             | 2064-02-16      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-4                                                                                           | CUSIP: 38381EQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45411152 | PA      | $2923919.65    | 0.04%             | 2064-03-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-62                                                                                          | CUSIP: 38381ET24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9818671 | PA      | $484364.88     | 0.01%             | 2064-06-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-52                                                                                          | CUSIP: 38381EU55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9347372 | PA      | $446146.31     | 0.01%             | 2064-06-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-41                                                                                          | CUSIP: 38381EXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40702977 | PA      | $2094652.54    | 0.03%             | 2063-04-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-51                                                                                          | CUSIP: 38381H5L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11312373 | PA      | $869636.41     | 0.01%             | 2065-05-16      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-46                                                                                          | CUSIP: 38381H5Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4413362 | PA      | $338405.99     | 0.00%             | 2065-07-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-113                                                                                         | CUSIP: 38381HGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30531294 | PA      | $1005978.67    | 0.01%             | 2061-09-16      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-106                                                                                         | CUSIP: 38381HJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2699278 | PA      | $141982.03     | 0.00%             | 2064-02-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-109                                                                                         | CUSIP: 38381HJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52166358 | PA      | $2700125.45    | 0.03%             | 2064-08-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-210                                                                                         | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4864834 | PA      | $264777.83     | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-134                                                                                         | CUSIP: 38381HLT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2849440 | PA      | $111075.46     | 0.00%             | 2064-06-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-147                                                                                         | CUSIP: 38381HMW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23848679 | PA      | $1052766.57    | 0.01%             | 2064-09-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-149                                                                                         | CUSIP: 38381HNW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12826760 | PA      | $472735.36     | 0.01%             | 2064-06-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-141                                                                                         | CUSIP: 38381HQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2866168 | PA      | $180025.99     | 0.00%             | 2064-06-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-157                                                                                         | CUSIP: 38381HRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30684488 | PA      | $1601052.14    | 0.02%             | 2064-03-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-165                                                                                         | CUSIP: 38381HSL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9239627 | PA      | $435277.91     | 0.01%             | 2064-06-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-15                                                                                          | CUSIP: 38381HU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1721576 | PA      | $115877.92     | 0.00%             | 2064-08-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-166                                                                                         | CUSIP: 38381HUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17219094 | PA      | $1062619.56    | 0.01%             | 2065-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-15, Class AB                                                                                | CUSIP: 38381HV32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     710877 | PA      | $695044.68     | 0.01%             | 2063-08-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-28                                                                                          | CUSIP: 38381HX48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7698585 | PA      | $509830.31     | 0.01%             | 2065-02-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-199                                                                                         | CUSIP: 38381HZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17389507 | PA      | $1044196.40    | 0.01%             | 2064-07-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-32                                                                                          | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45323164 | PA      | $2373320.30    | 0.03%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-31                                                                                          | CUSIP: 38381J7Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9795625 | PA      | $823683.73     | 0.01%             | 2066-02-16      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-52, Class A                                                                                 | CUSIP: 38381J8E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1464158 | PA      | $1466561.32    | 0.02%             | 2056-03-16      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-26                                                                                          | CUSIP: 38381JBM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4836799 | PA      | $306550.98     | 0.00%             | 2065-04-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-108                                                                                         | CUSIP: 38381JMN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11140471 | PA      | $408799.58     | 0.01%             | 2059-08-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-127                                                                                         | CUSIP: 38381JMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   80079236 | PA      | $1404365.58    | 0.02%             | 2057-07-16      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-126                                                                                         | CUSIP: 38381JQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7976428 | PA      | $531758.11     | 0.01%             | 2065-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-144, Class IB                                                                               | CUSIP: 38381JTQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4684124 | PA      | $261073.87     | 0.00%             | 2064-12-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-17                                                                                          | CUSIP: 38381JU96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12515831 | PA      | $886865.50     | 0.01%             | 2065-06-16      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-179                                                                                         | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  124786054 | PA      | $5540351.05    | 0.07%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-21                                                                                          | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  108061927 | PA      | $7703745.59    | 0.09%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-38                                                                                          | CUSIP: 38381L8C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45185848 | PA      | $1872519.63    | 0.02%             | 2062-01-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-161                                                                                         | CUSIP: 38381LA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   77756452 | PA      | $4462069.54    | 0.05%             | 2064-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-56                                                                                          | CUSIP: 38381LCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7233040 | PA      | $516116.43     | 0.01%             | 2065-11-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-70                                                                                          | CUSIP: 38381LDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28869643 | PA      | $1679976.51    | 0.02%             | 2060-02-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-90                                                                                          | CUSIP: 38381LFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5764807 | PA      | $376522.03     | 0.00%             | 2066-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-124                                                                                         | CUSIP: 38381LKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37492934 | PA      | $2592790.12    | 0.03%             | 2065-07-17      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-121                                                                                         | CUSIP: 38381LLB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1660369 | PA      | $156896.88     | 0.00%             | 2066-07-01      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-138, Class IA                                                                               | CUSIP: 38381LPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19252564 | PA      | $1793049.00    | 0.02%             | 2066-02-16      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-195                                                                                         | CUSIP: 38381LR46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70471373 | PA      | $2795768.49    | 0.03%             | 2061-07-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-161                                                                                         | CUSIP: 38381M6W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   99607356 | PA      | $7693323.57    | 0.09%             | 2068-02-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-42                                                                                          | CUSIP: 38381MBQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   82062501 | PA      | $3967845.04    | 0.05%             | 2065-11-16      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-138, Class A                                                                                | CUSIP: 38381ME63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14509951 | PA      | $14566353.89   | 0.18%             | 2056-05-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-93, Class AM                                                                                | CUSIP: 38381MPH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8700000 | PA      | $8727257.10    | 0.11%             | 2054-12-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-78                                                                                          | CUSIP: 38381MPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  264838620 | PA      | $19625203.86   | 0.24%             | 2063-11-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-142                                                                                         | CUSIP: 38381MR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41864506 | PA      | $2894909.65    | 0.04%             | 2068-02-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-144, Class A                                                                                | CUSIP: 38381MS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10013857 | PA      | $10093518.96   | 0.12%             | 2054-07-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-112                                                                                         | CUSIP: 38381MUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54702261 | PA      | $2807637.33    | 0.03%             | 2066-03-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-106, Class A                                                                                | CUSIP: 38381MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3074280 | PA      | $3122956.14    | 0.04%             | 2055-07-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-128, Class AD                                                                               | CUSIP: 38381MZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     849200 | PA      | $862848.03     | 0.01%             | 2056-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-128, Class AW                                                                               | CUSIP: 38381MZC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14679944 | PA      | $14764561.73   | 0.18%             | 2054-03-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-120, Class SJ                                                                               | CUSIP: 38381N7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4026114 | PA      | $4438335.24    | 0.05%             | 2055-07-20      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-120, Class SH                                                                               | CUSIP: 38381N7N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4055079 | PA      | $4459855.92    | 0.05%             | 2055-07-20      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-105, Class PA                                                                               | CUSIP: 38381NAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1458152 | PA      | $1515042.11    | 0.02%             | 2055-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-105, Class PZ                                                                               | CUSIP: 38381NAY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2368490 | PA      | $2281146.89    | 0.03%             | 2055-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-105, Class SD                                                                               | CUSIP: 38381NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56592520 | PA      | $3546862.60    | 0.04%             | 2055-06-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-124, Class CS                                                                               | CUSIP: 38381PEY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7926275 | PA      | $343349.57     | 0.00%             | 2055-07-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-124, Class SE                                                                               | CUSIP: 38381PFN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62630575 | PA      | $3946803.47    | 0.05%             | 2055-07-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-127, Class PZ                                                                               | CUSIP: 38381PP49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6753295 | PA      | $6748890.20    | 0.08%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-127, Class SH                                                                               | CUSIP: 38381PR54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8686422 | PA      | $674033.33     | 0.01%             | 2055-07-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-132, Class MZ                                                                               | CUSIP: 38381PZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1332840 | PA      | $1265353.25    | 0.02%             | 2055-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-141, Class ZJ                                                                               | CUSIP: 38381Q3X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5765133 | PA      | $5681115.83    | 0.07%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-139, Class ZB                                                                               | CUSIP: 38381QA43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1540769 | PA      | $1469842.18    | 0.02%             | 2055-05-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-139, Class B                                                                                | CUSIP: 38381QA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5500000 | PA      | $5587565.50    | 0.07%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-135, Class SE                                                                               | CUSIP: 38381QFM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7498077 | PA      | $8264869.65    | 0.10%             | 2055-08-20      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-139, Class UC                                                                               | CUSIP: 38381QQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1928499 | PA      | $1926021.64    | 0.02%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-139, Class SU                                                                               | CUSIP: 38381QXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48911190 | PA      | $2369404.80    | 0.03%             | 2055-08-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-139, Class JS                                                                               | CUSIP: 38381QZB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22125717 | PA      | $1843468.25    | 0.02%             | 2055-08-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-213, Class PA                                                                               | CUSIP: 38381SEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12790272 | PA      | $12872355.01   | 0.16%             | 2068-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA                                                                                                          | CUSIP: 38381SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52000000 | PA      | $51654687.76   | 0.63%             | 2060-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA                                                                                                          | CUSIP: 38381SRT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18960000 | PA      | $19728768.66   | 0.24%             | 2067-11-16      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-152, Class SA                                                                               | CUSIP: 38381UNN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19861165 | PA      | $1183965.72    | 0.01%             | 2055-09-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-152, Class SH                                                                               | CUSIP: 38381UQE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25434662 | PA      | $1518103.39    | 0.02%             | 2055-09-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-78, Class IB                                                                                | CUSIP: 38382QK90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     764978 | PA      | $135074.06     | 0.00%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-107, Class XI                                                                               | CUSIP: 38382UFA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1122688 | PA      | $185975.08     | 0.00%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-142, Class XI                                                                               | CUSIP: 38382XTB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121030 | PA      | $21338.68      | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-160, Class IE                                                                               | CUSIP: 38383AZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22108617 | PA      | $3265036.00    | 0.04%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-156, Class UZ                                                                               | CUSIP: 38383BAB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1323609 | PA      | $1322399.37    | 0.02%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-156, Class JL                                                                               | CUSIP: 38383BCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10500000 | PA      | $10562016.15   | 0.13%             | 2055-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-156, Class Z                                                                                | CUSIP: 38383BDE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7132238 | PA      | $6769546.65    | 0.08%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-156, Class BZ                                                                               | CUSIP: 38383BFT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     815113 | PA      | $763848.43     | 0.01%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-156, Class CZ                                                                               | CUSIP: 38383BFV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1408991 | PA      | $1377582.91    | 0.02%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-156, Class PA                                                                               | CUSIP: 38383BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13038869 | PA      | $13392838.80   | 0.16%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-172, Class PZ                                                                               | CUSIP: 38383BYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12186386 | PA      | $12185450.25   | 0.15%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-188, Class IJ                                                                               | CUSIP: 38383CUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2436311 | PA      | $416820.40     | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2021-186                                                                                         | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67653594 | PA      | $3923556.68    | 0.05%             | 2063-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-153, Class ZT                                                                               | CUSIP: 38383JBZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4237182 | PA      | $3923691.81    | 0.05%             | 2067-08-16      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-206                                                                                         | CUSIP: 38383JCS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  141957464 | PA      | $8663664.02    | 0.11%             | 2064-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2022-214                                                                                         | CUSIP: 38383LPV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22410271 | PA      | $974710.09     | 0.01%             | 2064-09-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-55, Class IE                                                                                | CUSIP: 38383X3H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7467120 | PA      | $1078031.07    | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-67, Class DZ                                                                                | CUSIP: 38384ANH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4535254 | PA      | $4637421.48    | 0.06%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-102, Class BG                                                                               | CUSIP: 38384BD81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     310000 | PA      | $322477.72     | 0.00%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-117, Class ZM                                                                               | CUSIP: 38384CFG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2294083 | PA      | $2297612.76    | 0.03%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-113, Class GZ                                                                               | CUSIP: 38384CUW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1446239 | PA      | $1496643.19    | 0.02%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2023-113, Class SJ                                                                               | CUSIP: 38384CZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5252932 | PA      | $288394.36     | 0.00%             | 2053-08-20      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-1, Class MS                                                                                 | CUSIP: 38384H5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9541151 | PA      | $604430.98     | 0.01%             | 2054-01-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-27, Class GB                                                                                | CUSIP: 38384JEA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250000 | PA      | $247109.10     | 0.00%             | 2054-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-30, Class SC                                                                                | CUSIP: 38384JKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3823445 | PA      | $341253.17     | 0.00%             | 2054-02-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-64, Class SV                                                                                | CUSIP: 38384MTC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6575050 | PA      | $321032.07     | 0.00%             | 2054-04-20      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-79, Class BS                                                                                | CUSIP: 38384PBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4815589 | PA      | $502026.11     | 0.01%             | 2054-05-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-79, Class CS                                                                                | CUSIP: 38384PCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9854990 | PA      | $465881.86     | 0.01%             | 2054-05-20      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-110, Class SC                                                                               | CUSIP: 38384QTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4091651 | PA      | $279990.43     | 0.00%             | 2054-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-110, Class AS                                                                               | CUSIP: 38384QUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3314740 | PA      | $297358.71     | 0.00%             | 2054-07-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-217, Class AK                                                                               | CUSIP: 38384REX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16621061 | PA      | $16510895.10   | 0.20%             | 2068-02-16      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-183                                                                                         | CUSIP: 38384TBG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43538899 | PA      | $3088188.00    | 0.04%             | 2067-10-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-202                                                                                         | CUSIP: 38384TDX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30939601 | PA      | $2266950.72    | 0.03%             | 2067-09-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-200, Class PA                                                                               | CUSIP: 38384TEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7972607 | PA      | $7995046.07    | 0.10%             | 2068-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-212, Class AC                                                                               | CUSIP: 38384TFU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10992607 | PA      | $11236302.39   | 0.14%             | 2066-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-212, Class BE                                                                               | CUSIP: 38384TGL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11181571 | PA      | $11279700.20   | 0.14%             | 2068-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-17, Class AC                                                                                | CUSIP: 38384THR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4994965 | PA      | $4990441.81    | 0.06%             | 2057-08-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-20, Class AM                                                                                | CUSIP: 38384TLY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4755049 | PA      | $4746875.76    | 0.06%             | 2057-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-16, Class AC                                                                                | CUSIP: 38384TMU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41578662 | PA      | $41173452.79   | 0.51%             | 2057-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-16                                                                                          | CUSIP: 38384TNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   77886378 | PA      | $6537634.60    | 0.08%             | 2068-02-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-14, Class A                                                                                 | CUSIP: 38384TNQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11932243 | PA      | $11898666.02   | 0.15%             | 2060-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-112, Class SA                                                                               | CUSIP: 38384UAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3564296 | PA      | $264848.58     | 0.00%             | 2054-07-20      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-128, Class SA                                                                               | CUSIP: 38384UML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6139705 | PA      | $579626.86     | 0.01%             | 2054-08-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-127, Class SE                                                                               | CUSIP: 38384URZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4992846 | PA      | $341920.09     | 0.00%             | 2054-08-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-126, Class JS                                                                               | CUSIP: 38384UUY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12408664 | PA      | $665126.71     | 0.01%             | 2054-08-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-126, Class HS                                                                               | CUSIP: 38384UVQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3866982 | PA      | $253105.94     | 0.00%             | 2054-08-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-126, Class AS                                                                               | CUSIP: 38384UVX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4006877 | PA      | $376385.57     | 0.00%             | 2054-08-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-134, Class SE                                                                               | CUSIP: 38384VBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9052728 | PA      | $517185.05     | 0.01%             | 2054-08-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-151, Class JS                                                                               | CUSIP: 38384WET8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3940374 | PA      | $347751.41     | 0.00%             | 2054-09-20      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-159, Class AS                                                                               | CUSIP: 38384YAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3247184 | PA      | $246759.66     | 0.00%             | 2054-10-20      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-190, Class CS                                                                               | CUSIP: 38385AFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4176066 | PA      | $285154.74     | 0.00%             | 2054-11-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-7, Class QS                                                                                 | CUSIP: 38385BG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3329114 | PA      | $235103.69     | 0.00%             | 2055-01-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-7, Class SG                                                                                 | CUSIP: 38385BH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16536087 | PA      | $1004673.10    | 0.01%             | 2055-01-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-7, Class SL                                                                                 | CUSIP: 38385BJ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4133210 | PA      | $306049.74     | 0.00%             | 2055-01-20      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2024-204, Class SB                                                                               | CUSIP: 38385BRT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7184270 | PA      | $551057.21     | 0.01%             | 2054-12-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-30, Class SC                                                                                | CUSIP: 38385C7C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10135065 | PA      | $816962.23     | 0.01%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-1, Class KS                                                                                 | CUSIP: 38385CEB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8723784 | PA      | $448641.51     | 0.01%             | 2055-01-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-1, Class SU                                                                                 | CUSIP: 38385CEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8378361 | PA      | $366250.83     | 0.00%             | 2055-01-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-1, Class BL                                                                                 | CUSIP: 38385CFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1400000 | PA      | $1475537.70    | 0.02%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-1, Class SL                                                                                 | CUSIP: 38385CGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3867216 | PA      | $332487.03     | 0.00%             | 2055-01-20      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-1, Class SV                                                                                 | CUSIP: 38385CJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8662585 | PA      | $496967.31     | 0.01%             | 2055-01-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-22, Class GS                                                                                | CUSIP: 38385CS82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9704523 | PA      | $811944.41     | 0.01%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-22, Class AS                                                                                | CUSIP: 38385CX29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13621431 | PA      | $829708.63     | 0.01%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-25, Class BS                                                                                | CUSIP: 38385DAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17753092 | PA      | $1541889.74    | 0.02%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-25, Class HS                                                                                | CUSIP: 38385DBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13966189 | PA      | $847996.25     | 0.01%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-25, Class SB                                                                                | CUSIP: 38385DBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17507977 | PA      | $1353286.11    | 0.02%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-25, Class ZN                                                                                | CUSIP: 38385DES1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1165910 | PA      | $1290994.01    | 0.02%             | 2055-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-51, Class SA                                                                                | CUSIP: 38385DT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43342503 | PA      | $2933806.38    | 0.04%             | 2055-03-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-23, Class SL                                                                                | CUSIP: 38385DYZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9535452 | PA      | $569602.16     | 0.01%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-51, Class SH                                                                                | CUSIP: 38385DZ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12661018 | PA      | $757175.70     | 0.01%             | 2055-03-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-23, Class SE                                                                                | CUSIP: 38385DZN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6217274 | PA      | $385993.26     | 0.00%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-44, Class GZ                                                                                | CUSIP: 38385EBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5704538 | PA      | $5992318.30    | 0.07%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-41, Class AS                                                                                | CUSIP: 38385EKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16208009 | PA      | $867060.41     | 0.01%             | 2055-03-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-41, Class BS                                                                                | CUSIP: 38385EKP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43191211 | PA      | $1825130.98    | 0.02%             | 2055-03-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-41, Class ES                                                                                | CUSIP: 38385EMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4580808 | PA      | $483449.35     | 0.01%             | 2055-03-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-41, Class SE                                                                                | CUSIP: 38385EMP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6443535 | PA      | $677466.21     | 0.01%             | 2055-03-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-69, Class AZ                                                                                | CUSIP: 38385FAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2630118 | PA      | $2598715.34    | 0.03%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-69, Class SW                                                                                | CUSIP: 38385FAU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11675819 | PA      | $448316.41     | 0.01%             | 2055-04-20      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-69, Class SX                                                                                | CUSIP: 38385FAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28764075 | PA      | $1269631.89    | 0.02%             | 2055-04-20      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-60, Class ZC                                                                                | CUSIP: 38385FK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12799296 | PA      | $12651342.97   | 0.16%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-69, Class SK                                                                                | CUSIP: 38385FMY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25947430 | PA      | $2126072.70    | 0.03%             | 2055-04-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-70, Class EZ                                                                                | CUSIP: 38385FSG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4461281 | PA      | $4342915.48    | 0.05%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-70, Class SD                                                                                | CUSIP: 38385FSV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57347946 | PA      | $3091782.60    | 0.04%             | 2055-04-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-65, Class SL                                                                                | CUSIP: 38385FTV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65656875 | PA      | $4251499.30    | 0.05%             | 2055-04-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-97, Class SE                                                                                | CUSIP: 38385G5X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26872695 | PA      | $1791374.13    | 0.02%             | 2055-06-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-84, Class SQ                                                                                | CUSIP: 38385GAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29157338 | PA      | $1135497.53    | 0.01%             | 2055-05-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-89, Class SC                                                                                | CUSIP: 38385GEN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9376300 | PA      | $802854.13     | 0.01%             | 2055-05-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-89, Class SP                                                                                | CUSIP: 38385GEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22425657 | PA      | $976967.03     | 0.01%             | 2055-05-20      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-89, Class SE                                                                                | CUSIP: 38385GGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18480598 | PA      | $1473763.02    | 0.02%             | 2055-05-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-89, Class DY                                                                                | CUSIP: 38385GMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2408529 | PA      | $2415920.05    | 0.03%             | 2055-01-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-89, Class JY                                                                                | CUSIP: 38385GNA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1700000 | PA      | $1681390.27    | 0.02%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-100, Class SA                                                                               | CUSIP: 38385GR27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32259388 | PA      | $2073149.58    | 0.03%             | 2055-06-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-79, Class HS                                                                                | CUSIP: 38385GVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5450222 | PA      | $454176.82     | 0.01%             | 2055-05-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-175, Class AZ                                                                               | CUSIP: 38385HDB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5612923 | PA      | $5615162.18    | 0.07%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-175, Class BZ                                                                               | CUSIP: 38385HEW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5631993 | PA      | $5631862.13    | 0.07%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-171, Class MT                                                                               | CUSIP: 38385HWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $4063374.40    | 0.05%             | 2052-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-196, Class LZ                                                                               | CUSIP: 38385JEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9241508 | PA      | $9128712.06    | 0.11%             | 2055-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-192, Class ZU                                                                               | CUSIP: 38385JXW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6389986 | PA      | $6322087.47    | 0.08%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-211, Class UZ                                                                               | CUSIP: 38385K5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9988861 | PA      | $9986014.04    | 0.12%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-204, Class PZ                                                                               | CUSIP: 38385KDX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4527245 | PA      | $4522249.18    | 0.06%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-208, Class ZG                                                                               | CUSIP: 38385KLN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13995635 | PA      | $13608206.20   | 0.17%             | 2055-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-207, Class CZ                                                                               | CUSIP: 38385KMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     477805 | PA      | $476051.98     | 0.01%             | 2055-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2025-211, Class CP                                                                               | CUSIP: 38385KQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35038381 | PA      | $35695143.48   | 0.44%             | 2055-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-3, Class ZH                                                                                 | CUSIP: 38385LD39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11779726 | PA      | $11758053.45   | 0.14%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-2, Class AZ                                                                                 | CUSIP: 38385LDD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8120338 | PA      | $7802244.39    | 0.10%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-2, Class GZ                                                                                 | CUSIP: 38385LEL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13560662 | PA      | $12968532.10   | 0.16%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-2, Class UZ                                                                                 | CUSIP: 38385LFU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2043873 | PA      | $1953940.63    | 0.02%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-2, Class KS                                                                                 | CUSIP: 38385LJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57510944 | PA      | $4217202.78    | 0.05%             | 2056-01-20      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-4, Class JZ                                                                                 | CUSIP: 38385LNS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8048285 | PA      | $7726642.24    | 0.09%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-25, Class ZH                                                                                | CUSIP: 38385M5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11207723 | PA      | $11116660.25   | 0.14%             | 2056-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-30, Class DZ                                                                                | CUSIP: 38385MAY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4304326 | PA      | $4274733.76    | 0.05%             | 2056-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-25, Class ZB                                                                                | CUSIP: 38385ML20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4295678 | PA      | $4139959.67    | 0.05%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-24, Class BZ                                                                                | CUSIP: 38385MMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1632000 | PA      | $1562640.00    | 0.02%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-24, Class SB                                                                                | CUSIP: 38385MMD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  134648670 | PA      | $9151901.79    | 0.11%             | 2056-02-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-24, Class DS                                                                                | CUSIP: 38385MMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   72532984 | PA      | $5972637.90    | 0.07%             | 2056-02-20      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                      | GNMA, Series 2026-24, Class DZ                                                                                | CUSIP: 38385MMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2520000 | PA      | $2373525.00    | 0.03%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gray Media, Inc.                                                          | Gray Media, Inc.                                                                                              | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    3338000 | PA      | $2627952.69    | 0.03%             | 2031-11-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Gray Media, Inc.                                                          | Gray Media, Inc.                                                                                              | CUSIP: 389375AL0<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    3004000 | PA      | $2438380.14    | 0.03%             | 2030-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Gray Media, Inc.                                                          | Gray Media, Inc.                                                                                              | CUSIP: 389375AM8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    3932000 | PA      | $4215383.17    | 0.05%             | 2029-07-15      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Gray Media, Inc.                                                          | Gray Media, Inc.                                                                                              | CUSIP: 389375AP1<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    2089000 | PA      | $2157105.58    | 0.03%             | 2033-08-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Griffon Corp.                                                             | Griffon Corp.                                                                                                 | CUSIP: 398433AP7<br>LEI: 5493000C2SGNC7ZN3242 | Long             | DBT              | CORP              | US        |      85000 | PA      | $84955.72      | 0.00%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                      | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      50000 | PA      | $49062.14      | 0.00%             | 2029-05-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Grupo Nutresa SA                                                          | Grupo Nutresa SA                                                                                              | CUSIP: 40055CAB9<br>LEI: 254900KKAX7B7RJUE255 | Long             | DBT              | CORP              | CO        |    1500000 | PA      | $1719018.15    | 0.02%             | 2035-05-12      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                                     | Republic of Guatemala                                                                                         | CUSIP: 401494AW9<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     700000 | PA      | $759937.50     | 0.01%             | 2036-06-13      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                                     | Republic of Guatemala                                                                                         | CUSIP: 401494AZ2<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     200000 | PA      | $216562.50     | 0.00%             | 2037-02-06      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                                     | Republic of Guatemala                                                                                         | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    1221000 | PA      | $1293878.44    | 0.02%             | 2036-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Gulfport Energy Operating Corp.                                           | Gulfport Energy Operating Corp.                                                                               | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    1215000 | PA      | $1258209.05    | 0.02%             | 2029-09-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                             | CUSIP: 404280CN7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4088000 | PA      | $3896533.61    | 0.05%             | 2030-12-17      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                             | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     290000 | PA      | $305564.12     | 0.00%             | 2028-11-03      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                             | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1410000 | PA      | $1466598.40    | 0.02%             | 2030-03-04      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                                 | HINNT LLC, Series 2022-A, Class D                                                                             | CUSIP: 40486JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     209131 | PA      | $208910.49     | 0.00%             | 2041-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Harriman Park CLO Ltd.                                                    | Harriman Park CLO Ltd., Series 2020-1A, Class CRR                                                             | CUSIP: 413717BG3<br>LEI: 549300BI9STOGTECXV18 | Long             | ABS-CBDO         | CORP              | KY        |    1680000 | PA      | $1685575.92    | 0.02%             | 2038-07-20      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                     | Harvest Commercial Capital Loan Trust, Series 2025-1, Class A                                                 | CUSIP: 41757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9359273 | PA      | $9751856.76    | 0.12%             | 2057-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                     | Harvest Commercial Capital Loan Trust, Series 2024-1, Class A                                                 | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3039542 | PA      | $3143664.34    | 0.04%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                               | Hashemite Kingdom of Jordan                                                                                   | CUSIP: 418097AP6<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |    5761000 | PA      | $5663063.00    | 0.07%             | 2032-11-12      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                       | Herc Holdings, Inc.                                                                                           | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     885000 | PA      | $927406.59     | 0.01%             | 2030-06-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                         | Hertz Corp. (The)                                                                                             | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |      83000 | PA      | $75609.51      | 0.00%             | 2026-12-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                         | Hertz Corp. (The)                                                                                             | CUSIP: 428040DB2<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    3245000 | PA      | $1685005.84    | 0.02%             | 2029-12-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                         | Hertz Corp. (The)                                                                                             | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    1809000 | PA      | $1668068.77    | 0.02%             | 2029-07-15      | Fixed         | 12.62%                | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                                            | Hertz Vehicle Financing LP, Series 2021-2A, Class D                                                           | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6926000 | PA      | $6849561.20    | 0.08%             | 2027-12-27      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                               | Hertz Vehicle Financing LLC, Series 2022-2A, Class D                                                          | CUSIP: 42806MAR0<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   14000000 | PA      | $13825443.80   | 0.17%             | 2028-06-26      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                               | Hertz Vehicle Financing LLC, Series 2022-5A, Class D                                                          | CUSIP: 42806MBQ1<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2009534.40    | 0.02%             | 2028-09-25      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2023-1A, Class C                                                          | CUSIP: 42806MBU2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     243333 | PA      | $243669.13     | 0.00%             | 2027-06-25      | Fixed         | 6.91%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2023-2A, Class D                                                          | CUSIP: 42806MBZ1<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   19080000 | PA      | $20218192.60   | 0.25%             | 2029-09-25      | Fixed         | 9.40%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2023-3A, Class A                                                          | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     595000 | PA      | $603249.02     | 0.01%             | 2028-02-25      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2023-3A, Class D                                                          | CUSIP: 42806MCD9<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    8185000 | PA      | $8380290.83    | 0.10%             | 2028-02-25      | Fixed         | 9.43%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2023-4A, Class D                                                          | CUSIP: 42806MCH0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1609177.20    | 0.02%             | 2030-03-25      | Fixed         | 9.44%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2024-1A, Class D                                                          | CUSIP: 42806MCS6<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2612202.75    | 0.03%             | 2029-01-25      | Fixed         | 9.22%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2025-1A, Class D                                                          | CUSIP: 42806MCW7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    8250000 | PA      | $8490823.28    | 0.10%             | 2029-09-25      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2025-2A, Class D                                                          | CUSIP: 42806MDA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     958000 | PA      | $995472.07     | 0.01%             | 2031-09-25      | Fixed         | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2025-4A, Class B                                                          | CUSIP: 42806MDG1<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    2245000 | PA      | $2319845.83    | 0.03%             | 2031-12-25      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2025-4A, Class D                                                          | CUSIP: 42806MDJ5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    4492000 | PA      | $4847771.79    | 0.06%             | 2031-12-25      | Fixed         | 9.34%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2025-5A, Class D                                                          | CUSIP: 42806MDP1<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    1870000 | PA      | $1923786.62    | 0.02%             | 2030-05-25      | Fixed         | 7.74%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                           | Hertz Vehicle Financing LLC, Series 2025-6A, Class D                                                          | CUSIP: 42806MDT3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    2810000 | PA      | $2914492.10    | 0.04%             | 2032-05-25      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                              | Hess Midstream Operations LP                                                                                  | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1355000 | PA      | $1328243.49    | 0.02%             | 2030-02-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                              | Hess Midstream Operations LP                                                                                  | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     422000 | PA      | $429000.56     | 0.01%             | 2028-03-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                              | Hess Midstream Operations LP                                                                                  | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     365000 | PA      | $365294.19     | 0.00%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                                       | Hilcorp Energy I LP                                                                                           | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1239000 | PA      | $1205672.26    | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                       | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    2225000 | PA      | $2166337.43    | 0.03%             | 2029-05-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                       | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    2534000 | PA      | $2608076.42    | 0.03%             | 2033-03-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                       | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    1978000 | PA      | $2024799.48    | 0.02%             | 2033-09-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                       | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AT8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     336000 | PA      | $339586.13     | 0.00%             | 2034-03-31      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                              | Hilton Grand Vacations Trust, Series 2022-1D, Class D                                                         | CUSIP: 43283BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      88023 | PA      | $88139.00      | 0.00%             | 2034-06-20      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Hilton Worldwide Finance LLC                                              | Hilton Worldwide Finance LLC                                                                                  | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2140000 | PA      | $2140389.48    | 0.03%             | 2027-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Hologic, Inc.                                                             | Hologic, Inc.                                                                                                 | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |      45000 | PA      | $44958.01      | 0.00%             | 2028-02-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Hologic, Inc.                                                             | Hologic, Inc.                                                                                                 | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    1869000 | PA      | $1859303.63    | 0.02%             | 2029-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Honduras                                                      | Republic of Honduras                                                                                          | CUSIP: 438180AK7<br>LEI: 5493002DW1JNBNG17615 | Long             | DBT              | NUSS              | HN        |    4250000 | PA      | $4936630.00    | 0.06%             | 2034-11-27      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Honey Hill Park CLO Ltd.                                                  | Honey Hill Park CLO Ltd., Series 2026-1A, Class D1                                                            | CUSIP: 438453AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9180000 | PA      | $9180000.00    | 0.11%             | 2039-04-24      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Honey Hill Park CLO Ltd.                                                  | Honey Hill Park CLO Ltd., Series 2026-1A, Class D2                                                            | CUSIP: 438453AQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1310000 | PA      | $1309799.57    | 0.02%             | 2039-04-24      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Honey Hill Park CLO Ltd.                                                  | Honey Hill Park CLO Ltd., Series 2026-1A, Class E                                                             | CUSIP: 43845QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13550000 | PA      | $13376546.45   | 0.16%             | 2039-04-24      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Howard Midstream Energy Partners LLC                                      | Howard Midstream Energy Partners LLC                                                                          | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     785000 | PA      | $828422.28     | 0.01%             | 2032-07-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Howard Midstream Energy Partners LLC                                      | Howard Midstream Energy Partners LLC                                                                          | CUSIP: 442722AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1852000 | PA      | $1914005.42    | 0.02%             | 2034-01-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                  | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                                             | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1641673 | PA      | $1659975.09    | 0.02%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                                      | IHO Verwaltungs GmbH                                                                                          | CUSIP: 44963BAF5<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    1841000 | PA      | $1934935.18    | 0.02%             | 2030-11-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                                      | IHO Verwaltungs GmbH                                                                                          | CUSIP: 44963BAG3<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $213343.40     | 0.00%             | 2032-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| INEOS Finance plc                                                         | INEOS Finance plc                                                                                             | CUSIP: 44984WAH0<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    1350000 | PA      | $1250149.55    | 0.02%             | 2028-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| INEOS Finance plc                                                         | INEOS Finance plc                                                                                             | CUSIP: 44984WAJ6<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    3040000 | PA      | $2714260.96    | 0.03%             | 2029-04-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                               | IQVIA, Inc.                                                                                                   | CUSIP: 449934AD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     700000 | PA      | $699242.25     | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class A                                                                          | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14700000 | PA      | $15285426.03   | 0.19%             | 2047-03-14      | Variable      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class B                                                                          | CUSIP: 45006HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10050000 | PA      | $10317364.17   | 0.13%             | 2047-03-14      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class C                                                                          | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3501239.42    | 0.04%             | 2047-03-14      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class D                                                                          | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1039652.60    | 0.01%             | 2047-03-14      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                                | iHeartCommunications, Inc.                                                                                    | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    2988000 | PA      | $2654748.36    | 0.03%             | 2029-05-01      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                                | iHeartCommunications, Inc.                                                                                    | CUSIP: 45174HBM8<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    1196050 | PA      | $951208.75     | 0.01%             | 2030-08-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Capital LLC                                              | Identity Digital Capital LLC                                                                                  | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2540250.00    | 0.03%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| Imola Merger Corp.                                                        | Imola Merger Corp.                                                                                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8260000 | PA      | $8120036.78    | 0.10%             | 2029-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                               | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    1997000 | PA      | $2055056.78    | 0.03%             | 2028-02-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                               | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $998431.92     | 0.01%             | 2033-01-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                               | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAG8<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     874000 | PA      | $903410.10     | 0.01%             | 2034-01-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                               | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAJ2<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     300000 | PA      | $322872.00     | 0.00%             | 2030-10-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| INEOS Quattro Finance 2 plc                                               | INEOS Quattro Finance 2 plc                                                                                   | CUSIP: 45674GAB0<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $171500.00     | 0.00%             | 2029-03-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Instituto Costarricense de Electricidad                                   | Instituto Costarricense de Electricidad                                                                       | CUSIP: 45777VAE7<br>LEI: 5493009VA6AFUB2Q0289 | Long             | DBT              | NUSS              | CR        |     800000 | PA      | $844180.00     | 0.01%             | 2031-10-07      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Installed Building Products, Inc.                                         | Installed Building Products, Inc.                                                                             | CUSIP: 45780RAB7<br>LEI: 549300I95Y9P9YM5FI86 | Long             | DBT              | CORP              | US        |     326000 | PA      | $330326.35     | 0.00%             | 2034-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| ION Platform Finance US, Inc.                                             | ION Platform Finance US, Inc.                                                                                 | CUSIP: 46205QAB4<br>LEI: 213800FKHT3BRRKMCC89 | Long             | DBT              | CORP              | US        |     982000 | PA      | $787386.15     | 0.01%             | 2032-09-30      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                               | IQVIA, Inc.                                                                                                   | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    4130000 | PA      | $4120968.10    | 0.05%             | 2027-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                               | IQVIA, Inc.                                                                                                   | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    2271000 | PA      | $2336123.20    | 0.03%             | 2032-06-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                       | Iron Mountain, Inc.                                                                                           | CUSIP: 46284VAG6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     540000 | PA      | $538954.67     | 0.01%             | 2028-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                       | Iron Mountain, Inc.                                                                                           | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     860000 | PA      | $855695.03     | 0.01%             | 2030-07-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                       | Iron Mountain, Inc.                                                                                           | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     108000 | PA      | $110355.26     | 0.00%             | 2033-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Istanbul Metropolitan Municipality                                        | Istanbul Metropolitan Municipality                                                                            | CUSIP: 46522TAC2<br>LEI: 213800T1VDQSNKA2MD76 | Long             | DBT              | NUSS              | TR        |    1067000 | PA      | $1174169.48    | 0.01%             | 2028-12-06      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class C                                 | CUSIP: 46590KAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4750000 | PA      | $4398514.73    | 0.05%             | 2049-01-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class B                                           | CUSIP: 46590LAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $901133.70     | 0.01%             | 2049-06-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A4                                | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1343073 | PA      | $1336664.05    | 0.02%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class B                              | CUSIP: 46590RAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3781030.00    | 0.05%             | 2049-08-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class C                                 | CUSIP: 46590RAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12390000 | PA      | $10117147.43   | 0.12%             | 2049-08-15      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                           | JH North America Holdings, Inc.                                                                               | CUSIP: 46593WAA3<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     289000 | PA      | $295159.17     | 0.00%             | 2031-01-31      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                           | JH North America Holdings, Inc.                                                                               | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     432000 | PA      | $443384.93     | 0.01%             | 2032-07-31      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                          | JPMorgan Prime Money Market Fund, Class IM                                                                    | CUSIP: 46637K844<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |  161520608 | NS      | $161585216.55  | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D                                 | CUSIP: 46641BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     986589 | PA      | $961825.34     | 0.01%             | 2046-12-15      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class D                                          | CUSIP: 46644FAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9700000 | PA      | $8856100.00    | 0.11%             | 2048-10-15      | Variable      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class AS                                         | CUSIP: 46644UBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     898396 | PA      | $881551.00     | 0.01%             | 2048-07-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class B                                          | CUSIP: 46644UBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19275000 | PA      | $18311250.00   | 0.22%             | 2048-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class C                                          | CUSIP: 46644UBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8150000 | PA      | $6652600.50    | 0.08%             | 2048-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class B                                          | CUSIP: 46644YBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1418220.00    | 0.02%             | 2048-08-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class C                                          | CUSIP: 46645JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $144000.00     | 0.00%             | 2048-12-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class D1                                          | CUSIP: 46645LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2156273.00    | 0.03%             | 2049-03-17      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class C                                 | CUSIP: 46645UAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2175000 | PA      | $1950597.64    | 0.02%             | 2049-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class B                                           | CUSIP: 46646RAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1486000 | PA      | $1384652.57    | 0.02%             | 2049-12-15      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class B                                          | CUSIP: 46647TAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $815398.37     | 0.01%             | 2050-03-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class C                                          | CUSIP: 46647TAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1920000 | PA      | $1678030.46    | 0.02%             | 2050-03-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JELD-WEN, Inc.                                                            | JELD-WEN, Inc.                                                                                                | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |     200000 | PA      | $163688.28     | 0.00%             | 2027-12-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| JetBlue Airways Corp.                                                     | JetBlue Airways Corp.                                                                                         | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3282000 | PA      | $3335318.75    | 0.04%             | 2031-09-20      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                                    | Jonah Energy ABS LLC, Series 2022-1, Class C                                                                  | CUSIP: 47987EAE7<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3554950.00    | 0.04%             | 2039-08-10      | Fixed         | 12.66%                | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                                   | Jonah Energy ABS LLC, Series 2025-1A, Class B                                                                 | CUSIP: 479913AF2<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |    4619968 | PA      | $4611651.64    | 0.06%             | 2040-12-10      | Fixed         | 11.25%                | Yes           |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class D                                         | CUSIP: 48129RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $486086.50     | 0.01%             | 2052-11-13      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO Ltd.                                                              | KKR CLO Ltd., Series 22A, Class B                                                                             | CUSIP: 48252WAC7<br>LEI: 549300GKHET0CQ690V42 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250474.00     | 0.00%             | 2031-07-20      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 40 Ltd.                                                           | KKR CLO Ltd., Series 40A, Class BR                                                                            | CUSIP: 48254UAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2002574.00    | 0.02%             | 2034-10-20      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 52 Ltd.                                                           | KKR CLO Ltd., Series 2023-52A, Class CR                                                                       | CUSIP: 48255XAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1850000 | PA      | $1856254.85    | 0.02%             | 2038-07-16      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                         | Republic of Kenya                                                                                             | CUSIP: 491798AM6<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    1635000 | PA      | $1790325.00    | 0.02%             | 2031-02-16      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                         | Republic of Kenya                                                                                             | CUSIP: 491798AN4<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    5427000 | PA      | $5702420.25    | 0.07%             | 2036-03-05      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                         | Republic of Kenya                                                                                             | CUSIP: 491798AP9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    2200000 | PA      | $2191750.00    | 0.03%             | 2033-10-09      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                         | Republic of Kenya                                                                                             | CUSIP: 491798AQ7<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    2265000 | PA      | $2241217.50    | 0.03%             | 2038-10-09      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                       | Kinetik Holdings LP                                                                                           | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    4120000 | PA      | $4166391.20    | 0.05%             | 2030-06-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                                                     | Kioxia Holdings Corp.                                                                                         | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |    2389000 | PA      | $2480507.97    | 0.03%             | 2030-07-24      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                                                     | Kioxia Holdings Corp.                                                                                         | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |     565000 | PA      | $595430.97     | 0.01%             | 2033-07-24      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Knife River Corp.                                                         | Knife River Corp.                                                                                             | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     750000 | PA      | $781893.75     | 0.01%             | 2031-05-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| AI Candelaria Spain SA                                                    | AI Candelaria Spain SA                                                                                        | CUSIP: 00870WAA4<br>LEI: 213800L5KA2MJ5FKRZ02 | Long             | DBT              | CORP              | ES        |     500000 | PA      | $446056.25     | 0.01%             | 2033-06-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Kodiak Gas Services LLC                                                   | Kodiak Gas Services LLC                                                                                       | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |     435000 | PA      | $448581.14     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                                   | Bath & Body Works, Inc.                                                                                       | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     365000 | PA      | $371858.72     | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                                                              | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $750267.38     | 0.01%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                                                              | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2360000 | PA      | $2375311.68    | 0.03%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                                                              | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1607011.84    | 0.02%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2024-RTL4, Class A1                                                              | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2516000 | PA      | $2526579.53    | 0.03%             | 2039-07-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                                                              | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1017294 | PA      | $1023155.04    | 0.01%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                                              | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2221000 | PA      | $2238987.88    | 0.03%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                              | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    1263000 | PA      | $1265430.14    | 0.02%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                      | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                                              | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1009409.00    | 0.01%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Lamar Media Corp.                                                         | Lamar Media Corp.                                                                                             | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2235000 | PA      | $2233227.87    | 0.03%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Lamb Weston Holdings, Inc.                                                | Lamb Weston Holdings, Inc.                                                                                    | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    5025000 | PA      | $4870866.67    | 0.06%             | 2030-01-31      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                               | Crescent Energy Finance LLC                                                                                   | CUSIP: 516806AK2<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    1566000 | PA      | $1595339.01    | 0.02%             | 2032-04-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class A                                                               | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     915000 | PA      | $918719.29     | 0.01%             | 2034-02-21      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class D                                                               | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450000 | PA      | $453719.88     | 0.01%             | 2034-02-21      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class E                                                               | CUSIP: 52590AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $821438.80     | 0.01%             | 2034-02-21      | Fixed         | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                                   | Lendingpoint Asset Securitization Trust, Series 2022-C, Class C                                               | CUSIP: 525919AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      47946 | PA      | $47925.78      | 0.00%             | 2030-02-15      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class C                                                               | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3820000 | PA      | $3859336.83    | 0.05%             | 2035-05-21      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class D                                                               | CUSIP: 525951AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16500000 | PA      | $16740372.00   | 0.21%             | 2035-05-21      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-1A, Class A                                                               | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1950000 | PA      | $1971580.46    | 0.02%             | 2032-06-21      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-2A, Class A                                                               | CUSIP: 52603GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5700000 | PA      | $5770329.45    | 0.07%             | 2034-10-20      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-2A, Class C                                                               | CUSIP: 52603GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4055617.20    | 0.05%             | 2034-10-20      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-2A, Class D                                                               | CUSIP: 52603GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7280000 | PA      | $7403513.21    | 0.09%             | 2034-10-20      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                                 | LendingClub Loan Certificate Issuer Trust, Series 2022-P1, Class CERT                                         | CUSIP: 52604KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      50000 | PA      | $86509.60      | 0.00%             | 2037-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class A                                                               | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2100000 | PA      | $2130870.84    | 0.03%             | 2034-09-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class D                                                               | CUSIP: 52604QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3081913.80    | 0.04%             | 2034-09-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                                 | LendingClub Loan Certificate Issuer Trust, Series 2022-P2, Class CERT                                         | CUSIP: 52604WAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      50000 | PA      | $102429.15     | 0.00%             | 2037-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                                   | Lendingpoint Asset Securitization Trust, Series 2022-A, Class D                                               | CUSIP: 52605AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     821760 | PA      | $396878.71     | 0.00%             | 2029-06-15      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                                 | LendingClub Loan Certificate Issuer Trust, Series 2022-NP1, Class CERT                                        | CUSIP: 52606QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      50000 | PA      | $150148.25     | 0.00%             | 2037-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Level 3 Financing, Inc.                                                   | Level 3 Financing, Inc.                                                                                       | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    2946000 | PA      | $3051098.55    | 0.04%             | 2033-06-30      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                                   | Level 3 Financing, Inc.                                                                                       | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    1354581 | PA      | $1408147.19    | 0.02%             | 2034-03-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                       | Lithia Motors, Inc.                                                                                           | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    4065000 | PA      | $3929344.04    | 0.05%             | 2029-06-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                       | Lithia Motors, Inc.                                                                                           | CUSIP: 536797AJ2<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     522000 | PA      | $525278.16     | 0.01%             | 2030-10-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                           | Live Nation Entertainment, Inc.                                                                               | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    6490000 | PA      | $6485844.45    | 0.08%             | 2027-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                           | Live Nation Entertainment, Inc.                                                                               | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2883603.80    | 0.04%             | 2027-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                           | Live Nation Entertainment, Inc.                                                                               | CUSIP: 538034AX7<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     210000 | PA      | $206681.54     | 0.00%             | 2028-01-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                                  | Lloyds Banking Group plc                                                                                      | CUSIP: 53944YBB8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    4287000 | PA      | $4442399.46    | 0.05%             | 2031-09-27      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| LOANDEPOT GMSR Master Trust                                               | LOANDEPOT GMSR Master Trust, Series 2025-GT2, Class A                                                         | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4030706.80    | 0.05%             | 2030-07-16      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Lsf12 Helix Parent LLC                                                    | Lsf12 Helix Parent LLC                                                                                        | CUSIP: 548916AA3<br>LEI: 254900H70V4IL22BHL88 | Long             | DBT              | CORP              | US        |     465000 | PA      | $466805.60     | 0.01%             | 2033-02-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2021-NQM1, Class A1                                                                         | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72343 | PA      | $68347.49      | 0.00%             | 2065-04-25      | Variable      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                                                     | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     320000 | PA      | $319770.76     | 0.00%             | 2026-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                                                     | CUSIP: 552953CF6<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     285000 | PA      | $287596.07     | 0.00%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                                                     | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    1670000 | PA      | $1714151.84    | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                                                     | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    1754000 | PA      | $1802731.38    | 0.02%             | 2029-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MIWD Holdco II LLC                                                        | MIWD Holdco II LLC                                                                                            | CUSIP: 55337PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $562260.47     | 0.01%             | 2030-02-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                                  | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                                           | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $301500.00     | 0.00%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                                            | MSWF Commercial Mortgage Trust, Series 2023-2, Class A5                                                       | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10750000 | PA      | $11739334.33   | 0.14%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2200000 | PA      | $-41763.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    5000000 | PA      | $-79692.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                           | Madison IAQ LLC                                                                                               | CUSIP: 55760LAA5<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6730560.47    | 0.08%             | 2028-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Madison IAQ LLC                                                           | Madison IAQ LLC                                                                                               | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |     810000 | PA      | $808059.97     | 0.01%             | 2029-06-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd.                                                 | Madison Park Funding Ltd., Series 2020-45A, Class BRR                                                         | CUSIP: 55820BAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3530000 | PA      | $3536491.67    | 0.04%             | 2034-07-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd.                                                 | Madison Park Funding Ltd., Series 2020-45A, Class CRR                                                         | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1075000 | PA      | $1075109.65    | 0.01%             | 2034-07-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XLIX Ltd.                                            | Madison Park Funding Ltd., Series 2021-49A, Class B1R                                                         | CUSIP: 55820VAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8050000 | PA      | $8061825.45    | 0.10%             | 2034-10-19      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XXXVIII Ltd.                                         | Madison Park Funding Ltd., Series 2021-38A, Class D1R                                                         | CUSIP: 55821KAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5430000 | PA      | $5329789.35    | 0.07%             | 2038-10-17      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding LII Ltd.                                             | Madison Park Funding Ltd., Series 2021-52A, Class BR                                                          | CUSIP: 55822BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4707646.90    | 0.06%             | 2035-01-22      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Discovery Global Holdings, Inc.                                           | Discovery Global Holdings, Inc.                                                                               | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     228000 | PA      | $227290.92     | 0.00%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Discovery Global Holdings, Inc.                                           | Discovery Global Holdings, Inc.                                                                               | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    1715000 | PA      | $1575656.25    | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Magnetite Ltd.                                                            | Magnetite Ltd., Series 2016-17A, Class BR2                                                                    | CUSIP: 55954EBA6<br>LEI: 5493003SVWF9GG13MZ22 | Long             | ABS-CBDO         | CORP              | KY        |    2208000 | PA      | $2210196.96    | 0.03%             | 2037-04-20      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XL Ltd.                                                         | Magnetite Ltd., Series 2024-40A, Class B1                                                                     | CUSIP: 55955RAE9<br>LEI: 5299008V4F49IY3SSP69 | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2905069.20    | 0.04%             | 2037-07-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Magnetite Ltd.                                                            | Magnetite Ltd., Series 2025-45A, Class E                                                                      | CUSIP: 55956DAA7<br>LEI: 529900IK6R4NURGLMB37 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1973284.00    | 0.02%             | 2038-04-15      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance issuance Trust                                            | Mariner Finance issuance Trust, Series 2024-BA, Class A                                                       | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2044530.00    | 0.03%             | 2038-11-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance issuance Trust                                            | Mariner Finance issuance Trust, Series 2024-BA, Class C                                                       | CUSIP: 56847GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     635000 | PA      | $657674.39     | 0.01%             | 2038-11-20      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                    | Marlette Funding Trust, Series 2023-1A, Class C                                                               | CUSIP: 57110PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27890 | PA      | $27921.90      | 0.00%             | 2033-04-15      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Masterbrand, Inc.                                                         | Masterbrand, Inc.                                                                                             | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1459327.85    | 0.02%             | 2032-07-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Matador Resources Co.                                                     | Matador Resources Co.                                                                                         | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    3017000 | PA      | $3070524.60    | 0.04%             | 2033-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Matador Resources Co.                                                     | Matador Resources Co.                                                                                         | CUSIP: 576485AJ5<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |     558000 | PA      | $557326.83     | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                    | Mauser Packaging Solutions Holding Co.                                                                        | CUSIP: 57763RAE7<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    5365000 | PA      | $5492418.75    | 0.07%             | 2030-04-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                    | Mauser Packaging Solutions Holding Co.                                                                        | CUSIP: 57763RAF4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     455000 | PA      | $448317.69     | 0.01%             | 2030-04-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2024-NPL1, Class A1                                                                         | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5890895 | PA      | $5900947.18    | 0.07%             | 2054-09-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Medline Borrower LP                                                       | Medline Borrower LP                                                                                           | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     863000 | PA      | $890591.84     | 0.01%             | 2029-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   16459000 | PA      | $-95788.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   16460000 | PA      | $-93571.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   12345000 | PA      | $-69039.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   11043000 | PA      | $-64559.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                                               | Merchants Fleet Funding LLC, Series 2025-1A, Class D                                                          | CUSIP: 588926AP0<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    3750000 | PA      | $3800454.38    | 0.05%             | 2039-01-20      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                                | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class A                                           | CUSIP: 58940BBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7550000 | PA      | $7581261.53    | 0.09%             | 2032-02-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                                | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class B                                           | CUSIP: 58940BBL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1890000 | PA      | $1897355.50    | 0.02%             | 2032-02-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| MetLife, Inc.                                                             | MetLife, Inc.                                                                                                 | CUSIP: 59156RCR7<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    1819000 | PA      | $1806166.41    | 0.02%             | 2056-03-15      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM5, Class A1A                                                                        | CUSIP: 59319DAA1<br>LEI: 25490048OKUKCESK4V59 | Long             | ABS-MBS          | CORP              | US        |    7715163 | PA      | $7776893.17    | 0.10%             | 2070-11-25      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2024-RTL3, Class A1                                                                         | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6845000 | PA      | $6885569.63    | 0.08%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Stagwell Global LLC                                                       | Stagwell Global LLC                                                                                           | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3530266.88    | 0.04%             | 2029-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Midcontinent Communications                                               | Midcontinent Communications                                                                                   | CUSIP: 59565XAD2<br>LEI: 549300ZI9GDQBS28C408 | Long             | DBT              | CORP              | US        |     418000 | PA      | $393732.22     | 0.00%             | 2032-08-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Millicom International Cellular SA                                        | Millicom International Cellular SA                                                                            | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $372217.76     | 0.00%             | 2031-04-27      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Millrose Properties, Inc.                                                 | Millrose Properties, Inc.                                                                                     | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1378000 | PA      | $1413690.20    | 0.02%             | 2030-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Millrose Properties, Inc.                                                 | Millrose Properties, Inc.                                                                                     | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     673000 | PA      | $681441.44     | 0.01%             | 2032-09-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| AthenaHealth Group, Inc.                                                  | AthenaHealth Group, Inc.                                                                                      | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    3225000 | PA      | $3032354.63    | 0.04%             | 2030-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Miter Brands Acquisition Holdco, Inc.                                     | Miter Brands Acquisition Holdco, Inc.                                                                         | CUSIP: 60672JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1445000 | PA      | $1456994.95    | 0.02%             | 2032-04-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Molina Healthcare, Inc.                                                   | Molina Healthcare, Inc.                                                                                       | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     678000 | PA      | $680166.21     | 0.01%             | 2031-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D                                  | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1007432 | PA      | $978720.47     | 0.01%             | 2050-07-15      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D                                  | CUSIP: 61690VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3404781 | PA      | $3260009.97    | 0.04%             | 2048-10-15      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-H1, Class D                                                       | CUSIP: 61691JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3771000 | PA      | $3267058.64    | 0.04%             | 2050-06-15      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class D                                  | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2165017 | PA      | $2127453.75    | 0.03%             | 2047-12-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2016-UBS9, Class B                                                     | CUSIP: 61766CAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4876297.50    | 0.06%             | 2049-03-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28, Class C                                  | CUSIP: 61766LBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     745000 | PA      | $641758.50     | 0.01%             | 2049-01-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class D                                  | CUSIP: 61766RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9685000 | PA      | $7746358.39    | 0.10%             | 2049-11-15      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class C                                  | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5100000 | PA      | $4748306.55    | 0.06%             | 2049-11-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C                                  | CUSIP: 61767EAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     595000 | PA      | $528823.80     | 0.01%             | 2052-11-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class D                                  | CUSIP: 61767EAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1489000 | PA      | $1126424.93    | 0.01%             | 2052-11-15      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-L2, Class C                                                       | CUSIP: 61768HBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3245000 | PA      | $2886312.63    | 0.04%             | 2052-03-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2020-L4, Class D                                                       | CUSIP: 61770KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $387526.75     | 0.00%             | 2053-02-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-146842.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                       | Medline Borrower LP                                                                                           | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    5670000 | PA      | $5576509.64    | 0.07%             | 2029-04-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Medline Borrower LP                                                       | Medline Borrower LP                                                                                           | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    3885000 | PA      | $3884691.53    | 0.05%             | 2029-10-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $123443.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                          | Multi-Family Connecticut Avenue Securities Trust, Series 2019-01, Class M10                                   | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   19073002 | PA      | $19364735.51   | 0.24%             | 2049-10-25      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                          | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                                    | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |    2339756 | PA      | $2404739.26    | 0.03%             | 2053-11-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                          | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M10                                   | CUSIP: 62548NAB4<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   22985000 | PA      | $26404480.75   | 0.32%             | 2053-11-25      | Floating      | 10.17%                | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                          | Multi-Family Connecticut Avenue Securities Trust, Series 2020-01, Class M10                                   | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   24419344 | PA      | $24781038.32   | 0.30%             | 2050-03-25      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                          | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                                    | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |     326990 | PA      | $330783.81     | 0.00%             | 2054-07-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                          | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M10                                   | CUSIP: 62548RAB5<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $309868.92     | 0.00%             | 2054-07-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                           | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class M1                                    | CUSIP: 62549CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8994093 | PA      | $9138590.34    | 0.11%             | 2055-05-25      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                           | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class M2                                    | CUSIP: 62549CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3606486.48    | 0.04%             | 2055-05-25      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                           | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class B1                                    | CUSIP: 62549CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $733107.27     | 0.01%             | 2055-05-25      | Floating      | 8.87%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-196010.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $508242.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $324489.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $83723.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1297953.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16223.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-195932.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $73996.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $22567.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NCR Voyix Corp.                                                           | NCR Voyix Corp.                                                                                               | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    3729000 | PA      | $3658756.83    | 0.04%             | 2029-04-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| NCL Corp. Ltd.                                                            | NCL Corp. Ltd.                                                                                                | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     712000 | PA      | $719497.36     | 0.01%             | 2031-01-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| NGL Energy Operating LLC                                                  | NGL Energy Operating LLC                                                                                      | CUSIP: 62922LAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1416000 | PA      | $1467497.09    | 0.02%             | 2029-02-15      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| NGL Energy Operating LLC                                                  | NGL Energy Operating LLC                                                                                      | CUSIP: 62922LAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1019000 | PA      | $1068831.14    | 0.01%             | 2032-02-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                              | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $4274701.61    | 0.05%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                              | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     560000 | PA      | $561953.84     | 0.01%             | 2029-06-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                              | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $1963367.12    | 0.02%             | 2031-02-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                              | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1221000 | PA      | $1250564.70    | 0.02%             | 2033-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                              | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1019000 | PA      | $1032966.41    | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                              | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1019000 | PA      | $1037099.48    | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                    | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                                             | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     146536 | PA      | $145221.09     | 0.00%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                                       | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                                                                | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8192890 | PA      | $8377408.85    | 0.10%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                              | Nasdaq, Inc.                                                                                                  | CUSIP: 63111XAH4<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     724000 | PA      | $745492.87     | 0.01%             | 2028-06-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-71958.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $142635.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $489584.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-74536.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $37387.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-92565.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-39536.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $105545.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-248543.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5169.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NCR Atleos Corp.                                                          | NCR Atleos Corp.                                                                                              | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |    3454000 | PA      | $3709257.51    | 0.05%             | 2029-04-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                         | NatWest Group plc                                                                                             | CUSIP: 639057AQ1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    1710000 | PA      | $1928507.22    | 0.02%             | 2033-11-10      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US, Inc.                                                    | Neptune Bidco US, Inc.                                                                                        | CUSIP: 640695AD4<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |     854000 | PA      | $835887.33     | 0.01%             | 2033-02-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-74455.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-240932.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO Ltd.                                   | Neuberger Berman Loan Advisers CLO Ltd., Series 2019-34A, Class BR2                                           | CUSIP: 64132YBJ0<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3315011.70    | 0.04%             | 2039-07-20      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.                                | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class BR2                                           | CUSIP: 64133RAW6<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4706598.80    | 0.06%             | 2036-10-20      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.                                | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class CR2                                           | CUSIP: 64133RAY2<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2500192.50    | 0.03%             | 2036-10-20      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.                                | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class BR                                            | CUSIP: 64133WAQ8<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |    2260000 | PA      | $2262063.38    | 0.03%             | 2036-07-16      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.                                | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class CR                                            | CUSIP: 64133WAS4<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4405918.00    | 0.05%             | 2036-07-16      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $65983.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-526.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7046.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-248599.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $41266.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-70890.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2018-3A, Class A1C                                                | CUSIP: 64830KAE7<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |     188977 | PA      | $178624.30     | 0.00%             | 2058-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1                                               | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126402 | PA      | $121927.35     | 0.00%             | 2059-11-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class F                                                | CUSIP: 64830RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4870399.50    | 0.06%             | 2039-09-04      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E1                                               | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     168000 | PA      | $164441.24     | 0.00%             | 2039-02-17      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class F                                                | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2850000 | PA      | $2800803.87    | 0.03%             | 2039-02-17      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM7, Class A1A                                              | CUSIP: 64831YAC0<br>LEI: 2138008C4H1F2CU67V53 | Long             | ABS-MBS          | CORP              | US        |   14626759 | PA      | $14687790.18   | 0.18%             | 2065-10-26      | Variable      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                                                 | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                                                          | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6335268 | PA      | $6453718.52    | 0.08%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                               | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    5295747 | PA      | $5362240.74    | 0.07%             | 2065-07-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM5, Class A1                                               | CUSIP: 64832GAC8<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-MBS          | CORP              | US        |    5717886 | PA      | $5764729.69    | 0.07%             | 2065-08-25      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| NRZT                                                                      | NRZT, Series 2025-NQM6, Class A1                                                                              | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5045231 | PA      | $5081347.77    | 0.06%             | 2065-10-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class A1A                                              | CUSIP: 64832LAC7<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   18924862 | PA      | $18947225.63   | 0.23%             | 2065-11-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2026-NQM2, Class M1                                               | CUSIP: 64832MAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1850000 | PA      | $1869590.76    | 0.02%             | 2065-12-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| New York City Housing Development Corp.                                   | New York City Housing Development Corp., Multi-Family Mortgage, 8 Spruce Street Project, Series 2024, Class A | CUSIP: 64966TGS7<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |    5566000 | PA      | $5764300.44    | 0.07%             | 2031-12-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corp.                                   | New York City Housing Development Corp., Multi-Family Mortgage, 8 Spruce Street Project, Series 2024, Class B | CUSIP: 64966TGT5<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     650000 | PA      | $676261.89     | 0.01%             | 2031-12-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                       | Newell Brands, Inc.                                                                                           | CUSIP: 651229AX4<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     250000 | PA      | $252310.75     | 0.00%             | 2036-04-01      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                       | Newell Brands, Inc.                                                                                           | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    1422000 | PA      | $1421932.88    | 0.02%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                       | Newell Brands, Inc.                                                                                           | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    2860000 | PA      | $2868771.62    | 0.04%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                       | Newell Brands, Inc.                                                                                           | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    1007000 | PA      | $1059969.63    | 0.01%             | 2028-06-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                    | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                             | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      51413 | PA      | $50694.61      | 0.00%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                                       | Nexstar Media, Inc.                                                                                           | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    1425000 | PA      | $1418018.78    | 0.02%             | 2028-11-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                     | NextEra Energy Capital Holdings, Inc.                                                                         | CUSIP: 65339KCW8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     680000 | PA      | $706071.88     | 0.01%             | 2054-09-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                     | NextEra Energy Capital Holdings, Inc.                                                                         | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    1344000 | PA      | $1395993.98    | 0.02%             | 2055-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                                       | Nexstar Media, Inc.                                                                                           | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6820641.08    | 0.08%             | 2027-07-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| NGF Holdings LLC                                                          | NGF Holdings LLC                                                                                              | CUSIP: 65346FAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15066000.00   | 0.18%             | 2029-12-23      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: 65412AFD9<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1400000 | PA      | $1668765.00    | 0.02%             | 2034-12-09      | Fixed         | 10.38%                | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: 65412AFG2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    2530000 | PA      | $2752640.00    | 0.03%             | 2046-01-13      | Fixed         | 9.13%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: 65412JAR4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1000000 | PA      | $1008130.00    | 0.01%             | 2028-09-28      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                            | NiSource, Inc.                                                                                                | CUSIP: 65473PAR6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    1590000 | PA      | $1661279.70    | 0.02%             | 2054-11-30      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                           | Nordstrom, Inc.                                                                                               | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     530000 | PA      | $493876.58     | 0.01%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $39330.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-32666.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                           | Madison IAQ LLC, 1st Lien Term Loan                                                                           | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |     494832 | PA      | $494926.06     | 0.01%             | 2028-06-21      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                      | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    5735000 | PA      | $5765515.94    | 0.07%             | 2027-06-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                      | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     270000 | PA      | $264935.55     | 0.00%             | 2029-05-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                      | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAT6<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     710000 | PA      | $743284.80     | 0.01%             | 2028-11-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                      | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAU3<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     871000 | PA      | $925312.95     | 0.01%             | 2030-02-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2022-SFR3, Class F                                                                         | CUSIP: 66981YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4200000 | PA      | $4064751.18    | 0.05%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                             | Novelis Corp.                                                                                                 | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    5379000 | PA      | $5197996.65    | 0.06%             | 2030-01-30      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                             | Novelis Corp.                                                                                                 | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    1376000 | PA      | $1257524.61    | 0.02%             | 2031-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                             | Novelis Corp.                                                                                                 | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     493000 | PA      | $508913.05     | 0.01%             | 2030-01-30      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                             | Novelis Corp.                                                                                                 | CUSIP: 670001AN6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     627000 | PA      | $633824.27     | 0.01%             | 2033-08-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| NuStar Logistics LP                                                       | NuStar Logistics LP                                                                                           | CUSIP: 67059TAE5<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1191297.32    | 0.01%             | 2027-04-28      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                                       | NuStar Logistics LP                                                                                           | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     225000 | PA      | $225036.23     | 0.00%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                                       | NuStar Logistics LP                                                                                           | CUSIP: 67059TAH8<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $2189911.36    | 0.03%             | 2030-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                    | OCP SA                                                                                                        | CUSIP: 67091TAG0<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |    1500000 | PA      | $1682942.55    | 0.02%             | 2054-05-02      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| OCP SA                                                                    | OCP SA                                                                                                        | CUSIP: 67091TAJ4<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |    1260000 | PA      | $1359288.00    | 0.02%             | 2036-03-01      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC                                  | OnDeck Asset Securitization Trust LLC, Series 2023-1A, Class A                                                | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     468000 | PA      | $471650.91     | 0.01%             | 2030-08-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC                                  | OnDeck Asset Securitization Trust LLC, Series 2024-2A, Class A                                                | CUSIP: 67108SAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $604731.06     | 0.01%             | 2031-10-17      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC                                  | OnDeck Asset Securitization Trust LLC, Series 2024-2A, Class B                                                | CUSIP: 67108SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $401899.64     | 0.00%             | 2031-10-17      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2022-25A, Class B1R                                                                      | CUSIP: 67115CAQ7<br>LEI: 254900V271655KJK1382 | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1402734.20    | 0.02%             | 2037-07-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2023-NQM3, Class A1                                                                         | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     383157 | PA      | $382579.44     | 0.00%             | 2063-02-25      | Variable      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2023-NQM6, Class A1                                                                         | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193498 | PA      | $194246.37     | 0.00%             | 2063-07-25      | Variable      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2023-NQM7, Class A1                                                                         | CUSIP: 67117XAA4<br>LEI: 254900K7TTKPUWNMSZ83 | Long             | ABS-MBS          | CORP              | US        |     389368 | PA      | $392528.83     | 0.00%             | 2063-04-25      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                                           | NYMT Loan Trust, Series 2024-BPL3, Class A1                                                                   | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |     624799 | PA      | $624927.81     | 0.01%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2025-NQM2, Class A1                                                                         | CUSIP: 67120VAA3<br>LEI: 2549006BC0G3YEF5SL09 | Long             | ABS-MBS          | CORP              | US        |    5626317 | PA      | $5685917.31    | 0.07%             | 2064-11-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2025-NQM10, Class A1                                                                        | CUSIP: 67121LAA4<br>LEI: 254900NDJVO62R77II89 | Long             | ABS-MBS          | CORP              | US        |    2889155 | PA      | $2918693.15    | 0.04%             | 2065-05-25      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2026-NQM2, Class A1A                                                                        | CUSIP: 67123VAD4<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-MBS          | CORP              | US        |   15240079 | PA      | $15284418.76   | 0.19%             | 2065-12-01      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2026-NQM2, Class A1B                                                                        | CUSIP: 67123VAE2<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-MBS          | CORP              | US        |    4476835 | PA      | $4481186.30    | 0.06%             | 2065-12-01      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Chord Energy Corp.                                                        | Chord Energy Corp.                                                                                            | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     945000 | PA      | $981472.28     | 0.01%             | 2033-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Chord Energy Corp.                                                        | Chord Energy Corp.                                                                                            | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    1454000 | PA      | $1485261.52    | 0.02%             | 2030-10-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Octagon 64 Ltd.                                                           | Octagon Ltd., Series 2022-1A, Class DR                                                                        | CUSIP: 67579ABE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16800000 | PA      | $16684785.60   | 0.20%             | 2037-07-21      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 36 Ltd.                                       | Octagon Investment Partners Ltd., Series 2018-1A, Class C                                                     | CUSIP: 67591UAJ6<br>LEI: 549300S890TBOLY1D042 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2002090.00    | 0.02%             | 2031-04-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| OCP Aegis CLO Ltd.                                                        | OCP Aegis CLO Ltd., Series 2025-41A, Class B1                                                                 | CUSIP: 675953AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4302132.80    | 0.05%             | 2037-04-21      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| ON Semiconductor Corp.                                                    | ON Semiconductor Corp.                                                                                        | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1654355.53    | 0.02%             | 2028-09-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| 1011778 BC ULC                                                            | 1011778 BC ULC                                                                                                | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1835000 | PA      | $1811822.85    | 0.02%             | 2028-01-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| 1011778 BC ULC                                                            | 1011778 BC ULC                                                                                                | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1225000 | PA      | $1176375.83    | 0.01%             | 2030-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                                     | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D                                                | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1522000 | PA      | $1594339.75    | 0.02%             | 2037-07-14      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                     | OneMain Finance Corp.                                                                                         | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    2595000 | PA      | $2510997.51    | 0.03%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Onemain Financial Issuance Trust                                          | Onemain Financial Issuance Trust, Series 2025-1A, Class D                                                     | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1550013.45    | 0.02%             | 2038-07-14      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Altar Bidco, Inc.                                                         | Altar Bidco, Inc., 1st Lien Term Loan B                                                                       | CUSIP: 02090CAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     770978 | PA      | $765388.76     | 0.01%             | 2029-02-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd.                                                           | 1261229 BC Ltd.                                                                                               | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    2241000 | PA      | $2317491.27    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                                     | Oportun Funding Trust, Series 2024-3, Class B                                                                 | CUSIP: 68377NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     628000 | PA      | $628843.66     | 0.01%             | 2029-08-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Fibercop SpA                                                              | Fibercop SpA                                                                                                  | CUSIP: 683879AD2<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $196048.74     | 0.00%             | 2034-09-30      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                    | Oportun Issuance Trust, Series 2026-A, Class B                                                                | CUSIP: 68390VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7300000 | PA      | $7342607.91    | 0.09%             | 2034-01-09      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                    | Oportun Issuance Trust, Series 2026-A, Class C                                                                | CUSIP: 68390VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4210000 | PA      | $4238154.80    | 0.05%             | 2034-01-09      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Organon & Co.                                                             | Organon & Co.                                                                                                 | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3795000 | PA      | $3725420.76    | 0.05%             | 2028-04-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Organon & Co.                                                             | Organon & Co.                                                                                                 | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     980000 | PA      | $870833.39     | 0.01%             | 2031-04-30      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Outfront Media Capital LLC                                                | Outfront Media Capital LLC                                                                                    | CUSIP: 69007TAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4020000 | PA      | $3944383.80    | 0.05%             | 2029-01-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Outfront Media Capital LLC                                                | Outfront Media Capital LLC                                                                                    | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     505000 | PA      | $530902.72     | 0.01%             | 2031-02-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Accendra Health, Inc.                                                     | Accendra Health, Inc.                                                                                         | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $738650.66     | 0.01%             | 2029-03-31      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Owens-Brockway Glass Container, Inc.                                      | Owens-Brockway Glass Container, Inc.                                                                          | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    1085000 | PA      | $1085774.69    | 0.01%             | 2027-05-13      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| AthenaHealth Group, Inc.                                                  | AthenaHealth Group, Inc., 1st Lien Term Loan                                                                  | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    1239102 | PA      | $1205026.68    | 0.01%             | 2029-02-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                  | PRPM LLC, Series 2025-4, Class A1                                                                             | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1766028 | PA      | $1767761.38    | 0.02%             | 2030-06-25      | Variable      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                            | PMT Loan Trust, Series 2025-INV6, Class A2                                                                    | CUSIP: 69382MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6866130 | PA      | $7010428.54    | 0.09%             | 2056-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                            | PMT Loan Trust, Series 2025-INV10, Class A2                                                                   | CUSIP: 69383EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9582316 | PA      | $9699478.91    | 0.12%             | 2056-10-01      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                            | PMT Loan Trust, Series 2026-INV2, Class A2                                                                    | CUSIP: 69383NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25450000 | PA      | $25762159.52   | 0.32%             | 2057-01-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Pret LLC                                                                  | PRET LLC, Series 2025-NPL2, Class A1                                                                          | CUSIP: 69392JAA7<br>LEI: 254900S0KCA0ULKWBW61 | Long             | ABS-O            | CORP              | US        |    7533182 | PA      | $7540305.04    | 0.09%             | 2055-03-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                  | PRPM LLC, Series 2025-RPL2, Class A1                                                                          | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1667280 | PA      | $1637942.12    | 0.02%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                                                | PRM5 Trust, Series 2025-PRM5, Class C                                                                         | CUSIP: 693980AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1590000 | PA      | $1595135.54    | 0.02%             | 2033-03-10      | Variable      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                                                | PRM5 Trust, Series 2025-PRM5, Class D                                                                         | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1530000 | PA      | $1537379.96    | 0.02%             | 2033-03-10      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                            | Pagaya AI Debt Selection Trust, Series 2021-3, Class C                                                        | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     170122 | PA      | $168230.76     | 0.00%             | 2029-05-15      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                              | Islamic Republic of Pakistan                                                                                  | CUSIP: 695847AS2<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |    1100000 | PA      | $1098900.00    | 0.01%             | 2026-04-08      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2021-2A, Class BR                                                              | CUSIP: 69701XAN4<br>LEI: 254900HTQ89UZTKY6247 | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4310934.90    | 0.05%             | 2038-02-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2025-1A, Class E                                                               | CUSIP: 69703UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     765000 | PA      | $715131.95     | 0.01%             | 2038-04-20      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                            | CUSIP: 698299BZ6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    2500000 | PA      | $3015000.00    | 0.04%             | 2057-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                            | CUSIP: 698299CC6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     858000 | PA      | $861667.95     | 0.01%             | 2038-02-23      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                                    | Republic of Paraguay                                                                                          | CUSIP: 699149AH3<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    4100000 | PA      | $3870400.00    | 0.05%             | 2050-03-30      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                                   | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAP9<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     110000 | PA      | $108044.70     | 0.00%             | 2029-08-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Peace Park CLO Ltd.                                                       | Peace Park CLO Ltd., Series 2021-1A, Class BR                                                                 | CUSIP: 70470MAS4<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |    5400000 | PA      | $5411113.20    | 0.07%             | 2038-10-20      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Penske Automotive Group, Inc.                                             | Penske Automotive Group, Inc.                                                                                 | CUSIP: 70959WAK9<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |     349000 | PA      | $337526.87     | 0.00%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Performance Food Group, Inc.                                              | Performance Food Group, Inc.                                                                                  | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    3540000 | PA      | $3473202.68    | 0.04%             | 2029-08-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Performance Food Group, Inc.                                              | Performance Food Group, Inc.                                                                                  | CUSIP: 71376LAH3<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |     646000 | PA      | $648161.21     | 0.01%             | 2034-03-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                           | Permian Resources Operating LLC                                                                               | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    1131000 | PA      | $1171129.67    | 0.01%             | 2033-02-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Petco Health & Wellness Co., Inc.                                         | Petco Health & Wellness Co., Inc.                                                                             | CUSIP: 71601VAA3<br>LEI: 2549007TYGV6RVSE9M61 | Long             | DBT              | CORP              | US        |     422000 | PA      | $412139.70     | 0.01%             | 2031-02-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    8390000 | PA      | $8414331.00    | 0.10%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     410000 | PA      | $339367.25     | 0.00%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    8500000 | PA      | $7067750.00    | 0.09%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   17150000 | PA      | $15575630.00   | 0.19%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    1000000 | PA      | $979000.00     | 0.01%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    2000000 | PA      | $1646470.00    | 0.02%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    2000000 | PA      | $2151760.00    | 0.03%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    4650000 | PA      | $5447269.47    | 0.07%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                                     | Petroleos del Peru SA                                                                                         | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | NUSS              | PE        |    1600000 | PA      | $1023466.72    | 0.01%             | 2047-06-19      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| PetSmart LLC                                                              | PetSmart LLC                                                                                                  | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2325000 | PA      | $2352621.00    | 0.03%             | 2032-09-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                          | Planet Fitness Master Issuer LLC, Series 2025-1A, Class A2II                                                  | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    2670000 | PA      | $2681955.99    | 0.03%             | 2055-12-06      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                            | PMT Loan Trust, Series 2025-INV5, Class A2                                                                    | CUSIP: 729907AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3871114 | PA      | $3952469.42    | 0.05%             | 2056-05-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                            | PMT Loan Trust, Series 2025-J1, Class A1                                                                      | CUSIP: 729910AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13567460 | PA      | $13793575.00   | 0.17%             | 2055-04-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                       | Post Holdings, Inc.                                                                                           | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    6065000 | PA      | $5936719.19    | 0.07%             | 2030-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                       | Post Holdings, Inc.                                                                                           | CUSIP: 737446AU8<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    2171000 | PA      | $2233301.19    | 0.03%             | 2032-02-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Prestige Brands, Inc.                                                     | Prestige Brands, Inc.                                                                                         | CUSIP: 74112BAL9<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1149165.33    | 0.01%             | 2028-01-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                                  | PRET LLC, Series 2025-NPL4, Class A1                                                                          | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5086697 | PA      | $5098252.08    | 0.06%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                                  | PRET LLC, Series 2025-NPL3, Class A1                                                                          | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6596953 | PA      | $6617942.44    | 0.08%             | 2055-04-25      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                                  | PRET LLC, Series 2025-NPL5, Class A1                                                                          | CUSIP: 74143LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5239401 | PA      | $5258984.13    | 0.06%             | 2055-05-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC                                      | Prime Security Services Borrower LLC                                                                          | CUSIP: 74166MAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      56000 | PA      | $56111.94      | 0.00%             | 2026-04-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC                                      | Prime Security Services Borrower LLC                                                                          | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4225000 | PA      | $4157969.53    | 0.05%             | 2027-08-31      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2023-SFR1, Class E1                                                        | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     736000 | PA      | $737342.39     | 0.01%             | 2040-03-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                          | Provident Funding Mortgage Trust, Series 2025-3, Class A1                                                     | CUSIP: 74388PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20713319 | PA      | $20977745.40   | 0.26%             | 2055-08-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                          | Provident Funding Mortgage Trust, Series 2025-2, Class A1                                                     | CUSIP: 74389DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2842520 | PA      | $2889893.31    | 0.04%             | 2055-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Provincia de Cordoba                                                      | Provincia de Cordoba                                                                                          | CUSIP: 74408DAG9<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |    1851000 | PA      | $1809630.15    | 0.02%             | 2035-02-03      | Fixed         | 8.60%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                  | PRPM LLC, Series 2024-8, Class A2                                                                             | CUSIP: 74448KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2019166.40    | 0.02%             | 2029-12-25      | Variable      | 8.84%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                  | PRPM LLC, Series 2024-7, Class A1                                                                             | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1572239 | PA      | $1573427.59    | 0.02%             | 2029-11-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| PRPM                                                                      | PRPM, Series 2025-3, Class A1                                                                                 | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1766802 | PA      | $1766561.87    | 0.02%             | 2030-05-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                                   | Purewest ABS Issuer LLC, Series 2025-1, Class A2                                                              | CUSIP: 74628AAB0<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |    1980465 | PA      | $2030768.95    | 0.02%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| Purewest ABS Issuer LLC                                                   | Purewest ABS Issuer LLC, Series 2025-1, Class B                                                               | CUSIP: 74628AAC8<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |    4641033 | PA      | $4647066.27    | 0.06%             | 2040-04-05      | Fixed         | 10.28%                | Yes           |                  3 | On Loan: No      |
| Qnity Electronics, Inc.                                                   | Qnity Electronics, Inc.                                                                                       | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    2362000 | PA      | $2416719.32    | 0.03%             | 2032-08-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                                                   | Qnity Electronics, Inc.                                                                                       | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    1155000 | PA      | $1199235.96    | 0.01%             | 2033-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| QXO Building Products, Inc.                                               | QXO Building Products, Inc.                                                                                   | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    2037000 | PA      | $2109753.49    | 0.03%             | 2032-04-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                       | Rocket Mortgage LLC                                                                                           | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4318000 | PA      | $4160267.35    | 0.05%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                   | Quikrete Holdings, Inc.                                                                                       | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    4906000 | PA      | $5098795.99    | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                                   | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4945000 | PA      | $4943874.07    | 0.06%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                                   | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     565000 | PA      | $557236.27     | 0.01%             | 2029-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                                   | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1201401.63    | 0.01%             | 2028-07-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                                   | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1634947.66    | 0.02%             | 2032-04-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                                   | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     873000 | PA      | $906863.67     | 0.01%             | 2033-06-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class A                                                                         | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5486012 | PA      | $5677784.33    | 0.07%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class D                                                                         | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11115000 | PA      | $11736488.56   | 0.14%             | 2041-11-13      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class E                                                                         | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20400000 | PA      | $21831588.36   | 0.27%             | 2041-11-13      | Fixed         | 8.82%                 | Yes           |                  2 | On Loan: No      |
| RR 19 Ltd.                                                                | RR 19 Ltd., Series 2021-19A, Class DR                                                                         | CUSIP: 74983BAJ0<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1629722.00    | 0.02%             | 2040-04-15      | Floating      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                                   | RHP Hotel Properties LP                                                                                       | CUSIP: 74984CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     387000 | PA      | $389823.55     | 0.00%             | 2034-03-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Radiology Partners, Inc.                                                  | Radiology Partners, Inc.                                                                                      | CUSIP: 75041VAE4<br>LEI: 549300SFTAG2177WUZ08 | Long             | DBT              | CORP              | US        |    2777000 | PA      | $2859421.36    | 0.04%             | 2032-07-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Range Resources Corp.                                                     | Range Resources Corp.                                                                                         | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |     693000 | PA      | $686075.47     | 0.01%             | 2030-02-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Raven Acquisition Holdings LLC                                            | Raven Acquisition Holdings LLC                                                                                | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1061000 | PA      | $1021259.96    | 0.01%             | 2031-11-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| RCO X Mortgage LLC                                                        | RCO X Mortgage LLC, Series 2025-1, Class A1                                                                   | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3367255 | PA      | $3383918.93    | 0.04%             | 2030-01-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Holdings LLC                                                     | ReadyCap Holdings LLC, Series QIB                                                                             | CUSIP: 755763AE9<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4959149.30    | 0.06%             | 2028-03-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Anywhere Real Estate Group LLC                                            | Anywhere Real Estate Group LLC                                                                                | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     853000 | PA      | $840854.22     | 0.01%             | 2029-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Anywhere Real Estate Group LLC                                            | Anywhere Real Estate Group LLC                                                                                | CUSIP: 75606DAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     980000 | PA      | $926970.98     | 0.01%             | 2030-04-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Anywhere Real Estate Group LLC                                            | Anywhere Real Estate Group LLC                                                                                | CUSIP: 75606DAV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1138000 | PA      | $1226207.52    | 0.02%             | 2030-04-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                                       | Regal Rexnord Corp.                                                                                           | CUSIP: 758750AP8<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |      97000 | PA      | $105470.60     | 0.00%             | 2033-04-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2024-A, Class A                                                       | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2563000 | PA      | $2587881.60    | 0.03%             | 2032-08-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2024-B, Class A                                                       | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3631000 | PA      | $3708601.01    | 0.05%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| RFT TRUST                                                                 | RFT TRUST, Series 2024-2, Class A1                                                                            | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2930606 | PA      | $2931444.06    | 0.04%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| RFT TRUST                                                                 | RFT TRUST, Series 2024-2, Class A2                                                                            | CUSIP: 76201AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2930606 | PA      | $2927895.10    | 0.04%             | 2028-09-27      | Variable      | 8.81%                 | Yes           |                  2 | On Loan: No      |
| MH Sub I LLC                                                              | MH Sub I LLC, 1st Lien Term Loan                                                                              | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |     445027 | PA      | $360102.51     | 0.00%             | 2028-05-03      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| RingCentral, Inc.                                                         | RingCentral, Inc.                                                                                             | CUSIP: 76680RAJ6<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    1315000 | PA      | $1380797.34    | 0.02%             | 2030-08-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                                  | RB Global Holdings, Inc.                                                                                      | CUSIP: 76774LAB3<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |     805000 | PA      | $817994.31     | 0.01%             | 2028-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                                  | RB Global Holdings, Inc.                                                                                      | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    1179000 | PA      | $1225765.04    | 0.02%             | 2031-03-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Rivers Enterprise Borrower LLC                                            | Rivers Enterprise Borrower LLC                                                                                | CUSIP: 76884GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $102177.52     | 0.00%             | 2030-10-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                         | Rocket Cos., Inc.                                                                                             | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1825000 | PA      | $1872366.05    | 0.02%             | 2030-08-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                         | Rocket Cos., Inc.                                                                                             | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     988000 | PA      | $1021117.62    | 0.01%             | 2033-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                       | Rocket Mortgage LLC                                                                                           | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     565000 | PA      | $558071.91     | 0.01%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                              | Rockies Express Pipeline LLC                                                                                  | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    1168000 | PA      | $1230399.23    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                                   | Romania Government Bond                                                                                       | CUSIP: 77586RAW0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3400000 | PA      | $3851554.00    | 0.05%             | 2037-02-10      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                              | Royal Caribbean Cruises Ltd.                                                                                  | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2022000 | PA      | $2108636.03    | 0.03%             | 2032-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                              | Royal Caribbean Cruises Ltd.                                                                                  | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     560000 | PA      | $580126.51     | 0.01%             | 2033-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                              | Royal Caribbean Cruises Ltd.                                                                                  | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     695000 | PA      | $716403.70     | 0.01%             | 2031-09-30      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of Rwanda                                                        | Republic of Rwanda                                                                                            | CUSIP: 78347YAL7<br>LEI: 213800DQC28OBRZDYJ87 | Long             | DBT              | NUSS              | RW        |    4000000 | PA      | $3751240.00    | 0.05%             | 2031-08-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class B                                                                          | CUSIP: 784234AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2004293.60    | 0.02%             | 2041-10-15      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                                 | SCF Equipment Leasing LLC, Series 2025-2A, Class D                                                            | CUSIP: 78439XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2770000 | PA      | $2824217.76    | 0.03%             | 2036-06-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                                 | SCF Equipment Leasing LLC, Series 2025-2A, Class E                                                            | CUSIP: 78439XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3920000 | PA      | $4075609.89    | 0.05%             | 2036-06-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                          | SLG Office Trust, Series 2021-OVA, Class A                                                                    | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6300000 | PA      | $5744932.83    | 0.07%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     960000 | PA      | $960840.96     | 0.01%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1685000 | PA      | $1686223.31    | 0.02%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     260000 | PA      | $261470.56     | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1178000 | PA      | $1204454.35    | 0.01%             | 2029-08-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 78454LAY6<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1004000 | PA      | $1022392.28    | 0.01%             | 2032-08-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                                   | SS&C Technologies, Inc.                                                                                       | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |    6048000 | PA      | $6038904.41    | 0.07%             | 2027-09-30      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                                   | SS&C Technologies, Inc.                                                                                       | CUSIP: 78466CAD8<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |     545000 | PA      | $555492.34     | 0.01%             | 2032-06-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class G                                                                         | CUSIP: 78472UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1677683 | PA      | $1676735.45    | 0.02%             | 2038-11-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| SRT Issuer II LLC                                                         | SRT Issuer LLC                                                                                                | CUSIP: 78475DAE3<br>LEI: 2549005TCDBHPK8XA750 | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7503282.60    | 0.09%             | 2031-12-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SRT Issuer I LLC                                                          | SRT Issuer I LLC                                                                                              | CUSIP: 78475KAC1<br>LEI: 2549007PUYUQCDX9UC96 | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7490625.00    | 0.09%             | 2031-07-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Saavi Energia Sarl                                                        | Saavi Energia SARL                                                                                            | CUSIP: 78518PAA3<br>LEI: 254900A2V0IO8K56UH35 | Long             | DBT              | CORP              | LU        |    1763000 | PA      | $1936680.18    | 0.02%             | 2035-02-10      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Rocket Software, Inc.                                                     | Rocket Software, Inc., 1st Lien Term Loan                                                                     | CUSIP: 77313DAW1<br>LEI: 549300PVG26ISP5X1556 | Long             | LON              | CORP              | US        |     590041 | PA      | $547511.08     | 0.01%             | 2028-11-28      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Saks Global Enterprises LLC                                               | Saks Global Enterprises LLC                                                                                   | CUSIP: 79380MAB1<br>LEI: 5493007HQSJGRH78Q684 | Long             | DBT              | CORP              | US        |     402300 | PA      | $1760.06       | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Grifols SA                                                                | Grifols SA                                                                                                    | CUSIP: 39843UAA0<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $394945.84     | 0.00%             | 2028-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                           | Santander UK Group Holdings plc                                                                               | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     720000 | PA      | $751185.82     | 0.01%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2022-7, Class C                                                | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     169661 | PA      | $172740.91     | 0.00%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2024-3, Class D                                                | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1906000 | PA      | $1967693.98    | 0.02%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2025-2, Class D                                                | CUSIP: 80287NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2462345.76    | 0.03%             | 2031-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2025-3, Class D                                                | CUSIP: 80288JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5730000 | PA      | $5833724.46    | 0.07%             | 2031-09-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                                   | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class E                                               | CUSIP: 80290CCE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1043486 | PA      | $1067446.62    | 0.01%             | 2033-12-15      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                                                | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1958000 | PA      | $1998923.96    | 0.02%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                                                | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1247000 | PA      | $1265796.41    | 0.02%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2025-4, Class D                                                | CUSIP: 802923AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3123000 | PA      | $3160579.06    | 0.04%             | 2032-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                    | Santander Drive Auto Receivables Trust, Series 2023-4, Class B                                                | CUSIP: 802927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     428000 | PA      | $431086.48     | 0.01%             | 2028-12-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                           | TransDigm, Inc., 1st Lien Term Loan J                                                                         | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     148492 | PA      | $148455.34     | 0.00%             | 2031-02-28      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Science Applications International Corp.                                  | Science Applications International Corp.                                                                      | CUSIP: 808625AB3<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |     330000 | PA      | $327965.48     | 0.00%             | 2033-11-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                              | Scotts Miracle-Gro Co. (The)                                                                                  | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    7585000 | PA      | $7502375.08    | 0.09%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                              | Scotts Miracle-Gro Co. (The)                                                                                  | CUSIP: 810186AX4<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |     795000 | PA      | $751639.51     | 0.01%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                             | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A                                                      | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2125000 | PA      | $2123671.88    | 0.03%             | 2039-05-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                             | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class B                                                      | CUSIP: 811304AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4575000 | PA      | $4575039.80    | 0.06%             | 2039-05-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                                 | Seagate Data Storage Technology Pte. Ltd.                                                                     | CUSIP: 81180LAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     800000 | PA      | $784632.72     | 0.01%             | 2029-06-01      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                                 | Seagate Data Storage Technology Pte. Ltd.                                                                     | CUSIP: 81180LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     780000 | PA      | $823024.02     | 0.01%             | 2029-12-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                                 | Seagate Data Storage Technology Pte. Ltd.                                                                     | CUSIP: 81180LAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     542000 | PA      | $570144.98     | 0.01%             | 2031-07-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| WEC US Holdings, Inc.                                                     | WEC US Holdings, Inc., 1st Lien Term Loan                                                                     | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |     493734 | PA      | $492105.02     | 0.01%             | 2031-01-27      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Adient US LLC                                                             | Adient US LLC, 1st Lien Term Loan B-2                                                                         | CUSIP: 00687MAH4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     629491 | PA      | $628314.06     | 0.01%             | 2031-01-31      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| UKG, Inc.                                                                 | UKG, Inc., 1st Lien Term Loan                                                                                 | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    1638494 | PA      | $1547557.32    | 0.02%             | 2031-02-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                    | Sempra                                                                                                        | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    4694000 | PA      | $4806289.87    | 0.06%             | 2056-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                                | Sensata Technologies, Inc.                                                                                    | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    8370000 | PA      | $7890870.23    | 0.10%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                                | Sensata Technologies, Inc.                                                                                    | CUSIP: 81728UAC8<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1256145.60    | 0.02%             | 2032-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Serbia International Bond                                                 | Republic of Serbia                                                                                            | CUSIP: 817477AH5<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     400000 | PA      | $435493.68     | 0.01%             | 2033-09-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Serbia International Bond                                                 | Republic of Serbia                                                                                            | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     800000 | PA      | $842331.04     | 0.01%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                    | Sequoia Mortgage Trust, Series 2025-7, Class A1                                                               | CUSIP: 81749VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6550632 | PA      | $6647358.98    | 0.08%             | 2055-08-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Service Corp. International                                               | Service Corp. International                                                                                   | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    5785000 | PA      | $5437136.96    | 0.07%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments LLC                                                       | Shift4 Payments LLC                                                                                           | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2972000 | PA      | $2909000.73    | 0.04%             | 2032-08-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Shutterfly Finance LLC                                                    | Shutterfly Finance LLC                                                                                        | CUSIP: 82568NAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     205391 | PA      | $192110.42     | 0.00%             | 2027-10-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Shutterfly Finance LLC                                                    | Shutterfly Finance LLC                                                                                        | CUSIP: 82568NAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      22913 | PA      | $22798.44      | 0.00%             | 2027-10-01      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| MIWD Holdco II LLC                                                        | MIWD Holdco II LLC, 1st Lien Term Loan                                                                        | CUSIP: 55336CAK8<br>LEI: 254900X3SPV5RVFJEY72 | Long             | LON              | CORP              | US        |     990006 | PA      | $981838.70     | 0.01%             | 2031-03-28      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                           | Sinclair Television Group, Inc.                                                                               | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    2405000 | PA      | $2504206.25    | 0.03%             | 2033-02-15      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                       | Sirius XM Radio LLC                                                                                           | CUSIP: 82966BAA3<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    1285000 | PA      | $1281951.38    | 0.02%             | 2032-04-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                       | Sirius XM Radio LLC                                                                                           | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    2955000 | PA      | $2953257.73    | 0.04%             | 2027-08-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                       | Sirius XM Radio LLC                                                                                           | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    5625000 | PA      | $5630682.83    | 0.07%             | 2029-07-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                       | Sirius XM Radio LLC                                                                                           | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    5920000 | PA      | $5779362.11    | 0.07%             | 2028-07-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                             | Six Flags Entertainment Corp.                                                                                 | CUSIP: 83002YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2069000 | PA      | $2103529.54    | 0.03%             | 2032-05-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                             | Six Flags Entertainment Corp.                                                                                 | CUSIP: 83003AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     560000 | PA      | $566996.49     | 0.01%             | 2032-01-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                                 | South Bow USA Infrastructure Holdings LLC                                                                     | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     595000 | PA      | $601426.68     | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                                   | Genesee & Wyoming, Inc., 1st Lien Term Loan                                                                   | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |    1568721 | PA      | $1566069.52    | 0.02%             | 2031-04-10      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration                               | United States Small Business Administration, Series 2025-25J, Class 1                                         | CUSIP: 83162C2X0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4740000 | PA      | $4852557.94    | 0.06%             | 2050-10-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| SBA Small Business Investment Cos.                                        | SBA Small Business Investment Cos., Series 2023-10A, Class 1                                                  | CUSIP: 83162CS79<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1410648 | PA      | $1446378.17    | 0.02%             | 2033-03-10      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| SBA Small Business Investment Cos.                                        | SBA Small Business Investment Cos., Series 2023-10B, Class 1                                                  | CUSIP: 831641FW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1690562 | PA      | $1783182.49    | 0.02%             | 2033-09-10      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SBA Small Business Investment Cos.                                        | SBA Small Business Investment Cos., Series 2024-10A, Class 1                                                  | CUSIP: 831641FX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6421041 | PA      | $6583869.35    | 0.08%             | 2034-03-10      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                             | Smyrna Ready Mix Concrete LLC                                                                                 | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    3375000 | PA      | $3585546.00    | 0.04%             | 2031-11-15      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Snap, Inc.                                                                | Snap, Inc.                                                                                                    | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    1418000 | PA      | $1412355.79    | 0.02%             | 2033-03-01      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Solstice Advanced Materials, Inc.                                         | Solstice Advanced Materials, Inc.                                                                             | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |    2579000 | PA      | $2606907.36    | 0.03%             | 2033-09-30      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Sonic Automotive, Inc.                                                    | Sonic Automotive, Inc.                                                                                        | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |    6663000 | PA      | $6551654.61    | 0.08%             | 2029-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                      | CUSIP: 836205AZ7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     500000 | PA      | $456875.00     | 0.01%             | 2048-06-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                      | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     900000 | PA      | $757125.00     | 0.01%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                      | CUSIP: 836205BE3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $201900.00     | 0.00%             | 2052-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                      | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1800000 | PA      | $1935450.00    | 0.02%             | 2036-11-19      | Fixed         | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                      | CUSIP: 836205BG8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3542000 | PA      | $3825360.00    | 0.05%             | 2054-11-19      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                      | CUSIP: 836205BJ2<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5555000 | PA      | $5555000.00    | 0.07%             | 2055-12-11      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Central Parent LLC                                                        | Central Parent LLC, 1st Lien Term Loan                                                                        | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     444375 | PA      | $277734.38     | 0.00%             | 2029-07-06      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| White Cap Supply Holdings LLC                                             | White Cap Supply Holdings LLC, 1st Lien Term Loan C                                                           | CUSIP: 96350TAH3<br>LEI: 254900L2N0T6GULCL366 | Long             | LON              | CORP              | US        |     370312 | PA      | $365605.83     | 0.00%             | 2029-10-19      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                                                         | EMRLD Borrower LP, 1st Lien Term Loan                                                                         | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |    1357632 | PA      | $1351237.62    | 0.02%             | 2031-08-04      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                       | Expand Energy Corp.                                                                                           | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     695000 | PA      | $705552.10     | 0.01%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands, Inc.                                                     | Spectrum Brands, Inc.                                                                                         | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     129000 | PA      | $112720.81     | 0.00%             | 2031-03-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Block, Inc.                                                               | Block, Inc.                                                                                                   | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    3671000 | PA      | $3776574.29    | 0.05%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Block, Inc.                                                               | Block, Inc.                                                                                                   | CUSIP: 852234AT0<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    2597000 | PA      | $2631049.27    | 0.03%             | 2030-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Block, Inc.                                                               | Block, Inc.                                                                                                   | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     391000 | PA      | $397328.73     | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Standard Building Solutions, Inc.                                         | Standard Building Solutions, Inc.                                                                             | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    1749000 | PA      | $1781622.35    | 0.02%             | 2033-08-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Standard Building Solutions, Inc.                                         | Standard Building Solutions, Inc.                                                                             | CUSIP: 853192AA0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     615000 | PA      | $613500.93     | 0.01%             | 2034-03-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Standard Industries, Inc.                                                 | Standard Industries, Inc.                                                                                     | CUSIP: 853496AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7280000 | PA      | $7257260.19    | 0.09%             | 2028-01-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Standard Industries, Inc.                                                 | Standard Industries, Inc.                                                                                     | CUSIP: 853496AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1745000 | PA      | $1683471.13    | 0.02%             | 2030-07-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Ahead DB Holdings LLC                                                     | Ahead DB Holdings LLC, 1st Lien Term Loan B-3                                                                 | CUSIP: 00866HAH8<br>LEI: 254900L07WFL833JX193 | Long             | LON              | CORP              | US        |    1349382 | PA      | $1311005.81    | 0.02%             | 2031-02-03      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Staples, Inc.                                                             | Staples, Inc.                                                                                                 | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    2860000 | PA      | $2624233.44    | 0.03%             | 2029-09-01      | Fixed         | 10.75%                | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                       | Starwood Mortgage Residential Trust, Series 2020-INV1, Class B2                                               | CUSIP: 85573EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $220385.78     | 0.00%             | 2055-11-25      | Fixed         | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Republic of Montenegro                                                    | Republic of Montenegro                                                                                        | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |    1950000 | PA      | $2088333.00    | 0.03%             | 2031-03-12      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| State Street Corp.                                                        | State Street Corp., Series I                                                                                  | CUSIP: 857477CH4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1183051.24    | 0.01%             | 2029-03-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                       | Station Casinos LLC                                                                                           | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3087471.35    | 0.04%             | 2028-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Stifel SBA IO Trust                                                       | Stifel SBA Trust, Series 2025-2A, Class A1                                                                    | CUSIP: 86063EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55788294 | PA      | $3374477.70    | 0.04%             | 2036-08-25      | Variable      | 2.56%                 | Yes           |                  2 | On Loan: No      |
| Stifel SBA IO Trust                                                       | Stifel SBA IO Trust, Series 2024-1A, Class A2                                                                 | CUSIP: 86063NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   47867551 | PA      | $1722150.04    | 0.02%             | 2050-06-25      | Variable      | 1.27%                 | Yes           |                  2 | On Loan: No      |
| Jetblue Airways Corp.                                                     | Jetblue Airways Corp., 1st Lien Term Loan                                                                     | CUSIP: G5112TAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     925794 | PA      | $891659.64     | 0.01%             | 2029-08-27      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                                | Street Capital Group, Inc.                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |    2203173 | PA      | $2203172.62    | 0.03%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STReAM 2008 BV                                                            | STReAM 2008 BV                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |    2162261 | PA      | $2216317.15    | 0.03%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Subway Funding LLC                                                        | Subway Funding LLC, Series 2024-1A, Class A23                                                                 | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9301262 | PA      | $9632006.09    | 0.12%             | 2054-07-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| BCPE Pequod Buyer, Inc.                                                   | BCPE Pequod Buyer, Inc., 1st Lien Term Loan                                                                   | CUSIP: 05624AAB8<br>LEI: 254900HEEOS2IWC84V94 | Long             | LON              | CORP              | US        |     712424 | PA      | $687938.45     | 0.01%             | 2031-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                                 | Sunoco LP                                                                                                     | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     890000 | PA      | $923037.69     | 0.01%             | 2029-05-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                                 | Sunoco LP                                                                                                     | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1336390.69    | 0.02%             | 2031-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                                 | Sunoco LP                                                                                                     | CUSIP: 86765KAM1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     514000 | PA      | $515200.19     | 0.01%             | 2031-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                                 | Sunoco LP                                                                                                     | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2460000 | PA      | $2423806.02    | 0.03%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                                 | Sunoco LP                                                                                                     | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2060000 | PA      | $2016177.00    | 0.02%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Suriname Government International Bond                                    | Suriname Government International Bond                                                                        | CUSIP: 86886PAE2<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |    3151000 | PA      | $3244553.19    | 0.04%             | 2030-11-06      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Suriname Government International Bond                                    | Suriname Government International Bond                                                                        | CUSIP: 86886PAF9<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |    6338000 | PA      | $6768984.00    | 0.08%             | 2035-11-06      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd.                                                         | Symphony CLO Ltd., Series 2016-18A, Class CR4                                                                 | CUSIP: 87154GFQ3<br>LEI: 549300JQYSBIW1AM8R32 | Long             | ABS-CBDO         | CORP              | KY        |    8180000 | PA      | $8192916.22    | 0.10%             | 2037-10-23      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd.                                                         | Symphony CLO Ltd., Series 2018-19A, Class B                                                                   | CUSIP: 87165YAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1903545.40    | 0.02%             | 2031-04-16      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                                     | Symphony CLO Ltd., Series 2018-19A, Class C                                                                   | CUSIP: 87165YAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     940000 | PA      | $941281.22     | 0.01%             | 2031-04-16      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXI Ltd.                                                     | Symphony CLO Ltd., Series 2019-21A, Class CR2                                                                 | CUSIP: 87166RGJ0<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2999061.00    | 0.04%             | 2032-07-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                                                   | Symphony CLO Ltd., Series 2020-23A, Class CR2                                                                 | CUSIP: 87167NDQ5<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |    3600000 | PA      | $3598365.60    | 0.04%             | 2034-01-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd.                                                         | Symphony CLO Ltd., Series 2021-29A, Class BR                                                                  | CUSIP: 87168GAQ2<br>LEI: 254900H6EAUOGL2U2U64 | Long             | ABS-CBDO         | CORP              | KY        |    6455000 | PA      | $6472667.34    | 0.08%             | 2035-10-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd.                                                         | Symphony CLO Ltd., Series 2022-32A, Class BR                                                                  | CUSIP: 87168NAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4225000 | PA      | $4232719.08    | 0.05%             | 2035-10-23      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| TPG Trust                                                                 | TPG Trust, Series 2024-WLSC, Class A                                                                          | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1997778.40    | 0.02%             | 2029-11-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                   | Talen Energy Supply LLC                                                                                       | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    3416000 | PA      | $3476103.29    | 0.04%             | 2034-02-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                              | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2550000 | PA      | $2547514.77    | 0.03%             | 2028-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                              | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2235000 | PA      | $2264951.24    | 0.03%             | 2030-12-31      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                              | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     675000 | PA      | $682175.93     | 0.01%             | 2031-09-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                              | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1345000 | PA      | $1382261.88    | 0.02%             | 2034-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Raven Acquisition Holdings LLC                                            | Raven Acquisition Holdings LLC, 1st Lien Term Loan                                                            | CUSIP: 75419XAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     396560 | PA      | $377299.08     | 0.00%             | 2031-11-19      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| TEGNA, Inc.                                                               | TEGNA, Inc.                                                                                                   | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    4890000 | PA      | $4885370.64    | 0.06%             | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Somnigroup International, Inc.                                            | Somnigroup International, Inc.                                                                                | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |    8720000 | PA      | $8474384.63    | 0.10%             | 2029-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    6520000 | PA      | $6523796.14    | 0.08%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    6210000 | PA      | $6201494.78    | 0.08%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     993000 | PA      | $1012804.39    | 0.01%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    1739000 | PA      | $1805559.44    | 0.02%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                               | Terex Corp.                                                                                                   | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    1035000 | PA      | $1033288.52    | 0.01%             | 2029-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Terex Corp.                                                               | Terex Corp.                                                                                                   | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    1705000 | PA      | $1755924.94    | 0.02%             | 2032-10-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Termocandelaria Power SA                                                  | Termocandelaria Power SA                                                                                      | CUSIP: 88087AAA6<br>LEI: 549300YDORW43JL6G659 | Long             | DBT              | CORP              | ES        |    1650000 | PA      | $1712914.50    | 0.02%             | 2031-09-17      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                                                     | Theorem Funding Trust, Series 2022-2A, Class B                                                                | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     233301 | PA      | $233740.49     | 0.00%             | 2028-12-15      | Fixed         | 9.27%                 | Yes           |                  2 | On Loan: No      |
| MH Sub I LLC                                                              | MH Sub I LLC, 1st Lien Term Loan                                                                              | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |     301225 | PA      | $204079.92     | 0.00%             | 2031-12-31      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                                     | Toorak Mortgage Trust, Series 2024-RRTL1, Class A1                                                            | CUSIP: 89054YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1846454 | PA      | $1848660.85    | 0.02%             | 2039-02-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| TopBuild Corp.                                                            | TopBuild Corp.                                                                                                | CUSIP: 89055FAD5<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     864000 | PA      | $871388.79     | 0.01%             | 2034-01-31      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                                     | Toorak Mortgage Trust, Series 2024-2, Class A1                                                                | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2818422.88    | 0.03%             | 2031-10-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                               | Toronto-Dominion Bank (The)                                                                                   | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     950000 | PA      | $993957.45     | 0.01%             | 2082-10-31      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                                | iHeartCommunications, Inc., 1st Lien Term Loan B                                                              | CUSIP: 45174UAJ7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3191940 | PA      | $2755697.17    | 0.03%             | 2029-05-01      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                 | Towd Point Mortgage Trust, Series 2019-HY1, Class M2                                                          | CUSIP: 89177EAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4020000 | PA      | $4239263.26    | 0.05%             | 2048-10-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                 | Towd Point Mortgage Trust, Series 2026-FIX1, Class A1                                                         | CUSIP: 89183TAA6<br>LEI: 254900HMDJT9KG22DU68 | Long             | ABS-O            | CORP              | US        |    4684305 | PA      | $4714594.84    | 0.06%             | 2065-12-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                 | Towd Point Mortgage Trust, Series 2026-CES2, Class A1A                                                        | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9240000 | PA      | $9238078.08    | 0.11%             | 2066-02-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Wand NewCo 3, Inc.                                                        | Wand NewCo 3, Inc., 1st Lien Term Loan                                                                        | CUSIP: 93369PAM6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1023066 | PA      | $1016528.65    | 0.01%             | 2031-01-30      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Transcanada Trust                                                         | Transcanada Trust                                                                                             | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    1696000 | PA      | $1714418.56    | 0.02%             | 2079-09-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Transcanada Trust                                                         | Transcanada Trust                                                                                             | CUSIP: 89356BAG3<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    3396000 | PA      | $3412202.32    | 0.04%             | 2082-03-07      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                           | TransDigm, Inc.                                                                                               | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    8214000 | PA      | $8437264.73    | 0.10%             | 2029-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                                           | TransDigm, Inc.                                                                                               | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    2536000 | PA      | $2627275.71    | 0.03%             | 2032-03-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                                           | TransDigm, Inc.                                                                                               | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     495000 | PA      | $512076.51     | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Transocean International Ltd.                                             | Transocean International Ltd.                                                                                 | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |     315000 | PA      | $329568.94     | 0.00%             | 2030-02-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Transocean International Ltd.                                             | Transocean International Ltd.                                                                                 | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |    1201000 | PA      | $1250570.07    | 0.02%             | 2029-05-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| HUB International Ltd.                                                    | HUB International Ltd., 1st Lien Term Loan                                                                    | CUSIP: 44332EAZ9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1369109 | PA      | $1352570.20    | 0.02%             | 2030-06-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                   | Quikrete Holdings, Inc., 1st Lien Term Loan B-3                                                               | CUSIP: 74839XAL3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1538375 | PA      | $1536805.86    | 0.02%             | 2032-02-10      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Triad Properties Corp.                                                    | Triad Properties Corp.                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    4090023 | PA      | $4233174.05    | 0.05%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon Residential Trust                                                  | Tricon Residential Trust, Series 2022-SFR1, Class E2                                                          | CUSIP: 89616QAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     101000 | PA      | $100586.65     | 0.00%             | 2039-04-17      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Trinidad Generation UnLtd                                                 | Trinidad Generation UnLtd                                                                                     | CUSIP: 89636DAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | TT        |     596000 | PA      | $627135.04     | 0.01%             | 2033-06-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Trinseo Luxco Finance SPV SARL                                            | Trinseo Luxco Finance SPV SARL                                                                                | CUSIP: 89668JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     189701 | PA      | $7588.04       | 0.00%             | 2029-05-03      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                                          | TRTX Issuer Ltd., Series 2025-FL6, Class A                                                                    | CUSIP: 897764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3050000 | PA      | $3056950.95    | 0.04%             | 2042-09-18      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                                 | Republic of Turkiye (The)                                                                                     | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1164000 | PA      | $1246644.00    | 0.02%             | 2034-05-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| TC Ziraat Bankasi A/S                                                     | TC Ziraat Bankasi A/S                                                                                         | CUSIP: 90015JAC6<br>LEI: 213800K5KTZFSUS8MR51 | Long             | DBT              | CORP              | TR        |    3950000 | PA      | $4019125.00    | 0.05%             | 2030-11-05      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class C                                                  | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     935000 | PA      | $878900.00     | 0.01%             | 2035-08-10      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Coherent Corp.                                                            | Coherent Corp.                                                                                                | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |    3612000 | PA      | $3613946.87    | 0.04%             | 2029-12-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                              | UBS Group AG                                                                                                  | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1472000 | PA      | $1721493.70    | 0.02%             | 2033-11-13      | Variable      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                              | UBS Group AG                                                                                                  | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3895000 | PA      | $4245825.88    | 0.05%             | 2028-11-13      | Variable      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2018-C10, Class D                                                       | CUSIP: 90276FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4255000 | PA      | $3484424.61    | 0.04%             | 2051-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2017-C5, Class C                                                        | CUSIP: 90276TAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1121712.96    | 0.01%             | 2050-11-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2017-C6, Class C                                                        | CUSIP: 90276UBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3595000 | PA      | $3005321.50    | 0.04%             | 2050-12-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2018-C11, Class C                                                       | CUSIP: 90276XBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2143000 | PA      | $2005791.00    | 0.02%             | 2051-06-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| US Foods, Inc.                                                            | US Foods, Inc.                                                                                                | CUSIP: 90290MAD3<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    3909000 | PA      | $3892554.84    | 0.05%             | 2029-02-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| US Foods, Inc.                                                            | US Foods, Inc.                                                                                                | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    1006000 | PA      | $996001.27     | 0.01%             | 2030-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| US Foods, Inc.                                                            | US Foods, Inc.                                                                                                | CUSIP: 90290MAG6<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     520000 | PA      | $536141.84     | 0.01%             | 2028-09-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2018-C9, Class B                                                        | CUSIP: 90291JBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5665000 | PA      | $4338241.14    | 0.05%             | 2051-03-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd.                                                | AAdvantage Loyalty IP Ltd., 1st Lien Term Loan                                                                | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |     379485 | PA      | $378669.40     | 0.00%             | 2028-04-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                     | Clydesdale Acquisition Holdings, Inc., 1st Lien Term Loan B                                                   | CUSIP: 18972FAE2<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |     932655 | PA      | $922330.53     | 0.01%             | 2032-04-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd.                                                           | 1261229 BC Ltd., 1st Lien Term Loan                                                                           | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    1189025 | PA      | $1156659.74    | 0.01%             | 2030-10-08      | Variable      | 9.92%                 | No            |                  2 | On Loan: No      |
| United Airlines Holdings, Inc.                                            | United Airlines Holdings, Inc.                                                                                | CUSIP: 910047AM1<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |     750000 | PA      | $755409.90     | 0.01%             | 2029-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                        | United Rentals North America, Inc.                                                                            | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    3756000 | PA      | $3753815.89    | 0.05%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                        | United Rentals North America, Inc.                                                                            | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1938026.70    | 0.02%             | 2034-03-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                        | United Rentals North America, Inc.                                                                            | CUSIP: 911365BS2<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    1286000 | PA      | $1296485.56    | 0.02%             | 2033-11-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Univision Communications, Inc.                                            | Univision Communications, Inc.                                                                                | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     920000 | PA      | $920017.68     | 0.01%             | 2030-06-30      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Univision Communications, Inc.                                            | Univision Communications, Inc.                                                                                | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    5460000 | PA      | $5608528.38    | 0.07%             | 2028-08-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Univision Communications, Inc.                                            | Univision Communications, Inc.                                                                                | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     762000 | PA      | $806322.75     | 0.01%             | 2032-08-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                                | Upstart Pass-Through Trust, Series 2022-PT2, Class A                                                          | CUSIP: 91679YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      56114 | PA      | $56113.59      | 0.00%             | 2030-02-20      | Variable      | 21.38%                | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                                | Upstart Pass-Through Trust, Series 2022-PT3, Class A                                                          | CUSIP: 91681DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      39759 | PA      | $39417.63      | 0.00%             | 2030-04-20      | Variable      | 21.17%                | Yes           |                  3 | On Loan: No      |
| Uzbekneftegaz JSC                                                         | Uzbekneftegaz JSC                                                                                             | CUSIP: 91825MAB9<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | NUSS              | UZ        |    1900000 | PA      | $1860518.00    | 0.02%             | 2028-11-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| VZ Secured Financing BV                                                   | VZ Secured Financing BV                                                                                       | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $177736.92     | 0.00%             | 2032-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                                        | Vail Resorts, Inc.                                                                                            | CUSIP: 91879QAP4<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |    3218000 | PA      | $3332850.42    | 0.04%             | 2032-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| VCAT LLC                                                                  | VCAT LLC, Series 2025-NPL3, Class A1                                                                          | CUSIP: 92243QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1111969 | PA      | $1114634.60    | 0.01%             | 2055-02-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2018-1, Class A                                                | CUSIP: 92257AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18970 | PA      | $18819.82      | 0.00%             | 2048-04-25      | Fixed         | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2022-3, Class A                                                | CUSIP: 92257BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188212 | PA      | $187192.98     | 0.00%             | 2052-06-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2022-4, Class A                                                | CUSIP: 92259KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359926 | PA      | $363256.18     | 0.00%             | 2052-08-25      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                        | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    3087000 | PA      | $3248817.45    | 0.04%             | 2034-01-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                        | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1304883.48    | 0.02%             | 2036-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                        | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     943000 | PA      | $979595.94     | 0.01%             | 2030-12-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                        | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     667000 | PA      | $700323.99     | 0.01%             | 2034-06-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                         | Venture Global Calcasieu Pass LLC                                                                             | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     845000 | PA      | $792542.75     | 0.01%             | 2031-08-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                         | Venture Global Calcasieu Pass LLC                                                                             | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1446280.06    | 0.02%             | 2033-11-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                  | Venture Global LNG, Inc.                                                                                      | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1884000 | PA      | $1933144.14    | 0.02%             | 2028-06-01      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                  | Venture Global LNG, Inc.                                                                                      | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1347000 | PA      | $1444728.89    | 0.02%             | 2029-02-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                  | Venture Global LNG, Inc.                                                                                      | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    3710000 | PA      | $3930518.69    | 0.05%             | 2032-02-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Asurion LLC                                                               | Asurion LLC, 1st Lien Term Loan B-13                                                                          | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     530667 | PA      | $528942.00     | 0.01%             | 2030-09-19      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-2, Class A1                                                           | CUSIP: 92539DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319412 | PA      | $318519.12     | 0.00%             | 2068-03-25      | Variable      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-4, Class A1                                                           | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |     432592 | PA      | $432316.65     | 0.01%             | 2068-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                       | Viking Cruises Ltd.                                                                                           | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    3041000 | PA      | $3102306.56    | 0.04%             | 2033-10-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Expand Energy Corp.                                                       | Expand Energy Corp.                                                                                           | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $2828204.90    | 0.03%             | 2029-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1855000 | PA      | $1854355.76    | 0.02%             | 2027-02-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    5138000 | PA      | $5130591.00    | 0.06%             | 2027-07-31      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     695000 | PA      | $734448.20     | 0.01%             | 2031-10-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1235000 | PA      | $1299244.70    | 0.02%             | 2032-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| VistaJet Pass Through Trust                                               | VistaJet Pass Through Trust, Series 2021-1C                                                                   | CUSIP: 92841QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1540000 | PA      | $1558258.34    | 0.02%             | 2031-08-15      | Fixed         | 9.50%                 | Yes           |                  3 | On Loan: No      |
| VoltaGrid LLC                                                             | VoltaGrid LLC                                                                                                 | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |    1028000 | PA      | $1073428.55    | 0.01%             | 2030-11-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                           | WFRBS Commercial Mortgage Trust, Series 2014-C22, Class B                                                     | CUSIP: 92890KBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $93195.00      | 0.00%             | 2057-09-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                           | WFRBS Commercial Mortgage Trust, Series 2014-C22, Class C                                                     | CUSIP: 92890KBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $358113.00     | 0.00%             | 2057-09-15      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2019-4A, Class BR                                                                       | CUSIP: 92918BAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2005850.00    | 0.02%             | 2035-01-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                           | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class D                                                     | CUSIP: 92939FAE9<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $3847992.50    | 0.05%             | 2047-08-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                           | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C                                                     | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    2150000 | PA      | $2044650.00    | 0.03%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| WR Grace Holdings LLC                                                     | WR Grace Holdings LLC                                                                                         | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4214920.60    | 0.05%             | 2029-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| WR Grace Holdings LLC                                                     | WR Grace Holdings LLC                                                                                         | CUSIP: 92943GAF8<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    1641000 | PA      | $1660079.91    | 0.02%             | 2032-08-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| WR Grace Holdings LLC                                                     | WR Grace Holdings LLC                                                                                         | CUSIP: 92943GAH4<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |     323000 | PA      | $328862.45     | 0.00%             | 2033-08-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                      | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1776000 | PA      | $1842996.58    | 0.02%             | 2040-07-15      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Wand NewCo 3, Inc.                                                        | Wand NewCo 3, Inc.                                                                                            | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |    1279000 | PA      | $1334586.26    | 0.02%             | 2032-01-30      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| First Advantage Holdings LLC                                              | First Advantage Holdings LLC, 1st Lien Term Loan B-3                                                          | CUSIP: 78477MAH4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     669417 | PA      | $639628.00     | 0.01%             | 2031-10-31      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| SPX FLOW, Inc.                                                            | SPX FLOW, Inc., 1st Lien Term Loan                                                                            | CUSIP: 78470DAW8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     500000 | PA      | $499775.00     | 0.01%             | 2029-04-05      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| Vertiv Group Corp.                                                        | Vertiv Group Corp., 1st Lien Term Loan B-4                                                                    | CUSIP: 92537EAG3<br>LEI: 549300ZT8RQ5VK10E643 | Long             | LON              | CORP              | US        |     370327 | PA      | $370326.56     | 0.00%             | 2032-08-12      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                               | Terex Corp., 1st Lien Term Loan                                                                               | CUSIP: 88078FBQ0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     446631 | PA      | $446630.63     | 0.01%             | 2031-10-08      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| PetSmart LLC                                                              | PetSmart LLC, 1st Lien Term Loan                                                                              | CUSIP: 71677HAN5<br>LEI: 894500NGJMHSFNESGA67 | Long             | LON              | CORP              | US        |    1632990 | PA      | $1622097.64    | 0.02%             | 2032-08-18      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Icon Parent I, Inc.                                                       | Icon Parent I, Inc., 1st Lien Term Loan                                                                       | CUSIP: 45115DAC2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1614132 | PA      | $1525016.10    | 0.02%             | 2031-11-13      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Wayfair LLC                                                               | Wayfair LLC                                                                                                   | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     680000 | PA      | $702740.56     | 0.01%             | 2029-10-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Wayfair LLC                                                               | Wayfair LLC                                                                                                   | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    1623000 | PA      | $1706763.24    | 0.02%             | 2030-09-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Varsity Brands, Inc.                                                      | Varsity Brands, Inc., 1st Lien Term Loan                                                                      | CUSIP: 92227QAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2067520 | PA      | $2061069.34    | 0.03%             | 2031-08-26      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Wehle Park CLO Ltd.                                                       | Wehle Park CLO Ltd., Series 2022-1A, Class ER                                                                 | CUSIP: 94860MAJ2<br>LEI: 549300H0MQXDP83CAD27 | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $911657.00     | 0.01%             | 2038-10-21      | Floating      | 9.07%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D                                               | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    1222472 | PA      | $1185063.96    | 0.01%             | 2048-06-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class B                                              | CUSIP: 94989MAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3428192.95    | 0.04%             | 2058-07-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class D                                               | CUSIP: 95000FAC0<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2380189.50    | 0.03%             | 2048-07-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                             | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4620000 | PA      | $4704585.04    | 0.06%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5                                              | CUSIP: 95000XAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4330000 | PA      | $4275530.33    | 0.05%             | 2050-09-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class D                                               | CUSIP: 95001JAC1<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $184518.58     | 0.00%             | 2051-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class A5                                              | CUSIP: 95001JAX5<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1001205.70    | 0.01%             | 2051-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class AS                                              | CUSIP: 95001JBA4<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $997235.70     | 0.01%             | 2051-05-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class D                                               | CUSIP: 95001MAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3981151.00    | 0.05%             | 2050-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C45, Class D                                               | CUSIP: 95001NAC2<br>LEI: 5493006021R83VCLAO08 | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2396524.08    | 0.03%             | 2051-06-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class D                                               | CUSIP: 95001QAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1281911.40    | 0.02%             | 2051-08-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                             | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9807000 | PA      | $10342932.94   | 0.13%             | 2029-09-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class C                                               | CUSIP: 95003MBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $86472.36      | 0.00%             | 2055-04-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class A                                              | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1008319.60    | 0.01%             | 2035-07-15      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class B                                              | CUSIP: 95003PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $504258.65     | 0.01%             | 2035-07-15      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-5C1, Class A3                                              | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1896200.10    | 0.02%             | 2057-07-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Dayforce Bidco LLC                                                        | Dayforce Bidco LLC, 1st Lien Term Loan                                                                        | CUSIP: 23923YAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1110092 | PA      | $1020496.24    | 0.01%             | 2033-02-04      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                                  | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1445000 | PA      | $1455541.28    | 0.02%             | 2028-06-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                                  | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAQ7<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1758000 | PA      | $1807274.98    | 0.02%             | 2029-03-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                                  | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAR5<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1232718.77    | 0.02%             | 2032-03-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                                  | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     803000 | PA      | $837224.66     | 0.01%             | 2033-03-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| QXO Building Products, Inc.                                               | QXO Building Products, Inc., 1st Lien Term Loan B                                                             | CUSIP: 07368RAM3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     143556 | PA      | $143427.79     | 0.00%             | 2032-04-30      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                           | Western Funding Auto Loan Trust, Series 2025-1, Class A                                                       | CUSIP: 958250AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4615000 | PA      | $4670341.23    | 0.06%             | 2035-07-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                           | Western Funding Auto Loan Trust, Series 2025-1, Class D                                                       | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2540000 | PA      | $2600166.25    | 0.03%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                     | Westlake Automobile Receivables Trust, Series 2023-3A, Class D                                                | CUSIP: 96041CAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     632000 | PA      | $647780.98     | 0.01%             | 2029-03-15      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                     | Westlake Automobile Receivables Trust, Series 2023-1A, Class D                                                | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     437000 | PA      | $446202.87     | 0.01%             | 2028-11-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                     | Westlake Automobile Receivables Trust, Series 2024-3A, Class D                                                | CUSIP: 96043CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3900000 | PA      | $3965530.53    | 0.05%             | 2030-04-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                     | Westlake Automobile Receivables Trust, Series 2024-1A, Class D                                                | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     576000 | PA      | $591035.73     | 0.01%             | 2029-10-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Williams Scotsman, Inc.                                                   | Williams Scotsman, Inc.                                                                                       | CUSIP: 96949VAL7<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |     390000 | PA      | $408311.28     | 0.01%             | 2031-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Williams Scotsman, Inc.                                                   | Williams Scotsman, Inc.                                                                                       | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |     539000 | PA      | $558429.33     | 0.01%             | 2030-04-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| LSF12 Crown US Commercial Bidco LLC                                       | LSF12 Crown US Commercial Bidco LLC, 1st Lien Term Loan                                                       | CUSIP: 50221UAE1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     781107 | PA      | $780325.65     | 0.01%             | 2031-12-02      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Graham Packaging Co., Inc.                                                | Graham Packaging Co., Inc., 1st Lien Term Loan                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     465333 | PA      | $464193.26     | 0.01%             | 2033-01-26      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| LSF12 Helix Parent LLC                                                    | LSF12 Helix Parent LLC, 1st Lien Term Loan B                                                                  | CUSIP: 54913EAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     460784 | PA      | $460236.11     | 0.01%             | 2033-02-10      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                                                   | Belron Finance 2019 LLC, 1st Lien Term Loan B                                                                 | CUSIP: 08078UAQ6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     286181 | PA      | $286060.66     | 0.00%             | 2031-10-16      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Petco Health & Wellness Co., Inc.                                         | Petco Health & Wellness Co., Inc., 1st Lien Term Loan                                                         | CUSIP: 71601HAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1217588 | PA      | $1167362.96    | 0.01%             | 2031-02-03      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| WULF Compute LLC                                                          | WULF Compute LLC                                                                                              | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3385000 | PA      | $3584762.39    | 0.04%             | 2030-10-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC                                                  | Wynn Resorts Finance LLC                                                                                      | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10065000 | PA      | $10122430.89   | 0.12%             | 2029-10-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC                                                  | Wynn Resorts Finance LLC                                                                                      | CUSIP: 983133AD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1081000 | PA      | $1103958.28    | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| XPO, Inc.                                                                 | XPO, Inc.                                                                                                     | CUSIP: 98379KAA0<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |     425000 | PA      | $431832.73     | 0.01%             | 2028-06-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Xerox Corp.                                                               | Xerox Corp.                                                                                                   | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |     505000 | PA      | $363600.00     | 0.00%             | 2030-10-15      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                      | Xerox Holdings Corp.                                                                                          | CUSIP: 98421MAB2<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |     930000 | PA      | $353307.00     | 0.00%             | 2028-08-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                      | Xerox Holdings Corp.                                                                                          | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |     648000 | PA      | $184872.46     | 0.00%             | 2029-11-30      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Yinson Boronia Production BV                                              | Yinson Boronia Production BV                                                                                  | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |    1389188 | PA      | $1527953.77    | 0.02%             | 2042-07-31      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Yinson Bergenia Production BV                                             | Yinson Bergenia Production BV                                                                                 | CUSIP: 98585VAA6<br>LEI: 549300JDIAWKPMZD5256 | Long             | DBT              | CORP              | NL        |    1303431 | PA      | $1386687.34    | 0.02%             | 2045-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                                            | ZF North America Capital, Inc.                                                                                | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    2398000 | PA      | $2422197.98    | 0.03%             | 2030-04-23      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Zambia                                                        | Republic of Zambia                                                                                            | CUSIP: 988895AQ1<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |    1131296 | PA      | $1100185.36    | 0.01%             | 2033-06-30      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Medline Borrower LP                                                       | Medline Borrower LP, 1st Lien Term Loan                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     110052 | PA      | $110171.24     | 0.00%             | 2028-10-23      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Upstart Frn                                                               | Upstart Frn                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3995000.00    | 0.05%             | 2027-09-15      | Floating      | 6.80%                 | No            |                  3 | On Loan: No      |
| Ista Jet Seri                                                             | Ista Jet Seri                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5000000.00    | 0.06%             | 2032-04-05      | Fixed         | 6.97%                 | No            |                  3 | On Loan: No      |
| Mpire                                                                     | Mpire                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    3747504 | PA      | $3758109.44    | 0.05%             | 2030-09-13      | Floating      | 8.29%                 | No            |                  3 | On Loan: No      |
| Mpire                                                                     | Mpire                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    1499002 | PA      | $1503244.18    | 0.02%             | 2030-09-19      | Fixed         | 11.16%                | No            |                  3 | On Loan: No      |
| BAML Funding Ltd.                                                         | BAML Funding Ltd.                                                                                             | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1997500.00    | 0.02%             | 2029-10-26      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                                            | Tucielo 2025-assiciation Condu                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100000.00     | 0.00%             | 2033-08-09      | Fixed         | 10.51%                | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                                            | Tucielo 2025-assiciation Condu                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100000.00     | 0.00%             | 2033-08-09      | Fixed         | 8.01%                 | No            |                  3 | On Loan: No      |
| Gemini Corp.                                                              | Gemini Corp.                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |    5000000 | PA      | $5000000.00    | 0.06%             | 2029-02-20      | Fixed         | 10.50%                | No            |                  3 | On Loan: No      |
| Oneslt                                                                    | Oneslt                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    3306449 | PA      | $3306448.58    | 0.04%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                             | BAML RCAP Frn                                                                                                 | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |    2000000 | PA      | $2000000.00    | 0.02%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Altice France Sa                                                          | Altice France Sa                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | FR        |       1131 | NS      | $22062.46      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Escrow Rite Aid                                                           | Escrow Rite Aid                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      36352 | PA      | $0.00          | 0.00%             | 2049-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                             | BAML RCAP Frn                                                                                                 | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |    3000000 | PA      | $3000000.00    | 0.04%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Ygrene Frn                                                                | Ygrene Frn                                                                                                    | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |    4517798 | PA      | $4540386.99    | 0.06%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Nautical Solutions                                                        | Nautical Solutions                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    4315106 | PA      | $4385226.97    | 0.05%             | 2031-08-01      | Fixed         | 9.20%                 | No            |                  3 | On Loan: No      |
| Republic of Iraq                                                          | Republic of Iraq                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | IQ        |     937500 | PA      | $932812.50     | 0.01%             | 2028-01-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Instituto Costarricense de Electricidad                                   | Instituto Costarricense de Electricidad                                                                       | CUSIP: N/A<br>LEI: 5493009VA6AFUB2Q0289       | Long             | DBT              | NUSS              | CR        |    2700000 | PA      | $2697300.00    | 0.03%             | 2043-05-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of Paraguay                                                      | Republic of Paraguay                                                                                          | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    1500000 | PA      | $1457535.00    | 0.02%             | 2048-03-13      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Peru LNG Srl                                                              | Peru LNG Srl                                                                                                  | CUSIP: N/A<br>LEI: 254900F70J1LOALV5K70       | Long             | DBT              | CORP              | PE        |    4500600 | PA      | $4373420.70    | 0.05%             | 2030-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    2700000 | PA      | $2578500.00    | 0.03%             | 2047-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      60000 | PA      | $59930.36      | 0.00%             | 2027-10-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    3600000 | PA      | $3711384.00    | 0.05%             | 2030-02-23      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    3300000 | PA      | $3294852.00    | 0.04%             | 2038-02-23      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| ADT Security Corp. (The)                                                  | ADT Security Corp. (The)                                                                                      | CUSIP: 74166NAA2<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     180000 | PA      | $174613.99     | 0.00%             | 2032-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                               | Hashemite Kingdom of Jordan                                                                                   | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    5000000 | PA      | $4940000.00    | 0.06%             | 2047-10-10      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| CSC Holdings LLC                                                          | CSC Holdings LLC                                                                                              | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     300000 | PA      | $215787.87     | 0.00%             | 2028-02-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Eskom Holdings                                                            | Eskom Holdings                                                                                                | CUSIP: N/A<br>LEI: 3789001900ED06F65111       | Long             | DBT              | CORP              | ZA        |    1700000 | PA      | $1822723.00    | 0.02%             | 2028-08-10      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                              | Scotts Miracle-Gro Co. (The)                                                                                  | CUSIP: 810186AP1<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |     520000 | PA      | $519500.44     | 0.01%             | 2026-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Kingdom of Bahrain                                                        | Kingdom of Bahrain                                                                                            | CUSIP: N/A<br>LEI: 549300RODM1WN85LFQ95       | Long             | DBT              | NUSS              | BH        |     600000 | PA      | $604977.00     | 0.01%             | 2047-09-20      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Hologic, Inc.                                                             | Hologic, Inc.                                                                                                 | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |     220000 | PA      | $219794.71     | 0.00%             | 2028-02-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                          | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $92675.22      | 0.00%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Republic of Angola                                                        | Republic of Angola                                                                                            | CUSIP: N/A<br>LEI: 549300QHR2R3J8JSGK83       | Long             | DBT              | NUSS              | AO        |    7500000 | PA      | $7563284.25    | 0.09%             | 2028-05-09      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                        | Dominican Republic Government Bond                                                                            | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    2050000 | PA      | $2054100.00    | 0.03%             | 2049-06-05      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     700000 | PA      | $680092.00     | 0.01%             | 2049-03-01      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    1000000 | PA      | $1085500.00    | 0.01%             | 2031-01-21      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                              | Rockies Express Pipeline LLC                                                                                  | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147635.24     | 0.00%             | 2030-05-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                                            | Braskem Netherlands Finance BV                                                                                | CUSIP: N/A<br>LEI: 2549000TLMHFQ74DS330       | Long             | DBT              | CORP              | NL        |     900000 | PA      | $379080.00     | 0.00%             | 2030-01-31      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                        | Dominican Republic Government Bond                                                                            | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    1450000 | PA      | $1307900.00    | 0.02%             | 2060-01-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Banco Mercantil del Norte SA                                              | Banco Mercantil del Norte SA                                                                                  | CUSIP: N/A<br>LEI: 549300QTVYRPFHS0J362       | Long             | DBT              | CORP              | MX        |    2200000 | PA      | $2273397.50    | 0.03%             | 2029-06-27      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| MV24 Capital BV                                                           | MV24 Capital BV                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |    1526866 | PA      | $1554146.06    | 0.02%             | 2034-06-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199960.42     | 0.00%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                                                | Elanco Animal Health, Inc.                                                                                    | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |     420000 | PA      | $436632.84     | 0.01%             | 2028-08-28      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Bioceanico Sovereign Certificate Ltd.                                     | Bioceanico Sovereign Certificate Ltd.                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | KY        |     379003 | PA      | $313033.82     | 0.00%             | 2034-06-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                                   | Republic of El Salvador                                                                                       | CUSIP: N/A<br>LEI: 529900AKDMUSFSDOM949       | Long             | DBT              | NUSS              | SV        |     350000 | PA      | $317012.50     | 0.00%             | 2050-01-20      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                         | Republic of Kenya                                                                                             | CUSIP: N/A<br>LEI: 549300VVURQQYU45PR87       | Long             | DBT              | NUSS              | KE        |     200000 | PA      | $208126.00     | 0.00%             | 2032-05-22      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| OCP SA                                                                    | OCP SA                                                                                                        | CUSIP: N/A<br>LEI: 213800D26TAPVTCVWG40       | Long             | DBT              | NUSS              | MA        |     800000 | PA      | $665752.00     | 0.01%             | 2051-06-23      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Medco Bell Pte. Ltd.                                                      | Medco Bell Pte. Ltd.                                                                                          | CUSIP: N/A<br>LEI: 2549003PNDCWIWGKC768       | Long             | DBT              | CORP              | SG        |     200000 | PA      | $200000.00     | 0.00%             | 2027-01-30      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Transcanada Trust                                                         | Transcanada Trust                                                                                             | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $101086.00     | 0.00%             | 2079-09-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Angola                                                        | Republic of Angola                                                                                            | CUSIP: N/A<br>LEI: 549300QHR2R3J8JSGK83       | Long             | DBT              | NUSS              | AO        |    5000000 | PA      | $4975000.00    | 0.06%             | 2029-11-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     630000 | PA      | $616770.00     | 0.01%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets plc                                                    | BP Capital Markets plc                                                                                        | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    3595000 | PA      | $3583072.51    | 0.04%             | 2030-03-22      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                             | SM Energy Co.                                                                                                 | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     220000 | PA      | $221244.32     | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Republic of Costa Rica                                                    | Republic of Costa Rica                                                                                        | CUSIP: N/A<br>LEI: 549300S1EK2VN6XVJP58       | Long             | DBT              | NUSS              | CR        |     400000 | PA      | $443925.00     | 0.01%             | 2044-04-04      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Armenia                                                       | Republic of Armenia                                                                                           | CUSIP: N/A<br>LEI: 5299000H77JSW90G7935       | Long             | DBT              | NUSS              | AM        |    2200000 | PA      | $2026750.00    | 0.02%             | 2031-02-02      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    3900000 | PA      | $3787875.00    | 0.05%             | 2031-02-16      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| NESCO Holdings II, Inc.                                                   | NESCO Holdings II, Inc.                                                                                       | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |     105000 | PA      | $104458.95     | 0.00%             | 2029-04-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Kingdom of Bahrain                                                        | Kingdom of Bahrain                                                                                            | CUSIP: N/A<br>LEI: 549300RODM1WN85LFQ95       | Long             | DBT              | NUSS              | BH        |     600000 | PA      | $572628.00     | 0.01%             | 2032-09-16      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Pakistan Water & Power Development Authority                              | Pakistan Water & Power Development Authority                                                                  | CUSIP: N/A<br>LEI: 213800UA74QOTK6IES10       | Long             | DBT              | NUSS              | PK        |     658000 | PA      | $639905.00     | 0.01%             | 2031-06-04      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                                | Axalta Coating Systems LLC                                                                                    | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     850000 | PA      | $849565.06     | 0.01%             | 2027-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $200700.00     | 0.00%             | 2033-09-30      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Banco Mercantil del Norte SA                                              | Banco Mercantil del Norte SA                                                                                  | CUSIP: N/A<br>LEI: 549300QTVYRPFHS0J362       | Long             | DBT              | CORP              | MX        |    1800000 | PA      | $1973448.00    | 0.02%             | 2035-05-20      | Variable      | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Government of Mongolia                                                    | State of Mongolia                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | MN        |     200000 | PA      | $189000.00     | 0.00%             | 2031-07-07      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Tierra Mojada Luxembourg II SARL                                          | Tierra Mojada Luxembourg II SARL                                                                              | CUSIP: N/A<br>LEI: 254900H2U8PBIY32VI94       | Long             | DBT              | CORP              | LU        |    1686843 | PA      | $1654384.85    | 0.02%             | 2040-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                  | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QAK0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     240000 | PA      | $236118.22     | 0.00%             | 2026-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co., Series BB                                                                                  | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     162000 | PA      | $161834.86     | 0.00%             | 2026-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Dornoch Debt Merger Sub, Inc.                                             | Dornoch Debt Merger Sub, Inc.                                                                                 | CUSIP: 25830JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $72269.97      | 0.00%             | 2029-10-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Terex Corp.                                                               | Terex Corp.                                                                                                   | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |     725000 | PA      | $723801.14     | 0.01%             | 2029-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |    1674000 | PA      | $1652956.48    | 0.02%             | 2030-07-31      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |    6467831 | PA      | $5868570.29    | 0.07%             | 2035-07-31      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |    3211364 | PA      | $2620503.85    | 0.03%             | 2040-07-31      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                          | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |     225000 | PA      | $214673.36     | 0.00%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                               | Hashemite Kingdom of Jordan                                                                                   | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    2100000 | PA      | $2111550.00    | 0.03%             | 2030-07-07      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    2300000 | PA      | $2358075.00    | 0.03%             | 2032-05-29      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| BWX Technologies, Inc.                                                    | BWX Technologies, Inc.                                                                                        | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     250000 | PA      | $247601.48     | 0.00%             | 2028-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    3200000 | PA      | $3128000.00    | 0.04%             | 2050-05-29      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Organon & Co.                                                             | Organon & Co.                                                                                                 | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2010000 | PA      | $1786097.06    | 0.02%             | 2031-04-30      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| 180 Medical, Inc.                                                         | 180 Medical, Inc.                                                                                             | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195889.04     | 0.00%             | 2029-10-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth of the Bahamas                                               | Commonwealth of the Bahamas                                                                                   | CUSIP: N/A<br>LEI: 549300W13SXC7EKNJC20       | Long             | DBT              | NUSS              | BS        |    1000000 | PA      | $1128980.00    | 0.01%             | 2032-10-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                               | Hashemite Kingdom of Jordan                                                                                   | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    1000000 | PA      | $1045000.00    | 0.01%             | 2028-01-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                                   | Republic of El Salvador                                                                                       | CUSIP: N/A<br>LEI: 529900AKDMUSFSDOM949       | Long             | DBT              | NUSS              | SV        |     350000 | PA      | $393779.75     | 0.00%             | 2052-07-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    3200000 | PA      | $3226016.00    | 0.04%             | 2028-09-28      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |     800000 | PA      | $795600.00     | 0.01%             | 2051-09-28      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| EnfraGen Energia Sur SA                                                   | EnfraGen Energia Sur SA                                                                                       | CUSIP: N/A<br>LEI: 2549002TO75PYMY3VY07       | Long             | DBT              | CORP              | ES        |     600000 | PA      | $564000.00     | 0.01%             | 2030-12-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Williams Scotsman, Inc.                                                   | Williams Scotsman, Inc.                                                                                       | CUSIP: 96949VAL7<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |     220000 | PA      | $230329.44     | 0.00%             | 2031-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                 | Republic of Cote d'Ivoire                                                                                     | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    3600000 | PA      | $3855600.00    | 0.05%             | 2033-01-30      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                             | CUSIP: 404280CN7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $190632.76     | 0.00%             | 2030-12-17      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                              | Islamic Republic of Pakistan                                                                                  | CUSIP: N/A<br>LEI: 529900LOP29R5WKHOD86       | Long             | DBT              | NUSS              | PK        |    2100000 | PA      | $2073750.00    | 0.03%             | 2051-04-08      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| TriMas Corp.                                                              | TriMas Corp.                                                                                                  | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |      65000 | PA      | $62741.83      | 0.00%             | 2029-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                         | Republic of Kenya                                                                                             | CUSIP: N/A<br>LEI: 549300VVURQQYU45PR87       | Long             | DBT              | NUSS              | KE        |    2100000 | PA      | $2299500.00    | 0.03%             | 2031-02-16      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| ATI, Inc.                                                                 | ATI, Inc.                                                                                                     | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |      25000 | PA      | $24967.41      | 0.00%             | 2029-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                              | Islamic Republic of Pakistan                                                                                  | CUSIP: N/A<br>LEI: 529900LOP29R5WKHOD86       | Long             | DBT              | NUSS              | PK        |    1700000 | PA      | $1698300.00    | 0.02%             | 2026-04-08      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                              | Islamic Republic of Pakistan                                                                                  | CUSIP: N/A<br>LEI: 529900LOP29R5WKHOD86       | Long             | DBT              | NUSS              | PK        |   11200000 | PA      | $11060000.00   | 0.14%             | 2031-04-08      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                                     | Republic of Guatemala                                                                                         | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |    2000000 | PA      | $2102000.00    | 0.03%             | 2031-08-06      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                        | Republic of Angola                                                                                            | CUSIP: N/A<br>LEI: 549300QHR2R3J8JSGK83       | Long             | DBT              | NUSS              | AO        |     400000 | PA      | $392422.84     | 0.00%             | 2032-04-14      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Azule Energy Finance plc                                                  | Azule Energy Finance plc                                                                                      | CUSIP: N/A<br>LEI: 2138006X6O82RJSQDB63       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $203126.66     | 0.00%             | 2030-01-23      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Congolese International Bond                                              | Republic of Congo (The)                                                                                       | CUSIP: N/A<br>LEI: 529900BXT90HR4QTB688       | Long             | DBT              | NUSS              | CG        |    2300000 | PA      | $2127500.00    | 0.03%             | 2032-11-07      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                               | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    1500000 | PA      | $1612500.00    | 0.02%             | 2036-01-13      | Fixed         | 8.63%                 | Yes           |                  2 | On Loan: No      |
| Republic of Trinidad & Tobago                                             | Republic of Trinidad and Tobago                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | TT        |     500000 | PA      | $507500.00     | 0.01%             | 2034-06-26      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Paraguay Government International Bond                                    | Republic of Paraguay                                                                                          | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    1000000 | PA      | $1097000.00    | 0.01%             | 2055-03-04      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                               | Hashemite Kingdom of Jordan                                                                                   | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    1000000 | PA      | $1048440.00    | 0.01%             | 2029-01-13      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                        | Dominican Republic Government Bond                                                                            | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |     500000 | PA      | $510000.00     | 0.01%             | 2033-02-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| TriNet Group, Inc.                                                        | TriNet Group, Inc.                                                                                            | CUSIP: 896288AC1<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |     150000 | PA      | $145522.91     | 0.00%             | 2031-08-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of Paraguay                                                      | Republic of Paraguay                                                                                          | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     600000 | PA      | $624112.50     | 0.01%             | 2044-08-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                          | Cooper-Standard Automotive, Inc.                                                                              | CUSIP: 216762AH7<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |     719853 | PA      | $735902.84     | 0.01%             | 2027-03-31      | Fixed         | 13.50%                | Yes           |                  2 | On Loan: No      |
| ATI, Inc.                                                                 | ATI, Inc.                                                                                                     | CUSIP: 01741RAN2<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     220000 | PA      | $230443.84     | 0.00%             | 2030-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Transnet                                                                  | Transnet                                                                                                      | CUSIP: N/A<br>LEI: 378900B07CD6F01EA796       | Long             | SN               | CORP              | ZA        |     800000 | PA      | $844000.00     | 0.01%             | 2028-02-06      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Transnet                                                                  | Transnet                                                                                                      | CUSIP: 89378TAD5<br>LEI: 378900B07CD6F01EA796 | Long             | DBT              | NUSS              | ZA        |    1200000 | PA      | $1266000.00    | 0.02%             | 2028-02-06      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Honduras                                                      | Republic of Honduras                                                                                          | CUSIP: N/A<br>LEI: 5493002DW1JNBNG17615       | Long             | DBT              | NUSS              | HN        |     850000 | PA      | $987326.00     | 0.01%             | 2034-11-27      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Knife River Corp.                                                         | Knife River Corp.                                                                                             | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $156378.75     | 0.00%             | 2031-05-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Benin Government International Bond                                       | Benin Government Bond                                                                                         | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |     950000 | PA      | $996084.12     | 0.01%             | 2038-02-13      | Fixed         | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Brazilian Real                                                            | Brazilian Real                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             |  | BR        |         -0 | OU      | $-0.01         | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |    2500000 | PA      | $2040024.00    | 0.03%             | 2040-07-31      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Democratic Socialist Republic of Sri Lanka                                | Democratic Socialist Republic of Sri Lanka                                                                    | CUSIP: N/A<br>LEI: 254900IG6Y30I2QE2R92       | Long             | DBT              | NUSS              | LK        |    4346960 | PA      | $3551466.32    | 0.04%             | 2035-06-15      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                        | Columbia Pipelines Holding Co. LLC                                                                            | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     390000 | PA      | $407669.53     | 0.01%             | 2028-08-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Republic of Zambia                                                        | Republic of Zambia                                                                                            | CUSIP: N/A<br>LEI: 213800DMLAZ6LGMMD849       | Long             | DBT              | NUSS              | ZM        |    1700000 | PA      | $1243652.00    | 0.02%             | 2053-12-31      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Banco del Estado de Chile                                                 | Banco del Estado de Chile                                                                                     | CUSIP: N/A<br>LEI: 5493004R4EJC0W0XVQ72       | Long             | DBT              | NUSS              | CL        |     400000 | PA      | $427880.00     | 0.01%             | 2029-05-02      | Variable      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| TC Ziraat Bankasi A/S                                                     | TC Ziraat Bankasi A/S                                                                                         | CUSIP: N/A<br>LEI: 213800K5KTZFSUS8MR51       | Long             | DBT              | CORP              | TR        |    1400000 | PA      | $1424500.00    | 0.02%             | 2030-11-05      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Serbia International Bond                                                 | Republic of Serbia                                                                                            | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |     400000 | PA      | $421165.52     | 0.01%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Barbados                                                                  | Barbados Government Bond                                                                                      | CUSIP: N/A<br>LEI: 529900UD1KUUS4SFD905       | Long             | DBT              | NUSS              | BB        |    2000000 | PA      | $2135683.60    | 0.03%             | 2035-06-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    1000000 | PA      | $1080000.00    | 0.01%             | 2054-11-19      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Greenko Wind Projects Mauritius Ltd.                                      | Greenko Wind Projects Mauritius Ltd.                                                                          | CUSIP: N/A<br>LEI: 254900MSUXE1FF83DP82       | Long             | DBT              | CORP              | MU        |     400000 | PA      | $408500.00     | 0.01%             | 2028-09-27      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                    | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     800000 | PA      | $865796.00     | 0.01%             | 2030-02-04      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Diversified Gas & Oil Corp.                                               | Diversified Gas & Oil Corp., Series FEB                                                                       | CUSIP: N/A<br>LEI: 5493008O08WU7K5XC271       | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4976723.40    | 0.06%             | 2029-04-09      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: 27927WAR3<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    1412000 | PA      | $1436004.00    | 0.02%             | 2039-01-29      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                                   | Bath & Body Works, Inc.                                                                                       | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     115000 | PA      | $115399.86     | 0.00%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of Honduras                                                      | Republic of Honduras                                                                                          | CUSIP: N/A<br>LEI: 5493002DW1JNBNG17615       | Long             | DBT              | NUSS              | HN        |    1350000 | PA      | $1366456.50    | 0.02%             | 2027-01-19      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero BBVA Mexico | BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero BBVA Mexico                                     | CUSIP: N/A<br>LEI: 549300WIWQK5Q9MCUN92       | Long             | DBT              | CORP              | MX        |    1100000 | PA      | $1094665.00    | 0.01%             | 2033-01-18      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                 | Republic of Cote d'Ivoire                                                                                     | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    2300000 | PA      | $2278150.00    | 0.03%             | 2033-06-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                                   | Republic of El Salvador                                                                                       | CUSIP: N/A<br>LEI: 529900AKDMUSFSDOM949       | Long             | DBT              | NUSS              | SV        |    1852000 | PA      | $1993789.12    | 0.02%             | 2029-02-28      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Petroleos del Peru SA                                                     | Petroleos del Peru SA                                                                                         | CUSIP: N/A<br>LEI: 549300ZMGDLC9JT2OR80       | Long             | DBT              | NUSS              | PE        |     500000 | PA      | $367350.00     | 0.00%             | 2032-06-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                                          | Altice France SA                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | FR        |        334 | NS      | $5344.41       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| EURO                                                                      | EURO                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |     752353 | OU      | $888980.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       6658 | NC      | $1866025.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -778 | NC      | $-262502.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Japanese Yen                                                              | Japanese Yen                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | JP        |          7 | OU      | $0.04          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Instituto Costarricense de Electricidad                                   | Instituto Costarricense de Electricidad                                                                       | CUSIP: 45777VAE7<br>LEI: 5493009VA6AFUB2Q0289 | Long             | DBT              | NUSS              | CR        |     200000 | PA      | $211045.00     | 0.00%             | 2031-10-07      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Diversified Gas & Oil Corp.                                               | Diversified Gas & Oil Corp.                                                                                   | CUSIP: N/A<br>LEI: 5493008O08WU7K5XC271       | Long             | DBT              | CORP              | US        |   11250000 | PA      | $10913011.09   | 0.13%             | 2029-04-09      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust I, Series 2025-3, Class CERT                                                     | CUSIP: 17302FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3378291 | PA      | $3331332.56    | 0.04%             | 2031-06-20      | Fixed         | 25.33%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust I, Series 2025-4, Class CERT                                                     | CUSIP: 17302GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5015087 | PA      | $4931335.42    | 0.06%             | 2031-07-20      | Fixed         | 25.10%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust I, Series 2025-5, Class CERT                                                     | CUSIP: 17302HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6074787 | PA      | $5943571.50    | 0.07%             | 2031-08-20      | Fixed         | 25.83%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust, Series 2025-6, Class CERT                                                       | CUSIP: 17291VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4314984 | PA      | $4242492.08    | 0.05%             | 2031-09-20      | Fixed         | 25.60%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust, Series 2025-7, Class CERT                                                       | CUSIP: 17292DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6934841 | PA      | $6904327.27    | 0.08%             | 2031-10-20      | Fixed         | 25.54%                | Yes           |                  3 | On Loan: No      |
| Republic of Paraguay                                                      | Republic of Paraguay                                                                                          | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     400000 | PA      | $416075.00     | 0.01%             | 2044-08-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                        | Republic of Angola                                                                                            | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     600000 | PA      | $588634.26     | 0.01%             | 2032-04-14      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Bund                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        944 | NC      | $2495674.21    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2 Year Note                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       2170 | NC      | $455562.35     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       6093 | NC      | $2922198.39    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA                                                                                                       | CUSIP: 05578AAY4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     725000 | PA      | $740426.09     | 0.01%             | 2028-01-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1946 | NC      | $-2845100.27   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Ultra Note                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1553 | NC      | $-1046250.23   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Caesars Entertainment, Inc.                                               | Caesars Entertainment, Inc.                                                                                   | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     321000 | PA      | $326199.24     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1675 | NC      | $-2876362.36   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Ghana                                                         | Republic of Ghana                                                                                             | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      17600 | PA      | $17314.00      | 0.00%             | 2026-07-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                         | Republic of Ghana                                                                                             | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     765600 | PA      | $692724.45     | 0.01%             | 2035-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                         | Republic of Ghana                                                                                             | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     465850 | PA      | $456062.49     | 0.01%             | 2029-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Democratic Socialist Republic of Sri Lanka                                | Democratic Socialist Republic of Sri Lanka                                                                    | CUSIP: N/A<br>LEI: 254900IG6Y30I2QE2R92       | Long             | DBT              | NUSS              | LK        |     550379 | PA      | $534555.72     | 0.01%             | 2028-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Citi Asset Receivables Trust I                                            | Citi Asset Receivables Trust I, Series 2025-8, Class CERT                                                     | CUSIP: 17302KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8761222 | PA      | $8841825.06    | 0.11%             | 2031-11-20      | Fixed         | 25.80%                | Yes           |                  3 | On Loan: No      |
| Ardagh Holdings SA                                                        | Ardagh Holdings SA                                                                                            | CUSIP: 985923101<br>LEI: 6354006L1NWUUOPYX274 | Long             | EC               | CORP              | LU        |      48665 | NS      | $406111.86     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CITI ASSET RECEIVABLES TRUST I SERIES                                     | Citi Asset Receivables Trust I, Series 2025-9, Class CERT                                                     | CUSIP: 17292FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12877955 | PA      | $13002871.19   | 0.16%             | 2031-12-20      | Fixed         | 25.14%                | Yes           |                  3 | On Loan: No      |
| Sonangol Finance Ltd.                                                     | Sonangol Finance Ltd.                                                                                         | CUSIP: 83540CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | AO        |    1270000 | PA      | $1260030.50    | 0.02%             | 2031-01-29      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                       | Republic of Ecuador                                                                                           | CUSIP: 27927WAR3<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    7263000 | PA      | $7386471.00    | 0.09%             | 2039-01-29      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** J.P. Morgan Exchange-Traded Fund Trust

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer