# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-26-009301
**Filing Date:** 2026-4
**Character Count:** 1350836
**Document Hash:** 35415f44a9aa4177127bd7646e9cd734
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009301.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009301

**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:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 26912548

**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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Core Plus Bond Fund (Series ID: S000003478)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009620 | Class I      | HLIPX           |
| C000009621 | Class A      | ONIAX           |
| C000009623 | Class C      | OBDCX           |
| C000009624 | Class R6     | JCPUX           |
| C000070639 | Class R2     | JCPZX           |
| C000173236 | Class R3     | JCPPX           |
| C000173237 | Class R4     | JCPQX           |
| C000173238 | Class R5     | JCPYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

- **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:** 800-480-4111

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

- **a. Name of Series:** JPMorgan Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000003478

- **c. LEI of Series:** JW89OQCNJOLWVS3KT374

**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:** $26239258348.50

**Total Liabilities:** $419668116.55

**Net Assets:** $25819590231.95

**Delayed Delivery Securities:** $1779000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 17029.67078000 | **1-Year:** 484015.20404000 | **5-Year:** 3288063.45023000 | **10-Year:** 2915301.09224000 | **30-Year:** 1143757.25286000

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

- **3-Month:** 16095.90301000 | **1-Year:** 423065.91183000 | **5-Year:** 985765.35913000 | **10-Year:** 270151.79932000 | **30-Year:** 75347.26944000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009620 | -0.26%               | 0.41%                | 1.75%                |
| Class ID C000009621 | -0.15%               | 0.39%                | 1.73%                |
| Class ID C000009623 | -0.20%               | 0.33%                | 1.66%                |
| Class ID C000009624 | -0.25%               | 0.42%                | 1.76%                |
| Class ID C000070639 | -0.18%               | 0.36%                | 1.56%                |
| Class ID C000173236 | -0.30%               | 0.38%                | 1.72%                |
| Class ID C000173237 | -0.28%               | 0.40%                | 1.74%                |
| Class ID C000173238 | -0.13%               | 0.41%                | 1.75%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4491024.72             | $-103206545.57                             |
| Month 2  | $-6789727.14             | $20940424.60                               |
| Month 3  | $-9361830.95             | $263083044.59                              |

**Designated Index Information**

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

- **Index Identifier:** 1TRUSD0

### Schedule of Portfolio Investments

| Name                                                                 | Title                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACCO Brands Corp.                                                    | ACCO Brands Corp.                                                                                | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |    6668000 | PA      | $6134321.29    | 0.02%             | 2029-03-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                     | ABN AMRO Bank NV                                                                                 | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    5000000 | PA      | $4587522.50    | 0.02%             | 2037-03-13      | Variable      | 3.32%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                     | ABN AMRO Bank NV                                                                                 | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    6900000 | PA      | $6600460.44    | 0.03%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                     | ABN AMRO Bank NV                                                                                 | CUSIP: 00084DBD1<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   14600000 | PA      | $14846215.86   | 0.06%             | 2028-12-03      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| ACC Claims Holdings LLC                                              | ACC Claims Holdings LLC                                                                          | CUSIP: 00084K104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    1551096 | NS      | $3102.19       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ACC Trust                                                            | ACC Trust, Series 2022-1, Class C                                                                | CUSIP: 00091HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7707939 | PA      | $971015.33     | 0.00%             | 2025-10-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| ACC Trust                                                            | ACC Trust, Series 2021-1, Class D                                                                | CUSIP: 00091KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2629284 | PA      | $301759.49     | 0.00%             | 2027-03-22      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| ABL                                                                  | ABL, Series 2024-RTL1, Class A1                                                                  | CUSIP: 00092EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9350000 | PA      | $9393153.06    | 0.04%             | 2029-09-25      | Variable      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| ABL                                                                  | ABL, Series 2025-RTL1, Class A1                                                                  | CUSIP: 00092RAA7<br>LEI: 254900C9FQN3N2YOSF41 | Long             | ABS-MBS          | CORP              | US        |   39010000 | PA      | $39579561.60   | 0.15%             | 2030-06-25      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| ABL                                                                  | ABL, Series 2025-RTL1, Class A2                                                                  | CUSIP: 00092RAB5<br>LEI: 254900C9FQN3N2YOSF41 | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $12244975.20   | 0.05%             | 2030-06-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| ADT Security Corp. (The)                                             | ADT Security Corp. (The)                                                                         | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    4891000 | PA      | $4771808.78    | 0.02%             | 2029-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                             | AEP Transmission Co. LLC                                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     471000 | PA      | $323149.26     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                             | AEP Transmission Co. LLC, Series M                                                               | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    1942000 | PA      | $1461385.63    | 0.01%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                             | AEP Transmission Co. LLC, Series N                                                               | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    2427000 | PA      | $1503240.65    | 0.01%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                                        | AIB Group plc                                                                                    | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    5408000 | PA      | $5724098.14    | 0.02%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                        | AIB Group plc                                                                                    | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    1400000 | PA      | $1491865.19    | 0.01%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                        | AIB Group plc                                                                                    | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    2205000 | PA      | $2290550.91    | 0.01%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                            | Corebridge Global Funding                                                                        | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    4775000 | PA      | $4810380.08    | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR1, Class D                                                            | CUSIP: 00179CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20175000 | PA      | $19769674.16   | 0.08%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR2, Class F1                                                           | CUSIP: 00179UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6534000 | PA      | $6126925.27    | 0.02%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR2, Class F1                                                           | CUSIP: 00179VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12619682 | PA      | $12483293.52   | 0.05%             | 2038-08-17      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2022-SFR1, Class F                                                            | CUSIP: 00179WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12376995 | PA      | $12329997.07   | 0.05%             | 2039-03-17      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR3, Class E2                                                           | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5936104 | PA      | $5832531.45    | 0.02%             | 2038-10-17      | Fixed         | 2.43%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    5594000 | PA      | $4489325.30    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    8737000 | PA      | $8378391.23    | 0.03%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   13080000 | PA      | $8922758.22    | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   28665000 | PA      | $19406795.79   | 0.08%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    8370000 | PA      | $8519404.42    | 0.03%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RNC2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   20400000 | PA      | $20440037.86   | 0.08%             | 2035-11-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RNE8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   16780000 | PA      | $16280481.05   | 0.06%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                           | AT&T, Inc.                                                                                       | CUSIP: 00206RNH1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    8290000 | PA      | $8412143.37    | 0.03%             | 2036-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                              | American Airlines, Inc.                                                                          | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     702748 | PA      | $703699.31     | 0.00%             | 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        |   12916730 | PA      | $13062775.72   | 0.05%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Abbott Laboratories                                                  | Abbott Laboratories                                                                              | CUSIP: 002824BU3<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   25200000 | PA      | $25207594.52   | 0.10%             | 2036-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                                     | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   24345000 | PA      | $22036721.76   | 0.09%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                                     | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    8158000 | PA      | $6863930.97    | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                                     | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9956272.20    | 0.04%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                                     | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3945052.42    | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                                     | CUSIP: 00287YDX4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3030000 | PA      | $2980868.49    | 0.01%             | 2064-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                                     | CUSIP: 00287YEG0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    6005000 | PA      | $6036457.13    | 0.02%             | 2036-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                                               | Accelerated Assets LLC, Series 2018-1, Class C                                                   | CUSIP: 00436MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     358746 | PA      | $342057.25     | 0.00%             | 2033-12-02      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                                      | Accelerated LLC, Series 2021-1H, Class D                                                         | CUSIP: 00439KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1977959 | PA      | $1837722.04    | 0.01%             | 2040-10-20      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                                      | Accelerated LLC, Series 2024-1A, Class D                                                         | CUSIP: 00440MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8106584 | PA      | $8193707.37    | 0.03%             | 2044-08-22      | Fixed         | 7.85%                 | Yes           |                  2 | On Loan: No      |
| Acushnet Co.                                                         | Acushnet Co.                                                                                     | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |     969000 | PA      | $986215.25     | 0.00%             | 2033-12-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| AdaptHealth LLC                                                      | AdaptHealth LLC                                                                                  | CUSIP: 00653VAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2171000 | PA      | $2083042.37    | 0.01%             | 2029-08-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                          | Adient Global Holdings Ltd.                                                                      | CUSIP: 00687YAB1<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    2782000 | PA      | $2836646.83    | 0.01%             | 2028-04-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                          | Adient Global Holdings Ltd.                                                                      | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    2102000 | PA      | $2206074.22    | 0.01%             | 2033-02-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| AECOM                                                                | AECOM                                                                                            | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |    2096000 | PA      | $2141613.15    | 0.01%             | 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        |   10510000 | PA      | $10224329.48   | 0.04%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5938000 | PA      | $5549064.09    | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                       | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2238000 | PA      | $2365285.85    | 0.01%             | 2055-03-10      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                       | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   10000000 | PA      | $10139920.60   | 0.04%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1729000 | PA      | $1726464.82    | 0.01%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                       | CUSIP: 00774MBU8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1352000 | PA      | $1354647.32    | 0.01%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                          | Aetna, Inc.                                                                                      | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |     218000 | PA      | $189432.41     | 0.00%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                        | Air Canada Pass-Through Trust, Series 2015-2, Class AA                                           | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     578746 | PA      | $571847.17     | 0.00%             | 2027-12-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                        | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                           | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5629624 | PA      | $5451752.09    | 0.02%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                        | Air Canada Pass-Through Trust, Series 2017-1, Class A                                            | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     718872 | PA      | $691726.74     | 0.00%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                        | Air Canada Pass-Through Trust, Series 2015-1, Class A                                            | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2124523 | PA      | $2103858.67    | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Aker BP ASA                                                          | Aker BP ASA                                                                                      | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    2560000 | PA      | $2404437.66    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Alabama Power Co.                                                    | Alabama Power Co.                                                                                | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     865000 | PA      | $961638.70     | 0.00%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                    | Alabama Power Co.                                                                                | CUSIP: 010392FD5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    1214000 | PA      | $1255885.68    | 0.00%             | 2041-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                    | Alabama Power Co., Series A                                                                      | CUSIP: 010392FS2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     340000 | PA      | $285271.10     | 0.00%             | 2048-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                | Albertsons Cos., Inc.                                                                            | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1116000 | PA      | $1106790.43    | 0.00%             | 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        |    2350000 | PA      | $2265922.17    | 0.01%             | 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        |    2029000 | PA      | $2042655.17    | 0.01%             | 2031-03-31      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                | Albertsons Cos., Inc.                                                                            | CUSIP: 01309QAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1616920.18    | 0.01%             | 2034-03-31      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                | Albertsons Cos., Inc.                                                                            | CUSIP: 01309QAE8<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    3674000 | PA      | $3688463.03    | 0.01%             | 2032-03-31      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                | Alexandria Real Estate Equities, Inc.                                                            | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2890000 | PA      | $2721459.59    | 0.01%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                | Alexandria Real Estate Equities, Inc.                                                            | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2801000 | PA      | $2330847.75    | 0.01%             | 2033-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                | Alexandria Real Estate Equities, Inc.                                                            | CUSIP: 015271BB4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    1059000 | PA      | $960957.22     | 0.00%             | 2053-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ATI, Inc.                                                            | ATI, Inc.                                                                                        | CUSIP: 01741RAH5<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |    6088000 | PA      | $6090333.83    | 0.02%             | 2027-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Allianz SE                                                           | Allianz SE                                                                                       | CUSIP: 018820AD2<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |   12000000 | PA      | $12270108.00   | 0.05%             | 2054-09-03      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                                           | Alliant Energy Finance LLC                                                                       | CUSIP: 01882YAF3<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1874002.03    | 0.01%             | 2027-06-06      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                          | Allied Universal Holdco LLC                                                                      | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2807000 | PA      | $2786039.57    | 0.01%             | 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        |     243000 | PA      | $242717.97     | 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        |    3939000 | PA      | $3979973.48    | 0.02%             | 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        |    3368000 | PA      | $3203832.67    | 0.01%             | 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        |    1111000 | PA      | $1134574.63    | 0.00%             | 2033-12-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA/FHLMC                                                           | FNMA/FHLMC UMBS, Single Family, 30 Year                                                          | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59355000 | PA      | $58693203.03   | 0.23%             | 2056-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                 | Ally Financial, Inc.                                                                             | CUSIP: 02005NBS8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    1195000 | PA      | $1246128.06    | 0.00%             | 2033-02-14      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                       | Alphabet, Inc.                                                                                   | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   23900000 | PA      | $24292564.43   | 0.09%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                       | Alphabet, Inc.                                                                                   | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    6755000 | PA      | $6912106.98    | 0.03%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-26CB, Class A9                                               | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112454 | PA      | $53626.83      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                   | Altria Group, Inc.                                                                               | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3883000 | PA      | $3484851.90    | 0.01%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                   | Altria Group, Inc.                                                                               | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    9538000 | PA      | $7480056.04    | 0.03%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                   | Altria Group, Inc.                                                                               | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    7990000 | PA      | $8399591.77    | 0.03%             | 2035-02-06      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                   | Altria Group, Inc.                                                                               | CUSIP: 02209SBU6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    5590000 | PA      | $5687415.09    | 0.02%             | 2030-08-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alumina Pty. Ltd.                                                    | Alumina Pty. Ltd.                                                                                | CUSIP: 02220AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    1423000 | PA      | $1474929.54    | 0.01%             | 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        |    2069000 | PA      | $2148116.49    | 0.01%             | 2032-09-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                                  | Amcor Flexibles North America, Inc.                                                              | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $6893041.33    | 0.03%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Amer Sports Co.                                                      | Amer Sports Co.                                                                                  | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |    3469000 | PA      | $3621722.73    | 0.01%             | 2031-02-16      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Ameren Corp.                                                         | Ameren Corp.                                                                                     | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    2321000 | PA      | $2251955.68    | 0.01%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Co.                                                  | Ameren Illinois Co.                                                                              | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    3835000 | PA      | $2673701.79    | 0.01%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Co.                                                  | Ameren Illinois Co.                                                                              | CUSIP: 02361DBA7<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    6416000 | PA      | $6623031.68    | 0.03%             | 2033-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Co.                                                  | Ameren Illinois Co.                                                                              | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3590691.73    | 0.01%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                 | American Airlines Pass-Through Trust, Series 2016-2, Class AA                                    | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     567550 | PA      | $557312.72     | 0.00%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                 | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                    | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     754388 | PA      | $736046.76     | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                              | American Airlines, Inc.                                                                          | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     880000 | PA      | $896869.05     | 0.00%             | 2028-02-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                 | American Airlines Pass-Through Trust, Series 2015-2, Class A                                     | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1601909 | PA      | $1577212.82    | 0.01%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                  | American Axle & Manufacturing, Inc.                                                              | CUSIP: 02406PBA7<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |     861000 | PA      | $861787.82     | 0.00%             | 2028-07-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| American Builders & Contractors Supply Co., Inc.                     | American Builders & Contractors Supply Co., Inc.                                                 | CUSIP: 024747AF4<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |    4143000 | PA      | $4082651.40    | 0.02%             | 2028-01-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| American Builders & Contractors Supply Co., Inc.                     | American Builders & Contractors Supply Co., Inc.                                                 | CUSIP: 024747AG2<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |    1790000 | PA      | $1727918.15    | 0.01%             | 2029-11-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2023-4, Class C                             | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5533858 | PA      | $5574413.28    | 0.02%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                                 | American Express Co.                                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2525692.18    | 0.01%             | 2028-02-16      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                 | American Express Co.                                                                             | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   15218000 | PA      | $15723640.88   | 0.06%             | 2031-04-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                 | American Express Co.                                                                             | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4570000 | PA      | $4839716.14    | 0.02%             | 2036-04-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                 | American Express Co.                                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5429170.01    | 0.02%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                 | American General Mortgage Loan Trust, Series 2006-1, Class A5                                    | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        412 | PA      | $478.05        | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| American Water Capital Corp.                                         | American Water Capital Corp.                                                                     | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     602000 | PA      | $594008.14     | 0.00%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                         | American Water Capital Corp.                                                                     | CUSIP: 03040WBD6<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3535461.78    | 0.01%             | 2034-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                        | Cencora, Inc.                                                                                    | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    1512000 | PA      | $1568413.42    | 0.01%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                        | Cencora, Inc.                                                                                    | CUSIP: 03073EBD6<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    9135000 | PA      | $9201878.25    | 0.04%             | 2033-02-13      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                        | Cencora, Inc.                                                                                    | CUSIP: 03073EBE4<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    4789000 | PA      | $4822618.97    | 0.02%             | 2036-02-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                                      | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    4015000 | PA      | $3505261.86    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                                      | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   14977000 | PA      | $13385275.14   | 0.05%             | 2053-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                                      | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3893000 | PA      | $4062551.40    | 0.02%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                                      | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3883000 | PA      | $3968537.36    | 0.02%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                                      | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    5370000 | PA      | $5360432.81    | 0.02%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                                      | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     297000 | PA      | $294386.53     | 0.00%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                          | Amgen, Inc.                                                                                      | CUSIP: 031162DW7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3937000 | PA      | $3958295.86    | 0.02%             | 2036-02-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Amkor Technology, Inc.                                               | Amkor Technology, Inc.                                                                           | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |    3734000 | PA      | $3810319.23    | 0.01%             | 2033-10-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR2G, Class G1                                                          | CUSIP: 031928AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15078000 | PA      | $13191908.06   | 0.05%             | 2028-08-19      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| ams-OSRAM AG                                                         | ams-OSRAM AG                                                                                     | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |    1900000 | PA      | $2024108.00    | 0.01%             | 2029-03-30      | Fixed         | 12.25%                | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class M1                                                | CUSIP: 03290CAC0<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |    7600000 | PA      | $7678513.32    | 0.03%             | 2040-05-25      | Variable      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust                                                                            | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $12581060.00   | 0.05%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust                                                                            | CUSIP: 03332JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $7638048.75    | 0.03%             | 2031-03-25      | Variable      | 10.14%                | No            |                  3 | On Loan: No      |
| Anglo American Capital plc                                           | Anglo American Capital plc                                                                       | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   14390000 | PA      | $13397090.00   | 0.05%             | 2030-09-10      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                   | Republic of Angola                                                                               | CUSIP: 035198AD2<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    2500000 | PA      | $2487500.00    | 0.01%             | 2029-11-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                              | Anheuser-Busch Cos. LLC                                                                          | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7757000 | PA      | $7777030.28    | 0.03%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                         | Antero Midstream Partners LP                                                                     | CUSIP: 03690AAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3690000 | PA      | $3688668.65    | 0.01%             | 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        |    6866000 | PA      | $6867366.33    | 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        |    1844000 | PA      | $1871938.28    | 0.01%             | 2033-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Aon Corp.                                                            | Aon Corp.                                                                                        | CUSIP: 03740LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     864000 | PA      | $904109.12     | 0.00%             | 2033-02-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                          | Apple, Inc.                                                                                      | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     971000 | PA      | $780261.63     | 0.00%             | 2047-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                          | Apple, Inc.                                                                                      | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   11155000 | PA      | $7094470.46    | 0.03%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                   | Aqua Finance Trust, Series 2019-A, Class B                                                       | CUSIP: 038370AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7106734 | PA      | $6986081.15    | 0.03%             | 2040-07-16      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                   | Aqua Finance Trust, Series 2020-AA, Class C                                                      | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2699484 | PA      | $2630368.52    | 0.01%             | 2046-07-17      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                   | Aqua Finance Trust, Series 2020-AA, Class D                                                      | CUSIP: 038413AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3166627 | PA      | $3237416.74    | 0.01%             | 2046-07-17      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                               | Arab Republic of Egypt                                                                           | CUSIP: 03846JAG5<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1938000 | PA      | $2174203.44    | 0.01%             | 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        |    1613000 | PA      | $1745661.19    | 0.01%             | 2030-02-04      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty SR, Inc.                                                | Arbor Realty SR, Inc., Series QIB                                                                | CUSIP: 03881NAG2<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |   17715000 | PA      | $17703254.07   | 0.07%             | 2027-10-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                                             | Arbor Realty Trust, Inc., Series QIB                                                             | CUSIP: 038923AQ1<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   29123000 | PA      | $27910867.54   | 0.11%             | 2027-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                                             | Arbor Realty Trust, Inc.                                                                         | CUSIP: 038923AW8<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $4846676.53    | 0.02%             | 2026-04-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                                             | Arbor Realty Trust, Inc., Series QIB                                                             | CUSIP: 038923AX6<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   18930000 | PA      | $18669380.09   | 0.07%             | 2026-09-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Archrock Services LP                                                 | Archrock Services LP                                                                             | CUSIP: 03958CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     565000 | PA      | $572053.46     | 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        |    5645000 | PA      | $5874424.09    | 0.02%             | 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        |    9786000 | PA      | $9455722.50    | 0.04%             | 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        |    3592000 | PA      | $3889838.51    | 0.02%             | 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        |   29440000 | PA      | $22142560.00   | 0.09%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Argentine Republic (The)                                             | Argentine Republic                                                                               | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    8900000 | PA      | $6216961.50    | 0.02%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Arizona Public Service Co.                                           | Arizona Public Service Co.                                                                       | CUSIP: 040555CP7<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     146000 | PA      | $128635.60     | 0.00%             | 2044-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Arizona Public Service Co.                                           | Arizona Public Service Co.                                                                       | CUSIP: 040555CY8<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     971000 | PA      | $789894.60     | 0.00%             | 2049-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                        | Asbury Automotive Group, Inc.                                                                    | CUSIP: 043436AU8<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |    3812000 | PA      | $3789443.63    | 0.01%             | 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        |    1424000 | PA      | $1401567.44    | 0.01%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  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    | 0.01%             | 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        |    1415000 | PA      | $1468327.11    | 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        |    2271000 | PA      | $2385249.47    | 0.01%             | 2032-12-31      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                   | Atmos Energy Corp.                                                                               | CUSIP: 049560AK1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    1078000 | PA      | $1115187.72    | 0.00%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                   | Atmos Energy Corp.                                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     928000 | PA      | $597925.29     | 0.00%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                   | Atmos Energy Corp.                                                                               | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    2083000 | PA      | $2138405.68    | 0.01%             | 2052-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Avantor Funding, Inc.                                                | Avantor Funding, Inc.                                                                            | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    4178000 | PA      | $4139913.60    | 0.02%             | 2028-07-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Avient Corp.                                                         | Avient Corp.                                                                                     | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |    4618000 | PA      | $4758710.46    | 0.02%             | 2030-08-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Avient Corp.                                                         | Avient Corp.                                                                                     | CUSIP: 05368VAB2<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     285000 | PA      | $294316.37     | 0.00%             | 2031-11-01      | Fixed         | 6.25%                 | 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        |    3593000 | PA      | $3588204.42    | 0.01%             | 2027-07-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                           | Avis Budget Car Rental LLC                                                                       | CUSIP: 053773BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2047000 | PA      | $1959660.45    | 0.01%             | 2029-03-01      | Fixed         | 5.38%                 | 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        |    2975000 | PA      | $2948968.75    | 0.01%             | 2031-02-15      | Fixed         | 8.00%                 | 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        |    3250000 | PA      | $3352310.33    | 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        |    6750000 | PA      | $7012500.75    | 0.03%             | 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        |    3660000 | PA      | $3813244.20    | 0.01%             | 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        |   11663000 | PA      | $12132669.01   | 0.05%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                     | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   34030000 | PA      | $35530723.00   | 0.14%             | 2029-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                     | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   19980000 | PA      | $20454325.20   | 0.08%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                     | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     865000 | PA      | $893895.33     | 0.00%             | 2030-05-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                     | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   14910000 | PA      | $15126127.91   | 0.06%             | 2030-10-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                     | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    2070000 | PA      | $2074536.82    | 0.01%             | 2032-10-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                           | Axalta Coating Systems LLC                                                                       | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3121000 | PA      | $3119402.98    | 0.01%             | 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        |    1570000 | PA      | $1650494.86    | 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        |     436000 | PA      | $449352.94     | 0.00%             | 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        |    1078000 | PA      | $1117367.48    | 0.00%             | 2033-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BBCCRE Trust                                                         | BBCCRE Trust, Series 2015-GTP, Class A                                                           | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9126000 | PA      | $8638174.23    | 0.03%             | 2033-08-10      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class C736                                               | CUSIP: 05494BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10609000 | PA      | $10392516.99   | 0.04%             | 2052-09-27      | Variable      | 1.74%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class D736                                               | CUSIP: 05494BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10608000 | PA      | $10296336.96   | 0.04%             | 2052-09-27      | Variable      | 1.74%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class CK73                                               | CUSIP: 05494BAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7519000 | PA      | $6863016.88    | 0.03%             | 2051-02-27      | Variable      | 1.02%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class DK73                                               | CUSIP: 05494BAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7518000 | PA      | $6727260.52    | 0.03%             | 2051-02-27      | Variable      | 1.01%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class CK86                                               | CUSIP: 05494BBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8773000 | PA      | $7446311.85    | 0.03%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class DK86                                               | CUSIP: 05494BBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7496000 | PA      | $6160804.98    | 0.02%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                      | BAE Systems plc                                                                                  | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    1494000 | PA      | $1024052.42    | 0.00%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                      | BAE Systems plc                                                                                  | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     764000 | PA      | $688288.52     | 0.00%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                                    | BAT Capital Corp.                                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1865398.76    | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                    | BAT Capital Corp.                                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   24553000 | PA      | $22932505.68   | 0.09%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                    | BAT Capital Corp.                                                                                | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     267000 | PA      | $258276.30     | 0.00%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                    | BAT Capital Corp.                                                                                | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    6410000 | PA      | $6153649.81    | 0.02%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BHP Billiton Finance USA Ltd.                                        | BHP Billiton Finance USA Ltd.                                                                    | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    1942000 | PA      | $1998412.61    | 0.01%             | 2033-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                   | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3800000 | PA      | $4044742.80    | 0.02%             | 2029-08-16      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    6380000 | PA      | $6482170.15    | 0.03%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   10690000 | PA      | $11352455.88   | 0.04%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11360000 | PA      | $12766901.69   | 0.05%             | 2034-10-19      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    8035000 | PA      | $8479463.58    | 0.03%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   13100000 | PA      | $14110706.13   | 0.05%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05578AAY4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   17959000 | PA      | $18341120.11   | 0.07%             | 2028-01-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05578AE46<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1625000 | PA      | $1643995.11    | 0.01%             | 2027-07-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    6550000 | PA      | $5948223.73    | 0.02%             | 2032-10-19      | Variable      | 3.12%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                   | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   21495000 | PA      | $22108409.26   | 0.09%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                          | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2015000 | PA      | $1814616.57    | 0.01%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| BG Beta I Ltd.                                                       | BG Beta Ltd.                                                                                     | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   23765000 | PA      | $24471176.98   | 0.09%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| BG Beta I Ltd.                                                       | BG Beta Ltd.                                                                                     | CUSIP: 05593PAE6<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   30058934 | PA      | $30750289.82   | 0.12%             | 2054-07-16      | Fixed         | 7.12%                 | No            |                  3 | On Loan: No      |
| BG Beta I Ltd.                                                       | BG Beta I Ltd.                                                                                   | CUSIP: 05593PAG1<br>LEI: 254900Z3OU5JTNX05R08 | Long             | DBT              | CORP              | KY        |   23760000 | PA      | $23973763.97   | 0.09%             | 2054-07-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BWAY Mortgage Trust                                                  | BWAY Mortgage Trust, Series 2013-1515, Class F                                                   | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4853724 | PA      | $4150751.39    | 0.02%             | 2033-03-10      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| BWX Technologies, Inc.                                               | BWX Technologies, Inc.                                                                           | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     675000 | PA      | $668523.98     | 0.00%             | 2028-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BWX Technologies, Inc.                                               | BWX Technologies, Inc.                                                                           | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |    1633000 | PA      | $1598607.55    | 0.01%             | 2029-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class BGX1                                               | CUSIP: 05620CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8920000 | PA      | $8572299.29    | 0.03%             | 2037-10-27      | Variable      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth of the Bahamas                                          | Commonwealth of the Bahamas                                                                      | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    4943000 | PA      | $5531859.59    | 0.02%             | 2036-06-24      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Baker Hughes Holdings LLC                                            | Baker Hughes Holdings LLC                                                                        | CUSIP: 057224AZ0<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | CORP              | US        |     877000 | PA      | $871955.32     | 0.00%             | 2040-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Baker Hughes Holdings LLC                                            | Baker Hughes Holdings LLC                                                                        | CUSIP: 05723KAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1864000 | PA      | $1514767.41    | 0.01%             | 2047-12-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Ball Corp.                                                           | Ball Corp.                                                                                       | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    5521000 | PA      | $5692360.80    | 0.02%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ball Corp.                                                           | Ball Corp.                                                                                       | CUSIP: 058498BA3<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    2765000 | PA      | $2845397.91    | 0.01%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                       | Baltimore Gas and Electric Co.                                                                   | CUSIP: 059165EK2<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1146905.49    | 0.00%             | 2048-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                       | Baltimore Gas and Electric Co.                                                                   | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    1432000 | PA      | $991585.65     | 0.00%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                       | Baltimore Gas and Electric Co.                                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     816000 | PA      | $531926.92     | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                       | Baltimore Gas and Electric Co.                                                                   | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    7576000 | PA      | $7950878.21    | 0.03%             | 2035-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                   | Banco Bilbao Vizcaya Argentaria SA                                                               | CUSIP: 05946KAQ4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   24600000 | PA      | $25595759.29   | 0.10%             | 2029-03-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-5, Class 3A5                                          | CUSIP: 05946XF57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     428820 | PA      | $428443.00     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-7, Class 30                                           | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16107 | PA      | $16445.27      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                               | Banc of America Alternative Loan Trust, Series 2004-6, Class 4A1                                 | CUSIP: 05948KSN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8720 | PA      | $7782.55       | 0.00%             | 2019-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2004-F, Class 1A1                                         | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33428 | PA      | $32305.73      | 0.00%             | 2034-07-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                               | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3000000 | PA      | $2964111.45    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                               | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   23000000 | PA      | $23840137.10   | 0.09%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                               | CUSIP: 05971KAP4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   15000000 | PA      | $16659255.00   | 0.06%             | 2028-11-21      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                               | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   12000000 | PA      | $12095836.56   | 0.05%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                               | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   12400000 | PA      | $12477983.72   | 0.05%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Banco Nacional de Comercio Exterior SNC                              | Banco Nacional de Comercio Exterior SNC                                                          | CUSIP: 05973JAA8<br>LEI: 4469000001BL6VG3DH44 | Long             | DBT              | CORP              | MX        |    2850000 | PA      | $2809131.00    | 0.01%             | 2031-08-11      | Variable      | 2.72%                 | Yes           |                  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        |    5614196 | PA      | $5849076.98    | 0.02%             | 2041-01-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Banco Nacional de Comercio Exterior SNC                              | Banco Nacional de Comercio Exterior SNC                                                          | CUSIP: 05974TAA5<br>LEI: 4469000001BL6VG3DH44 | Long             | DBT              | CORP              | MX        |    2450000 | PA      | $2538114.25    | 0.01%             | 2030-05-07      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 060505GR9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   20460000 | PA      | $20755101.54   | 0.08%             | 2037-02-06      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     971000 | PA      | $967898.27     | 0.00%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     266000 | PA      | $265808.78     | 0.00%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11190000 | PA      | $11180050.19   | 0.04%             | 2030-02-07      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8019000 | PA      | $8013181.17    | 0.03%             | 2027-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GHU6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1491000 | PA      | $1339895.17    | 0.01%             | 2040-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   13198000 | PA      | $12395965.85   | 0.05%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3398000 | PA      | $2756104.51    | 0.01%             | 2051-03-20      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8412000 | PA      | $6252364.28    | 0.02%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   14562000 | PA      | $13223303.84   | 0.05%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7165000 | PA      | $6465105.39    | 0.03%             | 2031-10-24      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp., Series N                                                                  | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $4500464.69    | 0.02%             | 2032-03-11      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp., Series N                                                                  | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3083000 | PA      | $3081264.80    | 0.01%             | 2027-03-11      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     724000 | PA      | $670367.22     | 0.00%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   12355000 | PA      | $11840577.71   | 0.05%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   21357000 | PA      | $19268108.35   | 0.07%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15030000 | PA      | $14224189.85   | 0.06%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3223000 | PA      | $3337643.46    | 0.01%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2369000 | PA      | $2427150.02    | 0.01%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22241000 | PA      | $23195458.50   | 0.09%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10662000 | PA      | $11173736.02   | 0.04%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10244145.30   | 0.04%             | 2035-08-15      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   16910000 | PA      | $17551581.13   | 0.07%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06055HAH6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $9003417.40    | 0.03%             | 2030-05-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                            | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15805000 | PA      | $16262746.62   | 0.06%             | 2030-07-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                            | Bank of Ireland Group plc                                                                        | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    4145000 | PA      | $4312785.91    | 0.02%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                                     | Bank of Montreal                                                                                 | CUSIP: 06368L3L8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    3500000 | PA      | $3709386.00    | 0.01%             | 2031-06-04      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                  | Bank of New York Mellon Corp. (The)                                                              | CUSIP: 06406RBT3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2645860.65    | 0.01%             | 2029-10-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                  | Bank of New York Mellon Corp. (The)                                                              | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    8610000 | PA      | $9652129.00    | 0.04%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                            | Bank of Nova Scotia (The)                                                                        | CUSIP: 06418GAN7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    7050000 | PA      | $7176500.62    | 0.03%             | 2032-11-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2019-BN19, Class A3                                                                 | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9707447 | PA      | $9318407.47    | 0.04%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| BankBoston Home Equity Loan Trust                                    | BankBoston Home Equity Loan Trust, Series 1998-1, Class A6                                       | CUSIP: 06606WAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |          4 | PA      | $3.68          | 0.00%             | 2028-07-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                | Banque Federative du Credit Mutuel SA                                                            | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    6790000 | PA      | $7052231.16    | 0.03%             | 2028-07-13      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   17880000 | PA      | $20521985.28   | 0.08%             | 2033-11-02      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                                     | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   26660000 | PA      | $27278903.37   | 0.11%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                                     | CUSIP: 06738EDJ1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   16655000 | PA      | $16691864.68   | 0.06%             | 2032-02-24      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                                     | CUSIP: 06738EDK8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    5485000 | PA      | $5479823.04    | 0.02%             | 2037-02-24      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                | Bastion Funding I LLC, Series 2023-1A, Class A2                                                  | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   13485037 | PA      | $13607427.26   | 0.05%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| Bastion Funding LLC                                                  | Bastion Funding LLC, Series 2023-1A, Class B                                                     | CUSIP: 07030UAC6<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |    8512811 | PA      | $8642205.83    | 0.03%             | 2038-04-25      | Fixed         | 8.06%                 | Yes           |                  3 | On Loan: No      |
| Bastion Funding I LLC                                                | Bastion Funding I LLC, Series 2023-1A, Class C                                                   | CUSIP: 07030UAE2<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |     540134 | PA      | $540188.14     | 0.00%             | 2038-04-25      | Fixed         | 11.73%                | Yes           |                  3 | On Loan: No      |
| Bausch + Lomb Corp.                                                  | Bausch + Lomb Corp.                                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |    1051000 | PA      | $1089098.75    | 0.00%             | 2028-10-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Bausch Health Cos., Inc.                                             | Bausch Health Cos., Inc.                                                                         | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     660000 | PA      | $614215.80     | 0.00%             | 2028-06-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust                            | Bayview Opportunity Master Fund Trust, Series 2024-SN1, Class E                                  | CUSIP: 072926AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $8204118.40    | 0.03%             | 2029-10-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7776 | PA      | $7824.68       | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD2, Class 2A                            | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      86708 | PA      | $85655.81      | 0.00%             | 2043-06-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| SACO I, Inc.                                                         | SACO I, Inc., Series 1997-2, Class 1A5                                                           | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8139 | PA      | $7440.94       | 0.00%             | 2036-08-25      | Fixed         | 7.00%                 | Yes           |                  3 | On Loan: No      |
| Benin Government International Bond                                  | Benin Government Bond                                                                            | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    4189000 | PA      | $4392206.71    | 0.02%             | 2038-02-13      | Fixed         | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Co.                                        | Berkshire Hathaway Energy Co.                                                                    | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    7514000 | PA      | $4744438.63    | 0.02%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Co.                                        | Berkshire Hathaway Energy Co.                                                                    | CUSIP: 084659BF7<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $984280.32     | 0.00%             | 2053-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                     | Berkshire Hathaway Finance Corp.                                                                 | CUSIP: 084664CX7<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    2190000 | PA      | $1321418.23    | 0.01%             | 2051-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                     | Berkshire Hathaway Finance Corp.                                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    4281000 | PA      | $3327098.25    | 0.01%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                   | Berry Global, Inc.                                                                               | CUSIP: 08576BAB8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   25745000 | PA      | $27415828.10   | 0.11%             | 2031-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Big River Steel LLC                                                  | Big River Steel LLC                                                                              | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2778000 | PA      | $2792881.75    | 0.01%             | 2029-01-31      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                                         | Biogen, Inc.                                                                                     | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9275868.10    | 0.04%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bioceanico Sovereign Certificate Ltd.                                | Bioceanico Sovereign Certificate Ltd.                                                            | CUSIP: 09076AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1295501 | PA      | $1070006.49    | 0.00%             | 2034-06-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Blue Racer Midstream LLC                                             | Blue Racer Midstream LLC                                                                         | CUSIP: 095796AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3170000 | PA      | $3175991.30    | 0.01%             | 2026-07-15      | 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        |    1596000 | PA      | $1662875.59    | 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        |    1116000 | PA      | $1180405.48    | 0.00%             | 2032-07-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                   | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   14140000 | PA      | $14770862.89   | 0.06%             | 2035-11-19      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                   | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $966648.33     | 0.00%             | 2028-09-30      | Variable      | 1.90%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                   | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     832000 | PA      | $791428.03     | 0.00%             | 2029-09-15      | Variable      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                   | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2128000 | PA      | $1966301.56    | 0.01%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                   | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    4215000 | PA      | $4376504.43    | 0.02%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                     | Bombardier, Inc.                                                                                 | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    2012000 | PA      | $2010366.14    | 0.01%             | 2028-02-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                     | Bombardier, Inc.                                                                                 | CUSIP: 097751CA7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1935000 | PA      | $2073046.77    | 0.01%             | 2030-11-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Boyne USA, Inc.                                                      | Boyne USA, Inc.                                                                                  | CUSIP: 103557AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4467935.70    | 0.02%             | 2029-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                     | BP Capital Markets America, Inc.                                                                 | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    5102000 | PA      | $3412213.82    | 0.01%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                     | BP Capital Markets America, Inc.                                                                 | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    3971000 | PA      | $2519565.59    | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                     | BP Capital Markets America, Inc.                                                                 | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    5194000 | PA      | $3394427.29    | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                     | BP Capital Markets America, Inc.                                                                 | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    2952000 | PA      | $1936875.18    | 0.01%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                     | BP Capital Markets America, Inc.                                                                 | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    4476000 | PA      | $4587894.99    | 0.02%             | 2033-02-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                     | BP Capital Markets America, Inc.                                                                 | CUSIP: 10373QBV1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    3466000 | PA      | $3562553.26    | 0.01%             | 2033-09-11      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                                       | Braskem Netherlands Finance BV                                                                   | CUSIP: 10554TAD7<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    8200000 | PA      | $3453840.00    | 0.01%             | 2030-01-31      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Federative Republic of Brazil                                        | Federative Republic of Brazil                                                                    | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    5000000 | PA      | $5092300.00    | 0.02%             | 2054-05-13      | Fixed         | 7.12%                 | 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        |   10000000 | PA      | $10196519.00   | 0.04%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class E                            | CUSIP: 107933AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26250000 | PA      | $27383629.88   | 0.11%             | 2030-10-15      | Fixed         | 8.43%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class D                            | CUSIP: 10805MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $6168282.60    | 0.02%             | 2030-02-15      | Fixed         | 6.30%                 | 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        |   13900000 | PA      | $14501628.14   | 0.06%             | 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 E                            | CUSIP: 10805NAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32500000 | PA      | $33680292.75   | 0.13%             | 2031-04-15      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2024-SFR1, Class E2                                                         | CUSIP: 10806DAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5900000 | PA      | $5743565.63    | 0.02%             | 2040-08-17      | Fixed         | 5.50%                 | Yes           |                  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        |   17950000 | PA      | $18568321.86   | 0.07%             | 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 E                            | CUSIP: 10806HAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26790000 | PA      | $27669333.53   | 0.11%             | 2032-02-17      | Fixed         | 7.46%                 | Yes           |                  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        |   19555000 | PA      | $19997680.22   | 0.08%             | 2031-08-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                             | Bristol-Myers Squibb Co.                                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5823000 | PA      | $5352495.66    | 0.02%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                             | Bristol-Myers Squibb Co.                                                                         | CUSIP: 110122DR6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    3883000 | PA      | $2807018.25    | 0.01%             | 2040-11-13      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                             | Bristol-Myers Squibb Co.                                                                         | CUSIP: 110122DX3<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $2716722.72    | 0.01%             | 2062-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                             | Bristol-Myers Squibb Co.                                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   11293000 | PA      | $11203445.49   | 0.04%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                   | British Airways Pass-Through Trust, Series 2018-1, Class AA                                      | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     365016 | PA      | $360095.81     | 0.00%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                   | British Airways Pass-Through Trust, Series 2018-1, Class A                                       | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1097580 | PA      | $1073217.11    | 0.00%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                   | British Airways Pass-Through Trust, Series 2019-1, Class AA                                      | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     394020 | PA      | $376249.05     | 0.00%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                   | British Airways Pass-Through Trust, Series 2019-1, Class A                                       | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | ABS-O            | CORP              | US        |     593646 | PA      | $580151.38     | 0.00%             | 2029-06-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                       | Broadcom, Inc.                                                                                   | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   31220000 | PA      | $27297345.30   | 0.11%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                       | Broadcom, Inc.                                                                                   | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10510000 | PA      | $10824999.52   | 0.04%             | 2032-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                       | Broadcom, Inc.                                                                                   | CUSIP: 11135FCT6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     674000 | PA      | $623658.78     | 0.00%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                       | Broadcom, Inc.                                                                                   | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   18573000 | PA      | $18618853.21   | 0.07%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                       | Broadcom, Inc.                                                                                   | CUSIP: 11135FDD0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1160362.94    | 0.00%             | 2056-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                         | Brooklyn Union Gas Co. (The)                                                                     | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |     971000 | PA      | $793771.44     | 0.00%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                         | Brooklyn Union Gas Co. (The)                                                                     | CUSIP: 114259AT1<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $993772.05     | 0.00%             | 2029-03-04      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Buckeye Partners LP                                                  | Buckeye Partners LP                                                                              | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     500000 | PA      | $496380.05     | 0.00%             | 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        |    2156000 | PA      | $2142902.95    | 0.01%             | 2027-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                           | Builders FirstSource, Inc.                                                                       | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   10763000 | PA      | $10264882.98   | 0.04%             | 2032-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                           | Builders FirstSource, Inc.                                                                       | CUSIP: 12008RAS6<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1920000 | PA      | $1977630.72    | 0.01%             | 2034-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                             | Bunge Ltd. Finance Corp.                                                                         | CUSIP: 120568BN9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    6574000 | PA      | $6250993.94    | 0.02%             | 2031-04-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                     | Burlington Northern Santa Fe LLC                                                                 | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2437000 | PA      | $2194009.29    | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                     | Burlington Northern Santa Fe LLC                                                                 | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1873000 | PA      | $1398965.58    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                     | Burlington Northern Santa Fe LLC                                                                 | CUSIP: 12189LBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12708000 | PA      | $12150077.88   | 0.05%             | 2054-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                     | Burlington Northern Santa Fe LLC                                                                 | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16045000 | PA      | $16024845.72   | 0.06%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                     | Burlington Northern Santa Fe LLC                                                                 | CUSIP: 12189TAZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1629000 | PA      | $1826902.99    | 0.01%             | 2037-05-01      | Fixed         | 6.15%                 | No            |                  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        |   10298977 | PA      | $10394269.43   | 0.04%             | 2039-09-15      | Fixed         | 7.97%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                                          | Business Jet Securities LLC, Series 2022-1A, Class C                                             | CUSIP: 12327AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5784444 | PA      | $5786933.92    | 0.02%             | 2037-06-15      | Fixed         | 6.41%                 | Yes           |                  3 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2023-A, Class C                                               | CUSIP: 123919AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10963624 | PA      | $11243747.00   | 0.04%             | 2038-11-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                     | CCO Holdings LLC                                                                                 | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   31486000 | PA      | $30439506.12   | 0.12%             | 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        |   16536000 | PA      | $15772489.89   | 0.06%             | 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        |   15310000 | PA      | $14270456.05   | 0.06%             | 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        |    2525000 | PA      | $2310765.11    | 0.01%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                     | CCO Holdings LLC                                                                                 | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2060000 | PA      | $1915648.18    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB4 LP                                                          | CARS-DB4 LP, Series 2020-1A, Class A6                                                            | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4502487 | PA      | $4304291.80    | 0.02%             | 2050-02-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB4 LP                                                          | CARS-DB4 LP, Series 2020-1A, Class B2                                                            | CUSIP: 12510HAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8697873 | PA      | $8591406.69    | 0.03%             | 2050-02-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB4 LP                                                          | CARS-DB4 LP, Series 2020-1A, Class B3                                                            | CUSIP: 12510HAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9697740 | PA      | $9184834.29    | 0.04%             | 2050-02-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                      | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D                                         | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     898858 | PA      | $887683.57     | 0.00%             | 2047-12-15      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| CF Industries, Inc.                                                  | CF Industries, Inc.                                                                              | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    2063000 | PA      | $1894614.33    | 0.01%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK58                                     | CUSIP: 12529YBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10862634 | PA      | $10560109.64   | 0.04%             | 2029-09-29      | Variable      | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK98                                     | CUSIP: 12529YBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17231384 | PA      | $13780937.21   | 0.05%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK99                                     | CUSIP: 12529YCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11736304 | PA      | $9556919.29    | 0.04%             | 2029-09-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK99                                     | CUSIP: 12529YCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14852394 | PA      | $11374943.58   | 0.04%             | 2029-09-29      | Fixed         | 0.00%                 | 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        |   15884428 | PA      | $15864572.06   | 0.06%             | 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        |    7752218 | PA      | $7742528.16    | 0.03%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFIN LLC                                                             | CFIN LLC, Class B-2                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   21270071 | PA      | $21243483.43   | 0.08%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                      | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                      | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1837305 | PA      | $1828853.78    | 0.01%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                      | CFIN Issuer LLC, Series 2022-RTL1, Class AB                                                      | CUSIP: 12531CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1906005 | PA      | $1895521.74    | 0.01%             | 2026-02-16      | Variable      | 6.50%                 | Yes           |                  3 | On Loan: No      |
| CGI, Inc.                                                            | CGI, Inc.                                                                                        | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    3626000 | PA      | $3576098.73    | 0.01%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                    | Cigna Group (The)                                                                                | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    3480000 | PA      | $3621930.65    | 0.01%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                     | CSC Holdings LLC                                                                                 | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    2039000 | PA      | $1466638.20    | 0.01%             | 2028-02-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CSC Holdings LLC                                                     | CSC Holdings LLC                                                                                 | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    2571000 | PA      | $1542988.99    | 0.01%             | 2031-11-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| COOF Securitization Trust Ltd.                                       | COOF Securitization Trust Ltd., Series 2014-1, Class A                                           | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     827494 | PA      | $53594.32      | 0.00%             | 2040-06-25      | Variable      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class D                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   14756000 | PA      | $12723065.88   | 0.05%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| CNX Resources Corp.                                                  | CNX Resources Corp.                                                                              | CUSIP: 12653CAM0<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |    2585000 | PA      | $2589726.44    | 0.01%             | 2034-03-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| CSL Finance plc                                                      | CSL Finance plc                                                                                  | CUSIP: 12661PAG4<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    9560000 | PA      | $9898686.52    | 0.04%             | 2034-04-03      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                               | CVS Pass-Through Trust                                                                           | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221955 | PA      | $227766.11     | 0.00%             | 2033-01-10      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                               | CVS Pass-Through Trust, Series 2009                                                              | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164501 | PA      | $178600.67     | 0.00%             | 2031-07-10      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class 3A                                   | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     287869 | PA      | $280596.66     | 0.00%             | 2034-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1                                   | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16871 | PA      | $17529.42      | 0.00%             | 2034-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                          | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                             | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      52581 | PA      | $52446.69      | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-22CB, Class 1A1                                              | CUSIP: 12667FRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153930 | PA      | $158267.82     | 0.00%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-23CB, Class A2                                               | CUSIP: 12667GLC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106589 | PA      | $86511.90      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-J6, Class 2A1                                                | CUSIP: 12667GVN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        366 | PA      | $357.29        | 0.00%             | 2025-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                             | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427011 | PA      | $327666.64     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-86CB, Class A11                                              | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273045 | PA      | $151657.59     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120479 | PA      | $99706.58      | 0.00%             | 2035-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2003-J3, Class 2A1                                                | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9068 | PA      | $9421.58       | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A25                                        | CUSIP: 12669FPZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49325 | PA      | $49545.82      | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 2A9                                        | CUSIP: 12669FWD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54148 | PA      | $53826.94      | 0.00%             | 2034-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                       | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class E                                       | CUSIP: 12676JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28800000 | PA      | $29191400.64   | 0.11%             | 2042-11-10      | Variable      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                                 | Coterra Energy, Inc.                                                                             | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    2825000 | PA      | $2821731.70    | 0.01%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                                 | Coterra Energy, Inc.                                                                             | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   10510000 | PA      | $10838279.64   | 0.04%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                                 | Coterra Energy, Inc.                                                                             | CUSIP: 127097AN3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   11397000 | PA      | $11336194.38   | 0.04%             | 2055-02-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Koda Gnb ABS LLC                                                     | Koda Gnb ABS LLC, Series 2023-1A, Class A2                                                       | CUSIP: 127656AB2<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   16967166 | PA      | $17247154.83   | 0.07%             | 2040-04-28      | Fixed         | 7.85%                 | Yes           |                  3 | On Loan: No      |
| Caesars Entertainment, Inc.                                          | Caesars Entertainment, Inc.                                                                      | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    7230000 | PA      | $7412477.97    | 0.03%             | 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        |    9992000 | PA      | $10153840.42   | 0.04%             | 2032-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                         | CaixaBank SA                                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    3445000 | PA      | $3493940.50    | 0.01%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                         | CaixaBank SA                                                                                     | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    3600000 | PA      | $3735132.59    | 0.01%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Calpine LLC                                                          | Calpine LLC                                                                                      | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |   20650000 | PA      | $20642349.18   | 0.08%             | 2028-03-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Camden Property Trust                                                | Camden Property Trust                                                                            | CUSIP: 133131AX0<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |    2869000 | PA      | $2792964.90    | 0.01%             | 2029-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                   | Canadian Imperial Bank of Commerce                                                               | CUSIP: 13607PHS6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    4300000 | PA      | $4377186.81    | 0.02%             | 2030-09-11      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                         | Canadian Pacific Railway Co.                                                                     | CUSIP: 13645RBH6<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    1752000 | PA      | $1196229.16    | 0.00%             | 2051-12-02      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                          | Capital One Financial Corp.                                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2093000 | PA      | $2060286.45    | 0.01%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                                   | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   16746000 | PA      | $17336396.98   | 0.07%             | 2033-02-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                                   | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    2600000 | PA      | $2717057.20    | 0.01%             | 2031-06-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                                   | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    4208000 | PA      | $4367058.19    | 0.02%             | 2032-08-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust                                        | CarNow Auto Receivables Trust, Series 2022-1A, Class E                                           | CUSIP: 14367LAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11649000 | PA      | $330284.10     | 0.00%             | 2028-08-15      | Fixed         | 8.29%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                             | Duke Energy Progress LLC                                                                         | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     297000 | PA      | $256535.24     | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                        | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                          | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5484870 | PA      | $5312066.28    | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2022-N1, Class E                                          | CUSIP: 14686GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6811788 | PA      | $6555859.48    | 0.03%             | 2028-12-11      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-N3, Class D                                          | CUSIP: 14687WAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19000000 | PA      | $19210075.40   | 0.07%             | 2030-12-10      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2023-N4, Class D                                          | CUSIP: 14688LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7860000 | PA      | $8221971.08    | 0.03%             | 2030-02-11      | Fixed         | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class B1                                                | CUSIP: 14731QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2193205.25    | 0.01%             | 2046-02-25      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class B2                                                | CUSIP: 14731QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2550000 | PA      | $2269489.29    | 0.01%             | 2046-02-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2019-MH1, Class B                                                 | CUSIP: 14732FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16502660 | PA      | $15689062.36   | 0.06%             | 2044-11-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2022-MH1, Class M                                                 | CUSIP: 14732KAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13172139 | PA      | $10690271.05   | 0.04%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                        | Six Flags Entertainment Corp.                                                                    | CUSIP: 150190AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1871000 | PA      | $1799577.76    | 0.01%             | 2029-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                        | Six Flags Entertainment Corp.                                                                    | CUSIP: 150190AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4805000 | PA      | $4809002.57    | 0.02%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                             | Celanese US Holdings LLC                                                                         | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $2055723.15    | 0.01%             | 2032-07-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                             | Celanese US Holdings LLC                                                                         | CUSIP: 15089QBC7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    5626000 | PA      | $5794729.37    | 0.02%             | 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        |   10919000 | PA      | $11217252.49   | 0.04%             | 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 2024-RTL1, Class A2               | CUSIP: 15169CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8691000 | PA      | $8807876.57    | 0.03%             | 2029-10-25      | Variable      | 8.34%                 | Yes           |                  3 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                              | CenterPoint Energy Houston Electric LLC, Series AD                                               | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1942000 | PA      | $1272198.57    | 0.00%             | 2050-07-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                        | Centex Home Equity Loan Trust, Series 2001-B, Class A6                                           | CUSIP: 152314DQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8716 | PA      | $8418.66       | 0.00%             | 2032-07-25      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Central Garden & Pet Co.                                             | Central Garden & Pet Co.                                                                         | CUSIP: 153527AM8<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |     520000 | PA      | $519464.50     | 0.00%             | 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        |    2864000 | PA      | $2763836.18    | 0.01%             | 2030-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Central Garden & Pet Co.                                             | Central Garden & Pet Co.                                                                         | CUSIP: 153527AP1<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |     874000 | PA      | $834280.98     | 0.00%             | 2031-04-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Chart Industries, Inc.                                               | Chart Industries, Inc.                                                                           | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    8624000 | PA      | $8958713.91    | 0.03%             | 2030-01-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC                                                             | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1479000 | PA      | $1173841.98    | 0.00%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC                                                             | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1854000 | PA      | $1335610.44    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC                                                             | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1651000 | PA      | $1086411.06    | 0.00%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC                                                             | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2277000 | PA      | $2149530.67    | 0.01%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC                                                             | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5772000 | PA      | $4075954.31    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC                                                             | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18400000 | PA      | $19568883.74   | 0.08%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC                                                             | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27805000 | PA      | $27982706.48   | 0.11%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                          | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172592 | PA      | $173667.59     | 0.00%             | 2035-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Chemours Co. (The)                                                   | Chemours Co. (The)                                                                               | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3017442.00    | 0.01%             | 2028-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Chemours Co. (The)                                                   | Chemours Co. (The)                                                                               | CUSIP: 163851AL2<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    1043000 | PA      | $1041696.56    | 0.00%             | 2034-03-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                          | Cheniere Energy Partners LP                                                                      | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   20222000 | PA      | $20342203.61   | 0.08%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                          | Cheniere Energy Partners LP                                                                      | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    8788000 | PA      | $8613879.58    | 0.03%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                          | Cheniere Energy Partners LP                                                                      | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   29095000 | PA      | $30745350.45   | 0.12%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                | Cheniere Energy, Inc.                                                                            | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   11386000 | PA      | $11381932.69   | 0.04%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Churchill Downs, Inc.                                                | Churchill Downs, Inc.                                                                            | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |    2425000 | PA      | $2498007.05    | 0.01%             | 2031-05-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Cinemark USA, Inc.                                                   | Cinemark USA, Inc.                                                                               | CUSIP: 172441BF3<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    3166000 | PA      | $3166569.88    | 0.01%             | 2028-07-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Cipher Compute LLC                                                   | Cipher Compute LLC                                                                               | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4017000 | PA      | $4187095.85    | 0.02%             | 2030-11-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967AR2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     814000 | PA      | $854702.91     | 0.00%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2427000 | PA      | $2431129.22    | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     780000 | PA      | $776305.15     | 0.00%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6742000 | PA      | $6690620.63    | 0.03%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3495000 | PA      | $3483125.28    | 0.01%             | 2030-03-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967MM0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6796000 | PA      | $6819938.16    | 0.03%             | 2041-03-26      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   16707000 | PA      | $16794084.57   | 0.07%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $4537130.15    | 0.02%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18009000 | PA      | $16484324.02   | 0.06%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2345000 | PA      | $2121325.01    | 0.01%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   10460000 | PA      | $11478197.42   | 0.04%             | 2033-11-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   12100000 | PA      | $12467620.75   | 0.05%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   23450000 | PA      | $24398862.74   | 0.09%             | 2035-02-13      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc., Series CC                                                                       | CUSIP: 172967PK1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   19925000 | PA      | $20594400.30   | 0.08%             | 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        |   14790000 | PA      | $15129356.55   | 0.06%             | 2030-02-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   12098000 | PA      | $12190351.41   | 0.05%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   29677000 | PA      | $30195066.34   | 0.12%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                  | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                    | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    1372000 | PA      | $1561843.64    | 0.01%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A3                                        | CUSIP: 17307GLA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      22234 | PA      | $21984.48      | 0.00%             | 2034-08-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-HYB4, Class AA                                        | CUSIP: 17307GMC9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      13820 | PA      | $13394.36      | 0.00%             | 2034-12-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                          | Citibank NA                                                                                      | CUSIP: 17325FBB3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4189282.68    | 0.02%             | 2028-09-29      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                          | Citibank NA                                                                                      | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    4843000 | PA      | $4974610.17    | 0.02%             | 2029-08-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   53407000 | PA      | $54037198.33   | 0.21%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc., Series FF                                                                       | CUSIP: 17327CAV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    8296000 | PA      | $8529001.46    | 0.03%             | 2030-02-15      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                  | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3092453.04    | 0.01%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                        | SM Energy Co.                                                                                    | CUSIP: 17888HAA1<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    4541000 | PA      | $4693414.12    | 0.02%             | 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        |    7965000 | PA      | $8362286.24    | 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        |    4430000 | PA      | $4688481.64    | 0.02%             | 2030-11-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                    | Clarios Global LP                                                                                | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     748000 | PA      | $765097.78     | 0.00%             | 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        |    4636000 | PA      | $4856024.56    | 0.02%             | 2030-02-15      | 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        |    2482000 | PA      | $2321448.33    | 0.01%             | 2028-07-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                 | Clear Channel Outdoor Holdings, Inc.                                                             | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |     502441 | NS      | $1205858.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                 | Clear Channel Outdoor Holdings, Inc.                                                             | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    6422000 | PA      | $6788124.32    | 0.03%             | 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        |    3073000 | PA      | $3317368.03    | 0.01%             | 2033-03-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                               | Cleveland-Cliffs, Inc.                                                                           | CUSIP: 185899AK7<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    2799000 | PA      | $2739365.35    | 0.01%             | 2029-03-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                               | Cleveland-Cliffs, Inc.                                                                           | CUSIP: 185899AN1<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    3140000 | PA      | $3186581.90    | 0.01%             | 2030-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                               | Cleveland-Cliffs, Inc.                                                                           | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    1490000 | PA      | $1534722.35    | 0.01%             | 2029-11-01      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                               | Cleveland-Cliffs, Inc.                                                                           | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $1137684.23    | 0.00%             | 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        |     885000 | PA      | $908249.99     | 0.00%             | 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        |    2470000 | PA      | $2488649.96    | 0.01%             | 2032-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                   | CNO Global Funding                                                                               | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6626610.97    | 0.03%             | 2027-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                   | CNO Global Funding                                                                               | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    1705000 | PA      | $1735555.46    | 0.01%             | 2029-09-09      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                      | Permian Resources Operating LLC                                                                  | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6843133.44    | 0.03%             | 2029-07-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Republic of Colombia                                                 | Republic of Colombia                                                                             | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1491000 | PA      | $1548403.50    | 0.01%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                 | Republic of Colombia                                                                             | CUSIP: 195325EM3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   10824000 | PA      | $11887999.20   | 0.05%             | 2053-11-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                 | Republic of Colombia                                                                             | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    2090000 | PA      | $2176108.00    | 0.01%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                 | Republic of Colombia                                                                             | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    2669000 | PA      | $2662327.50    | 0.01%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                   | Columbia Pipelines Holding Co. LLC                                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3806361.42    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                 | Columbia Pipelines Operating Co. LLC                                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17257000 | PA      | $18697251.79   | 0.07%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                 | Columbia Pipelines Operating Co. LLC                                                             | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2890000 | PA      | $3122663.35    | 0.01%             | 2043-08-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                 | Columbia Pipelines Operating Co. LLC                                                             | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     830000 | PA      | $842915.50     | 0.00%             | 2055-02-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1083000 | PA      | $834388.50     | 0.00%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     132000 | PA      | $99794.29      | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   12124000 | PA      | $10781913.82   | 0.04%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4990000 | PA      | $3846330.17    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   10222000 | PA      | $8160232.31    | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4085000 | PA      | $2810452.10    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3951000 | PA      | $3572008.94    | 0.01%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1968000 | PA      | $1187961.24    | 0.00%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   22568000 | PA      | $13161015.54   | 0.05%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1152000 | PA      | $641942.61     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   15813000 | PA      | $14565272.23   | 0.06%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                        | Comcast Corp.                                                                                    | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3540000 | PA      | $3698603.04    | 0.01%             | 2034-06-01      | Fixed         | 5.30%                 | 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        |    1258000 | PA      | $1334738.00    | 0.01%             | 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        |    2436000 | PA      | $2464623.00    | 0.01%             | 2051-01-28      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2018-HOME, Class A                                             | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23200799 | PA      | $22893302.57   | 0.09%             | 2033-04-10      | Variable      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| Commercial Credit, Inc.                                              | Commercial Credit, Inc., Series QIB                                                              | CUSIP: 201616AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   23000000 | PA      | $22676617.93   | 0.09%             | 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        |    3881000 | PA      | $3959726.09    | 0.02%             | 2033-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                              | Commonwealth Edison Co.                                                                          | CUSIP: 202795JM3<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     292000 | PA      | $237430.56     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                             | Comstock Resources, Inc.                                                                         | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    5683000 | PA      | $5661029.52    | 0.02%             | 2029-03-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Light and Power Co. (The)                                | Connecticut Light and Power Co. (The)                                                            | CUSIP: 207597EL5<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |    1637000 | PA      | $1328594.23    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                   | ConocoPhillips Co.                                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   17910000 | PA      | $17667182.31   | 0.07%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                            | Consolidated Edison Co. of New York, Inc., Series 06-E                                           | CUSIP: 209111EQ2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     389000 | PA      | $415795.68     | 0.00%             | 2036-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                            | Consolidated Edison Co. of New York, Inc., Series 2017                                           | CUSIP: 209111FL2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1238000 | PA      | $978082.14     | 0.00%             | 2047-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                            | Consolidated Edison Co. of New York, Inc.                                                        | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     785000 | PA      | $652859.69     | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                            | Consolidated Edison Co. of New York, Inc., Series E                                              | CUSIP: 209111FT5<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1651000 | PA      | $1450972.60    | 0.01%             | 2048-12-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                           | Constellation Brands, Inc.                                                                       | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    2913000 | PA      | $2957349.64    | 0.01%             | 2028-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                                              | CUSIP: 210385AG5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   14080000 | PA      | $14082604.38   | 0.05%             | 2029-02-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                                              | CUSIP: 210385AJ9<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1223000 | PA      | $1241509.22    | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Consumers Energy Co.                                                 | Consumers Energy Co.                                                                             | CUSIP: 210518CX2<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     477000 | PA      | $381538.58     | 0.00%             | 2064-08-31      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                 | Consumers Energy Co.                                                                             | CUSIP: 210518DD5<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     486000 | PA      | $415817.65     | 0.00%             | 2049-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                 | Consumers Energy Co.                                                                             | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    4626000 | PA      | $4688664.07    | 0.02%             | 2033-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC                            | Consumers 2023 Securitization Funding LLC, Series A2                                             | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3826000 | PA      | $3960718.43    | 0.02%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                     | Cooper-Standard Automotive, Inc.                                                                 | CUSIP: 216762AH7<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |    6721615 | PA      | $6871480.13    | 0.03%             | 2027-03-31      | Fixed         | 13.50%                | Yes           |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                     | Cooper-Standard Automotive, Inc.                                                                 | CUSIP: 216762AJ3<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |    4777150 | PA      | $4840557.11    | 0.02%             | 2027-05-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                     | Cooper-Standard Automotive, Inc.                                                                 | CUSIP: 216762AK0<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |    8264000 | PA      | $8287304.48    | 0.03%             | 2031-03-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                           | Corebridge Financial, Inc.                                                                       | CUSIP: 21871XAP4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4904539.97    | 0.02%             | 2052-12-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2020-2, Class B                                          | CUSIP: 21872VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3451788 | PA      | $3435854.97    | 0.01%             | 2052-05-15      | Variable      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                      | CoreWeave, Inc.                                                                                  | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    1995000 | PA      | $1954002.35    | 0.01%             | 2030-06-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Corning, Inc.                                                        | Corning, Inc.                                                                                    | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $4823421.74    | 0.02%             | 2048-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                    | Corp. Nacional del Cobre de Chile                                                                | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |    2062000 | PA      | $2252357.65    | 0.01%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  260500000 | PA      | $261383821.80  | 1.01%             | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45000000 | PA      | $45574263.90   | 0.18%             | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COPT Defense Properties LP                                           | COPT Defense Properties LP                                                                       | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    1505000 | PA      | $1503889.29    | 0.01%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Republic of Costa Rica                                               | Republic of Costa Rica                                                                           | CUSIP: 221597CV7<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    2925000 | PA      | $3341200.01    | 0.01%             | 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        |    1468000 | PA      | $1603056.00    | 0.01%             | 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        |    6350000 | PA      | $6846189.00    | 0.03%             | 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        |    7483000 | PA      | $7138782.00    | 0.03%             | 2041-02-25      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C                                       | CUSIP: 224927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33457000 | PA      | $34017475.01   | 0.13%             | 2033-07-15      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                       | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3985994 | PA      | $4000906.65    | 0.02%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C                                       | CUSIP: 224936AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26700000 | PA      | $27475592.28   | 0.11%             | 2033-12-15      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust                                                                | CUSIP: 22530BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   38893000 | PA      | $39546402.40   | 0.15%             | 2034-04-17      | Fixed         | 7.68%                 | No            |                  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        |    9708000 | PA      | $9795721.49    | 0.04%             | 2033-04-18      | Fixed         | 9.00%                 | 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        |   17250000 | PA      | $17561847.23   | 0.07%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                               | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   12130000 | PA      | $12767288.00   | 0.05%             | 2029-10-03      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                               | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    3030000 | PA      | $3055868.32    | 0.01%             | 2028-09-11      | Variable      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                               | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   13215000 | PA      | $14045963.83   | 0.05%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C                                       | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42168000 | PA      | $43890963.40   | 0.17%             | 2034-10-16      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class C                                       | CUSIP: 22537EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21842000 | PA      | $22211225.90   | 0.09%             | 2033-09-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9976000 | PA      | $10001305.02   | 0.04%             | 2028-01-09      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     831000 | PA      | $828340.33     | 0.00%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    7900000 | PA      | $7874296.96    | 0.03%             | 2037-03-23      | Variable      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 5A1                   | CUSIP: 225458G69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        560 | PA      | $0.01          | 0.00%             | 2020-08-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                              | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                                | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8807603 | PA      | $2196.62       | 0.00%             | 2049-01-15      | Variable      | 0.01%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6A13                       | CUSIP: 225470FA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166131 | PA      | $57971.15      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A4                       | CUSIP: 225470FN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194142 | PA      | $41900.74      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DLLAA LLC                                                            | DLLAA LLC, Series 2023-1A, Class A3                                                              | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7628446 | PA      | $7707323.66    | 0.03%             | 2028-02-22      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| DTE Energy Co.                                                       | DTE Energy Co.                                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2880833.70    | 0.01%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                     | DTE Electric Co., Series A                                                                       | CUSIP: 23338VAA4<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    4728000 | PA      | $4013064.65    | 0.02%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                     | DTE Electric Co., Series B                                                                       | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     636000 | PA      | $478857.13     | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                     | DTE Electric Co.                                                                                 | CUSIP: 23338VAV8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3553101.25    | 0.01%             | 2034-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                         | DNB Bank ASA                                                                                     | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   12100000 | PA      | $12430320.08   | 0.05%             | 2030-11-05      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                   | DT Midstream, Inc.                                                                               | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2061000 | PA      | $2046513.81    | 0.01%             | 2029-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                   | DT Midstream, Inc.                                                                               | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2602000 | PA      | $2565032.48    | 0.01%             | 2031-06-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2023-3A, Class E                                                     | CUSIP: 23345WAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12880000 | PA      | $13688137.57   | 0.05%             | 2030-05-15      | Fixed         | 10.21%                | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2023-2A, Class E                                                     | CUSIP: 23346CAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11500000 | PA      | $12155589.70   | 0.05%             | 2030-04-15      | Fixed         | 11.06%                | Yes           |                  2 | On Loan: No      |
| DTE Electric Securitization Funding II LLC                           | DTE Electric Securitization Funding II LLC, Series A-2                                           | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3700000 | PA      | $4092603.19    | 0.02%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                                   | DP Lion Holdco LLC, Series 2023-1A, Class A                                                      | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |    4471120 | PA      | $4596450.01    | 0.02%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                                   | DP Lion Holdco LLC, Series 2023-1A, Class B                                                      | CUSIP: 23359MAC4<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |    5295140 | PA      | $5435990.50    | 0.02%             | 2043-11-30      | Fixed         | 12.72%                | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                      | Danske Bank A/S                                                                                  | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    2560000 | PA      | $2671737.37    | 0.01%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                      | Danske Bank A/S                                                                                  | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    6157000 | PA      | $6237687.67    | 0.02%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Darling Ingredients, Inc.                                            | Darling Ingredients, Inc.                                                                        | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |    5111000 | PA      | $5109541.83    | 0.02%             | 2027-04-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| DaVita, Inc.                                                         | DaVita, Inc.                                                                                     | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    2323000 | PA      | $2274046.26    | 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        |     662000 | PA      | $618634.24     | 0.00%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                   | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA                                      | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3526135 | PA      | $3380465.96    | 0.01%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                   | Delta Air Lines Pass-Through Trust, Series 2015-1, Class AA                                      | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2240683 | PA      | $2225246.29    | 0.01%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                     | DTE Electric Co.                                                                                 | CUSIP: 250847EK2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     370000 | PA      | $311392.43     | 0.00%             | 2042-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc., Mortgage Loan Trust                 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-3, Class 4A                     | CUSIP: 251510EN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2653 | PA      | $2171.97       | 0.00%             | 2035-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2523000 | PA      | $2638708.97    | 0.01%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 251526CT4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   12570000 | PA      | $13826264.03   | 0.05%             | 2034-02-10      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1955000 | PA      | $2082083.76    | 0.01%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2141000 | PA      | $2172718.98    | 0.01%             | 2028-02-08      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    3270000 | PA      | $3409533.22    | 0.01%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    7995000 | PA      | $8040837.89    | 0.03%             | 2031-12-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 25160PAG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6515000 | PA      | $6111314.12    | 0.02%             | 2033-01-07      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    3050000 | PA      | $3011772.52    | 0.01%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    3980000 | PA      | $4025001.14    | 0.02%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                 | CUSIP: 25160PAR8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4725000 | PA      | $4765375.60    | 0.02%             | 2032-02-06      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Diamond Foreign Asset Co.                                            | Diamond Foreign Asset Co.                                                                        | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    3570000 | PA      | $3794831.46    | 0.01%             | 2030-10-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Digicel International Finance Ltd.                                   | Digicel International Finance Ltd.                                                               | CUSIP: 25381MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7286000 | PA      | $7583032.01    | 0.03%             | 2032-08-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| DISH Network Corp.                                                   | DISH Network Corp.                                                                               | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    4607000 | PA      | $4769516.53    | 0.02%             | 2027-11-15      | Fixed         | 11.75%                | Yes           |                  2 | On Loan: No      |
| DISH DBS Corp.                                                       | DISH DBS Corp.                                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6014000 | PA      | $5841586.44    | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| DISH DBS Corp.                                                       | DISH DBS Corp.                                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1782000 | PA      | $1724629.58    | 0.01%             | 2028-12-01      | Fixed         | 5.75%                 | 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        |   20351350 | PA      | $20574665.36   | 0.08%             | 2044-05-30      | Fixed         | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Diversified ABS LLC                                                  | Diversified ABS LLC, Series 2025-1A, Class B                                                     | CUSIP: 255126AE4<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   28327085 | PA      | $28653979.39   | 0.11%             | 2045-02-28      | Fixed         | 10.40%                | Yes           |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                         | Diversified ABS Phase LLC, Series VI, Class A                                                    | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   11148582 | PA      | $11179798.21   | 0.04%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class BGX1                                                | CUSIP: 255928AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9390000 | PA      | $9039095.70    | 0.04%             | 2037-10-27      | Variable      | 3.59%                 | Yes           |                  3 | On Loan: No      |
| DNB Bank ASA                                                         | DNB Bank ASA                                                                                     | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    1115000 | PA      | $1087928.97    | 0.00%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                   | Dominican Republic Government Bond                                                               | CUSIP: 25714PEE4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    3545000 | PA      | $3197590.00    | 0.01%             | 2060-01-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                   | Dominican Republic Government Bond                                                               | CUSIP: 25714PEN4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    4043000 | PA      | $4123860.00    | 0.02%             | 2033-02-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc., Series F                                                                  | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     763000 | PA      | $790034.72     | 0.00%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc.                                                                            | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     389000 | PA      | $442859.64     | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc., Series C                                                                  | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      45000 | PA      | $41922.28      | 0.00%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc., Series A                                                                  | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    4220000 | PA      | $4418783.10    | 0.02%             | 2055-02-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc., Series B                                                                  | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2985347.75    | 0.01%             | 2054-06-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc.                                                                            | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   13230000 | PA      | $13733361.81   | 0.05%             | 2055-05-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc.                                                                            | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   14298000 | PA      | $14508938.39   | 0.06%             | 2056-02-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                      | Diversified ABS Holdings LLC, Series 2024-2A, Class B                                            | CUSIP: 260968AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3556030 | PA      | $3581989.23    | 0.01%             | 2044-09-30      | Fixed         | 11.50%                | Yes           |                  3 | 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        |   14500000 | PA      | $14658880.85   | 0.06%             | 2032-05-17      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| EIDP, Inc.                                                           | EIDP, Inc.                                                                                       | CUSIP: 263534CR8<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3725062.45    | 0.01%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                    | Duke Energy Corp.                                                                                | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3272144.63    | 0.01%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                            | Duke Energy Carolinas LLC                                                                        | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     971000 | PA      | $747422.35     | 0.00%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                               | Duke Energy Ohio, Inc.                                                                           | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    1427000 | PA      | $1191156.94    | 0.00%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                               | Duke Energy Ohio, Inc.                                                                           | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    9542000 | PA      | $9995196.14    | 0.04%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                             | Duke Energy Progress LLC                                                                         | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     195000 | PA      | $152902.80     | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                             | Duke Energy Progress LLC                                                                         | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     888000 | PA      | $885575.58     | 0.00%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                              | Duke Energy Indiana LLC, Series YYY                                                              | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $1525194.37    | 0.01%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                              | Duke Energy Indiana LLC                                                                          | CUSIP: 26443TAD8<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    5189000 | PA      | $5022342.03    | 0.02%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                              | Duke Energy Florida LLC                                                                          | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    4223000 | PA      | $3847398.40    | 0.01%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                              | Duke Energy Florida LLC                                                                          | CUSIP: 26444HAR2<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    1985000 | PA      | $2154607.31    | 0.01%             | 2053-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Dycom Industries, Inc.                                               | Dycom Industries, Inc.                                                                           | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |    2438000 | PA      | $2400583.28    | 0.01%             | 2029-04-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                              | Eni SpA                                                                                          | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   18688000 | PA      | $19171868.76   | 0.07%             | 2054-05-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| ERP Operating LP                                                     | ERP Operating LP                                                                                 | CUSIP: 26884ABF9<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |    2913000 | PA      | $2895105.79    | 0.01%             | 2026-11-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                            | EQT Corp.                                                                                        | CUSIP: 26884LBD0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   32267000 | PA      | $32724130.14   | 0.13%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| E3                                                                   | E3, Series 2019-1, Class A                                                                       | CUSIP: 269330AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    3624451 | PA      | $3238845.72    | 0.01%             | 2055-09-20      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                      | Permian Resources Operating LLC                                                                  | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    1222000 | PA      | $1307467.90    | 0.01%             | 2031-07-15      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                      | Eastern Energy Gas Holdings LLC                                                                  | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |   11180000 | PA      | $11044203.36   | 0.04%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                                          | Eaton Corp.                                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    2427000 | PA      | $2150387.48    | 0.01%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp.                                                       | EchoStar Corp.                                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    1330000 | PA      | $1452285.52    | 0.01%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                         | Ecopetrol SA                                                                                     | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    2100000 | PA      | $2229990.00    | 0.01%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                         | Ecopetrol SA                                                                                     | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    1912000 | PA      | $1964580.00    | 0.01%             | 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        |    2088000 | PA      | $2106792.00    | 0.01%             | 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        |    7712000 | PA      | $7843104.00    | 0.03%             | 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        |    5672000 | PA      | $5666730.71    | 0.02%             | 2028-06-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Edison International                                                 | Edison International                                                                             | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    4805000 | PA      | $4994725.43    | 0.02%             | 2053-06-15      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Republic of El Salvador                                              | Republic of El Salvador                                                                          | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |   10925000 | PA      | $12415033.44   | 0.05%             | 2054-11-21      | Fixed         | 9.65%                 | Yes           |                  2 | On Loan: No      |
| Elastic NV                                                           | Elastic NV                                                                                       | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |    4440000 | PA      | $4194814.32    | 0.02%             | 2029-07-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class D                                           | CUSIP: 28416LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     827145 | PA      | $792666.46     | 0.00%             | 2035-08-27      | Fixed         | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                       | Elara HGV Timeshare Issuer LLC, Series 2019-A, Class C                                           | CUSIP: 28416TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     422149 | PA      | $421534.15     | 0.00%             | 2034-01-25      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France SA                                             | Electricite de France SA                                                                         | CUSIP: 28504DAD5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |    2693000 | PA      | $3017671.74    | 0.01%             | 2053-05-23      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Element Solutions, Inc.                                              | Element Solutions, Inc.                                                                          | CUSIP: 28618MAA4<br>LEI: 549300FLGN6P5CU20J91 | Long             | DBT              | CORP              | US        |    2779000 | PA      | $2731739.21    | 0.01%             | 2028-09-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Emera, Inc.                                                          | Emera, Inc., Series 16-A                                                                         | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |    1891000 | PA      | $1900468.24    | 0.01%             | 2076-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                                                    | EMRLD Borrower LP                                                                                | CUSIP: 29103CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10118000 | PA      | $10472079.41   | 0.04%             | 2030-12-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Emera US Finance LP                                                  | Emera US Finance LP                                                                              | CUSIP: 29103DAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18635000 | PA      | $17098499.34   | 0.07%             | 2031-06-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                       | Enbridge, Inc., Series NC5                                                                       | CUSIP: 29250NBS3<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    8500000 | PA      | $9156132.00    | 0.04%             | 2084-01-15      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                       | Enbridge, Inc.                                                                                   | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    9057000 | PA      | $10452855.78   | 0.04%             | 2084-01-15      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| Encompass Health Corp.                                               | Encompass Health Corp.                                                                           | CUSIP: 29261AAA8<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    1064000 | PA      | $1059057.61    | 0.00%             | 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        |    3349000 | PA      | $3331395.65    | 0.01%             | 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        |    1556000 | PA      | $1527601.44    | 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        |    5560000 | PA      | $5506818.60    | 0.02%             | 2028-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                   | Energy Transfer LP                                                                               | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6650000 | PA      | $6895414.73    | 0.03%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                   | Energy Transfer LP                                                                               | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   17040000 | PA      | $17217829.44   | 0.07%             | 2056-02-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                   | Energy Transfer LP                                                                               | CUSIP: 29273VBL3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   15510000 | PA      | $15695431.05   | 0.06%             | 2056-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| EnerSys                                                              | EnerSys                                                                                          | CUSIP: 29275YAF9<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2062962.00    | 0.01%             | 2032-01-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                        | Enel Finance International NV                                                                    | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    4904000 | PA      | $4468333.25    | 0.02%             | 2031-07-12      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                        | Enel Finance International NV                                                                    | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    6590000 | PA      | $6789227.36    | 0.03%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                        | Enel Finance International NV                                                                    | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    9365000 | PA      | $9770100.68    | 0.04%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                        | Enel Finance International NV                                                                    | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   10200000 | PA      | $10189404.75   | 0.04%             | 2035-09-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                        | Enel Finance International NV                                                                    | CUSIP: 29278GBJ6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    6445000 | PA      | $6317726.98    | 0.02%             | 2055-09-30      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                   | Energy Transfer LP                                                                               | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $4148790.88    | 0.02%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entegris, Inc.                                                       | Entegris, Inc.                                                                                   | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    2547000 | PA      | $2525224.68    | 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        |   17928000 | PA      | $18756363.24   | 0.07%             | 2054-12-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                        | Entergy Corp.                                                                                    | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     372000 | PA      | $373788.95     | 0.00%             | 2056-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                | Entergy Louisiana LLC                                                                            | CUSIP: 29364WAZ1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     729000 | PA      | $723192.71     | 0.00%             | 2027-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                | Entergy Louisiana LLC                                                                            | CUSIP: 29364WBC1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1099986.32    | 0.00%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                | Entergy Louisiana LLC                                                                            | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    3920000 | PA      | $2507784.05    | 0.01%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                | Entergy Louisiana LLC                                                                            | CUSIP: 29364WBE7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    7252000 | PA      | $6465564.55    | 0.03%             | 2030-12-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                | Entergy Louisiana LLC                                                                            | CUSIP: 29364WBN7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6320793.28    | 0.02%             | 2054-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Entegris, Inc.                                                       | Entegris, Inc.                                                                                   | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    7202000 | PA      | $7344131.47    | 0.03%             | 2030-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                  | Entergy Texas, Inc.                                                                              | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     753000 | PA      | $547539.91     | 0.00%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                  | Entergy Texas, Inc.                                                                              | CUSIP: 29365TAK0<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   17722000 | PA      | $15836917.59   | 0.06%             | 2031-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                  | Entergy Texas, Inc.                                                                              | CUSIP: 29365TAP9<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    4283000 | PA      | $4175621.08    | 0.02%             | 2054-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Entergy Texas Restoration Funding II LLC                             | Entergy Texas Restoration Funding LLC, Series A-2                                                | CUSIP: 29366NAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2825000 | PA      | $2734905.10    | 0.01%             | 2035-12-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                              | Entergy Mississippi LLC                                                                          | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |     486000 | PA      | $379721.09     | 0.00%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                              | Entergy Mississippi LLC                                                                          | CUSIP: 29366WAB2<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    1534000 | PA      | $1097363.13    | 0.00%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                              | Entergy Mississippi LLC                                                                          | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    3252000 | PA      | $3349108.17    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                              | Entergy Mississippi LLC                                                                          | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    2885000 | PA      | $2911459.69    | 0.01%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                    | Enterprise Products Operating LLC, Series H                                                      | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    4610000 | PA      | $5248012.89    | 0.02%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                    | Enterprise Products Operating LLC, Series J                                                      | CUSIP: 293791AT6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     777000 | PA      | $826524.32     | 0.00%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                    | Enterprise Products Operating LLC, Series E                                                      | CUSIP: 29379VBN2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1457000 | PA      | $1458165.60    | 0.01%             | 2077-08-16      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                    | Enterprise Products Operating LLC                                                                | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    4680000 | PA      | $4824880.59    | 0.02%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Equify Financial LLC                                                 | Equify Financial LLC, Series QIB                                                                 | CUSIP: 29446PAC9<br>LEI: 2549009ZFXYPJZ4F2U27 | Long             | DBT              | CORP              | US        |   37000000 | PA      | $37151037.70   | 0.14%             | 2030-12-15      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                                 | EQV ABS Issuer LLC                                                                               | CUSIP: 29476QAD8<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-O            | CORP              | US        |   14858961 | PA      | $14933256.29   | 0.06%             | 2040-12-15      | Fixed         | 10.76%                | No            |                  3 | On Loan: No      |
| Esab Corp.                                                           | Esab Corp.                                                                                       | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |    2335000 | PA      | $2393510.43    | 0.01%             | 2029-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Essex Portfolio LP                                                   | Essex Portfolio LP                                                                               | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    6395000 | PA      | $6670050.55    | 0.03%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                             | Evergy Missouri West Storm Funding I LLC, Series A-1                                             | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1905825 | PA      | $1985181.67    | 0.01%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                                              | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     195000 | PA      | $213812.58     | 0.00%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                                              | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    6850000 | PA      | $7122434.23    | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                                              | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1482000 | PA      | $1505197.17    | 0.01%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                         | Exelon Corp.                                                                                     | CUSIP: 30161NAQ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     120000 | PA      | $120170.87     | 0.00%             | 2035-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2021-4A, Class E                                     | CUSIP: 30165JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9500000 | PA      | $9461954.40    | 0.04%             | 2028-01-17      | Fixed         | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2022-4A, Class E                                     | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12000000 | PA      | $12254848.80   | 0.05%             | 2030-03-15      | Fixed         | 8.23%                 | Yes           |                  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        |   33750000 | PA      | $33054679.13   | 0.13%             | 2029-10-15      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2023-4A, Class E                                     | CUSIP: 30166TAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11565000 | PA      | $12472820.12   | 0.05%             | 2031-02-18      | Fixed         | 9.57%                 | 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        |    6368000 | PA      | $6580802.64    | 0.03%             | 2033-06-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2022-3A, Class E                                     | CUSIP: 30166YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34500000 | PA      | $35037513.45   | 0.14%             | 2030-01-15      | Fixed         | 9.09%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2023-2A, Class E                                     | CUSIP: 30168CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6137000 | PA      | $6670614.60    | 0.03%             | 2030-11-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2023-5A, Class D                                     | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20049000 | PA      | $20682871.19   | 0.08%             | 2030-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2023-3A, Class E                                     | CUSIP: 301989AG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10500000 | PA      | $11362471.05   | 0.04%             | 2031-01-15      | Fixed         | 9.98%                 | Yes           |                  2 | On Loan: No      |
| Extra Space Storage LP                                               | Extra Space Storage LP                                                                           | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    1427000 | PA      | $1304480.43    | 0.01%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                  | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14562000 | PA      | $14518370.79   | 0.06%             | 2028-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                                  | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7765958 | PA      | $7622923.03    | 0.03%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                                  | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21941743 | PA      | $21545470.73   | 0.08%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                  | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9707447 | PA      | $9780213.05    | 0.04%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  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        |   22424203 | PA      | $22632685.30   | 0.09%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                 | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40000000 | PA      | $40733500.00   | 0.16%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 19K-1510, Class C                                                   | CUSIP: 30265DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   51057434 | PA      | $27993392.09   | 0.11%             | 2034-01-25      | Fixed         | 0.00%                 | 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        |   46661052 | PA      | $34818001.06   | 0.13%             | 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        |  497085368 | PA      | $1715043.94    | 0.01%             | 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        |  113645052 | PA      | $413111.13     | 0.00%             | 2053-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                           | FW Energy Asset Issuer LLC                                                                       | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   27672337 | PA      | $28454827.93   | 0.11%             | 2044-06-26      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Energy Assets                                                        | Energy Assets                                                                                    | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    8476216 | PA      | $8725849.04    | 0.03%             | 2044-06-26      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K55, Class B                                                   | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9707447 | PA      | $9678349.90    | 0.04%             | 2049-04-25      | Variable      | 4.15%                 | 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        |  384896987 | PA      | $385666.78     | 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        |   99553170 | PA      | $122221.43     | 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        |   40021170 | PA      | $34368860.10   | 0.13%             | 2053-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K56, Class B                                                   | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3445173 | PA      | $3430531.36    | 0.01%             | 2049-06-25      | Variable      | 3.93%                 | 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        |   33400000 | PA      | $27027984.74   | 0.10%             | 2051-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K59, Class B                                                   | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4576091 | PA      | $4543709.21    | 0.02%             | 2049-11-25      | Variable      | 3.56%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K159, Class X2B                                                | CUSIP: 302967AN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $127221.60     | 0.00%             | 2033-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K159, Class C                                                  | CUSIP: 302967AS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32952488 | PA      | $19328169.80   | 0.07%             | 2033-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K61, Class C                                                   | CUSIP: 30296AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5188631 | PA      | $5123211.18    | 0.02%             | 2049-12-25      | Variable      | 3.70%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K74, Class B                                                   | CUSIP: 30296LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9707447 | PA      | $9624231.85    | 0.04%             | 2051-02-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| FREMF Trust                                                          | FREMF Trust, Series 2018-KW04, Class C                                                           | CUSIP: 30296MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23362340 | PA      | $16510289.50   | 0.06%             | 2032-12-25      | None          | 0.00%                 | 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        |  428934453 | PA      | $1931620.52    | 0.01%             | 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        |   49743688 | PA      | $275192.03     | 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        |   36870688 | PA      | $21353987.10   | 0.08%             | 2033-05-25      | None          | 0.00%                 | 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        |   76851516 | PA      | $60736168.09   | 0.24%             | 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        |  809887833 | PA      | $1930043.69    | 0.01%             | 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        |  180000000 | PA      | $495936.00     | 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        |  663313091 | PA      | $1966258.99    | 0.01%             | 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        |  153315382 | PA      | $508271.15     | 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        |   63425382 | PA      | $44921052.17   | 0.17%             | 2053-03-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K157, Class C                                                  | CUSIP: 30297EAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50000000 | PA      | $28223415.00   | 0.11%             | 2033-09-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K81, Class D                                                   | CUSIP: 30297HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   56700313 | PA      | $46081047.46   | 0.18%             | 2051-09-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K82, Class X2A                                                 | CUSIP: 30297LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  562433919 | PA      | $1113225.46    | 0.00%             | 2028-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K82, Class X2B                                                 | CUSIP: 30297LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  144000000 | PA      | $331920.00     | 0.00%             | 2028-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K82, Class D                                                   | CUSIP: 30297LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   55000000 | PA      | $45478955.50   | 0.18%             | 2028-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KW07, Class C                                                  | CUSIP: 30297NAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12619682 | PA      | $10282124.42   | 0.04%             | 2031-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KW07, Class X2A                                                | CUSIP: 30297NAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   96764117 | PA      | $183648.62     | 0.00%             | 2031-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KW07, Class X2B                                                | CUSIP: 30297NAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16456509 | PA      | $35221.87      | 0.00%             | 2031-10-25      | Fixed         | 0.10%                 | 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        |   63509473 | PA      | $51320912.77   | 0.20%             | 2028-11-25      | None          | 0.00%                 | 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        |   41998565 | PA      | $35139758.35   | 0.14%             | 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        |   27300000 | PA      | $23361014.04   | 0.09%             | 2029-10-25      | Variable      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KG01, Class X2A                                                | CUSIP: 30298CAN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  196075134 | PA      | $332563.03     | 0.00%             | 2029-04-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KG01, Class X2B                                                | CUSIP: 30298CAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32370000 | PA      | $84333.56      | 0.00%             | 2029-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KG01, Class C                                                  | CUSIP: 30298CAU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $19557232.80   | 0.08%             | 2029-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS11, Class C                                                  | CUSIP: 30298KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21859300 | PA      | $19904330.99   | 0.08%             | 2029-06-25      | Variable      | 4.82%                 | 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        |  266593238 | PA      | $719455.17     | 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        |   32000000 | PA      | $91612.80      | 0.00%             | 2032-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KW10, Class B                                                  | CUSIP: 30298XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8901729 | PA      | $8387110.25    | 0.03%             | 2032-10-25      | Variable      | 3.63%                 | 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        |   24000000 | PA      | $18152553.60   | 0.07%             | 2032-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K63, Class B                                                   | CUSIP: 30300HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11547009 | PA      | $11464025.27   | 0.04%             | 2050-02-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K63, Class C                                                   | CUSIP: 30300HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4853724 | PA      | $4805320.72    | 0.02%             | 2050-02-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                                             | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   13747000 | PA      | $13384355.65   | 0.05%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                                             | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    9370000 | PA      | $8846543.64    | 0.03%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                                             | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   16255000 | PA      | $16059296.46   | 0.06%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                                             | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    6836000 | PA      | $6904067.76    | 0.03%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                 | Meta Platforms, Inc.                                                                             | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   26269000 | PA      | $25712760.23   | 0.10%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K68, Class B                                                   | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9147328 | PA      | $9059727.70    | 0.04%             | 2049-10-25      | Variable      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K68, Class D                                                   | CUSIP: 30305EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53000000 | PA      | $47049446.20   | 0.18%             | 2049-10-25      | 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        |   61000000 | PA      | $53305661.30   | 0.21%             | 2049-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K69, Class X2B                                                 | CUSIP: 30305KAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  228309476 | PA      | $317373.00     | 0.00%             | 2049-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily ML Certificates                                    | FHLMC Multifamily ML Certificates                                                                | CUSIP: 30306CAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | MUN               | US        |   23056703 | PA      | $14027836.45   | 0.05%             | 2033-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KW06, Class X2A                                                | CUSIP: 30306WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   97552343 | PA      | $162941.68     | 0.00%             | 2028-06-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KW06, Class X2B                                                | CUSIP: 30306WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16149080 | PA      | $30395.80      | 0.00%             | 2028-06-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KW06, Class C                                                  | CUSIP: 30306WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12111763 | PA      | $10233344.83   | 0.04%             | 2028-06-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KHG1, Class C                                                  | CUSIP: 30309FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32247169 | PA      | $30929469.06   | 0.12%             | 2027-12-25      | Variable      | 3.90%                 | 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        |   30000000 | PA      | $16175712.00   | 0.06%             | 2034-04-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KL05, Class BHG                                                | CUSIP: 30311NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3499535 | PA      | $3306935.29    | 0.01%             | 2029-02-25      | Variable      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KL05, Class CHG                                                | CUSIP: 30311NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11274229 | PA      | $10328421.53   | 0.04%             | 2029-02-25      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KBF3, Class C                                                  | CUSIP: 30311TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8376851 | PA      | $8103807.09    | 0.03%             | 2029-01-25      | Floating      | 8.54%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS12, Class B                                                  | CUSIP: 30311XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9349052 | PA      | $9350355.01    | 0.04%             | 2029-08-25      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K98, Class B                                                   | CUSIP: 30312DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10678192 | PA      | $10480597.40   | 0.04%             | 2052-10-25      | Variable      | 3.74%                 | 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        |  367631658 | PA      | $1186090.02    | 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        |   90000000 | PA      | $308376.00     | 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        |   37171399 | PA      | $25710021.87   | 0.10%             | 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        |   22974739 | PA      | $12240662.94   | 0.05%             | 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        |   58000000 | PA      | $41333102.60   | 0.16%             | 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        |   37985811 | PA      | $19540706.48   | 0.08%             | 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        |    2997000 | PA      | $3101895.00    | 0.01%             | 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        |    3420000 | PA      | $3386313.00    | 0.01%             | 2033-06-25      | Fixed         | 8.62%                 | 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        |  223475137 | PA      | $770117.67     | 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        |   19200000 | PA      | $71470.08      | 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        |   19200000 | PA      | $13700282.88   | 0.05%             | 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        |  901151565 | PA      | $2902609.19    | 0.01%             | 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        |  223000000 | PA      | $783019.90     | 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        |   87436420 | PA      | $60027804.12   | 0.23%             | 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        |  480250485 | PA      | $1696196.69    | 0.01%             | 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        |   98937000 | PA      | $367669.68     | 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        |   44300000 | PA      | $31957997.85   | 0.12%             | 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        |  200000000 | PA      | $753940.00     | 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        |   82131469 | PA      | $55661399.99   | 0.22%             | 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        |  434495389 | PA      | $1630748.09    | 0.01%             | 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        |  111000000 | PA      | $449094.90     | 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        |   42427360 | PA      | $29338031.53   | 0.11%             | 2054-01-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 21K-1519, Class X2B                                                 | CUSIP: 30320AAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   52000000 | PA      | $363116.00     | 0.00%             | 2035-12-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 21K-1519, Class C                                                   | CUSIP: 30320AAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   52000000 | PA      | $26100219.60   | 0.10%             | 2035-12-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                                | FRTKL, Series 2021-SFR1, Class F                                                                 | CUSIP: 30322DAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4272000 | PA      | $4194763.09    | 0.02%             | 2038-09-17      | Fixed         | 3.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2021-KHG3, Class CFX                                                | CUSIP: 30323AAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26000000 | PA      | $23832320.20   | 0.09%             | 2028-09-25      | Variable      | 2.40%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2021-KHG3, Class CFL                                                | CUSIP: 30323AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18064054 | PA      | $18154963.61   | 0.07%             | 2028-09-25      | Floating      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| Fair Isaac Corp.                                                     | Fair Isaac Corp.                                                                                 | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    2346000 | PA      | $2371280.94    | 0.01%             | 2033-05-15      | Fixed         | 6.00%                 | 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        |   26400000 | PA      | $18754890.00   | 0.07%             | 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        |  435430139 | PA      | $1458342.62    | 0.01%             | 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        |   90300000 | PA      | $323210.79     | 0.00%             | 2030-08-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Forvia SE                                                            | Forvia SE                                                                                        | CUSIP: 31209DAC9<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |     587000 | PA      | $604575.16     | 0.00%             | 2033-09-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31283GZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2047 | PA      | $2073.89       | 0.00%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        262 | PA      | $263.02        | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37030 | PA      | $38077.42      | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128CUUQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34355 | PA      | $35236.69      | 0.00%             | 2028-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128E53X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     843498 | PA      | $844703.37     | 0.00%             | 2032-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128FVU66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        896 | PA      | $940.00        | 0.00%             | 2028-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 279, Class 35                                                              | CUSIP: 3128HX7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339001 | PA      | $323842.27     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 262, Class 35                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1294871 | PA      | $1238300.93    | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128LXN30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4188 | PA      | $4391.80       | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M8FM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     493004 | PA      | $513594.15     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193382 | PA      | $196102.52     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M8T95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1887647 | PA      | $1946015.29    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1860483 | PA      | $1756109.31    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1981 | PA      | $2066.75       | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6164 | PA      | $6326.20       | 0.00%             | 2036-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7D67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3737 | PA      | $3919.24       | 0.00%             | 2027-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10245 | PA      | $10597.93      | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34307 | PA      | $35363.98      | 0.00%             | 2037-10-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2466 | PA      | $2559.74       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292GRR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $36.05         | 0.00%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11619 | PA      | $12185.33      | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19692 | PA      | $20906.39      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31293KEB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2547 | PA      | $2612.95       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 312945PS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4197915 | PA      | $4256975.80    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296MMQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12431 | PA      | $12221.23      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31297FAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7606 | PA      | $7893.49       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DN7F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15422696 | PA      | $15336796.42   | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DNNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17880009 | PA      | $17774897.48   | 0.07%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DNNU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9736554 | PA      | $9682324.29    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DPRW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18958882 | PA      | $17999038.50   | 0.07%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DQJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12609564 | PA      | $10604450.74   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DQK47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30065172 | PA      | $27249116.36   | 0.11%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DU5E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26833983 | PA      | $23719192.43   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32133230 | PA      | $28143421.09   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14601111 | PA      | $12915742.37   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9694594 | PA      | $8797569.18    | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20742668 | PA      | $18294128.67   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4163079 | PA      | $4111129.52    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7CK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     503225 | PA      | $498296.76     | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132GMH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     696051 | PA      | $704133.07     | 0.00%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H1AK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165382 | PA      | $163779.62     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3HF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431280 | PA      | $436819.98     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     446004 | PA      | $443015.65     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719649 | PA      | $693669.29     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163316 | PA      | $162221.01     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1685117 | PA      | $1719668.07    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7CW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1313817 | PA      | $1330695.99    | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1900277 | PA      | $1892229.31    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132HCD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     759153 | PA      | $766457.78     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132HDGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173933 | PA      | $167645.62     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132HMNA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1610222 | PA      | $1576656.16    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132HNMX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1806167 | PA      | $1764609.16    | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132HQGD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2696972 | PA      | $2639784.61    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 323, Class 300                                                             | CUSIP: 3132HTZ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1284950 | PA      | $1202466.51    | 0.00%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 334, Class 300                                                             | CUSIP: 3132J0AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1257819 | PA      | $1172061.91    | 0.00%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3132J4NR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4781937 | PA      | $4774817.07    | 0.02%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132J6Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1548610 | PA      | $1465745.45    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132QDA35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     420530 | PA      | $405345.06     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132QDE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     390551 | PA      | $376433.94     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132QDE72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292856 | PA      | $282270.19     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132QDFG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     395078 | PA      | $378451.73     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132QDFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460017 | PA      | $443390.35     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QQJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1597308 | PA      | $1572134.01    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QUUJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1403377 | PA      | $1353085.23    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QWC64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1921402 | PA      | $1905205.81    | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QWN62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634711 | PA      | $610328.42     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WD3F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2765394 | PA      | $2660308.61    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WEAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     748481 | PA      | $719884.13     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WEX80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345742 | PA      | $332712.16     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WF5S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417516 | PA      | $412130.69     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WF5T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3971913 | PA      | $3819335.43    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WFJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306404 | PA      | $295504.58     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WGS32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     809737 | PA      | $799633.87     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WGS73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3375471 | PA      | $3244411.20    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132WWZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14249711 | PA      | $13850845.49   | 0.05%             | 2032-11-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XFJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19414894 | PA      | $19404629.35   | 0.08%             | 2034-10-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XFJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16890958 | PA      | $16734598.23   | 0.06%             | 2032-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335AE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3578562 | PA      | $3657931.05    | 0.01%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335AGX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3596219 | PA      | $3683079.33    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335BTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7006678 | PA      | $6986392.46    | 0.03%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335BW28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10443683 | PA      | $10534958.78   | 0.04%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335CB94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1688421 | PA      | $1766102.43    | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QB                                                              | CUSIP: 31339NHY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77127 | PA      | $78761.24      | 0.00%             | 2032-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2430, Class WF                                                              | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122799 | PA      | $129360.83     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2427, Class GE                                                              | CUSIP: 31339W2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179024 | PA      | $187161.01     | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133AUP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16709851 | PA      | $14737448.93   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133B1ZP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19031314 | PA      | $17364867.11   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3708630 | PA      | $3709496.38    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BH7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27033495 | PA      | $26397913.77   | 0.10%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BHYL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12781525 | PA      | $12686644.20   | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BPBS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11385320 | PA      | $11300800.96   | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BQXF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11588772 | PA      | $11779092.93   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BQY67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15129841 | PA      | $15408493.21   | 0.06%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BS6E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15542956 | PA      | $15837830.23   | 0.06%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6055214 | PA      | $5961181.65    | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KKAE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57626951 | PA      | $50578235.89   | 0.20%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10762906 | PA      | $9454949.06    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7421952 | PA      | $6558413.46    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13643161 | PA      | $12033393.33   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6827722 | PA      | $6229880.50    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11317412 | PA      | $9815033.43    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21682652 | PA      | $19736706.55   | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KPJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44662532 | PA      | $43844040.44   | 0.17%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31125343 | PA      | $31522507.05   | 0.12%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 406                                                                        | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11498337 | PA      | $10271544.83   | 0.04%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2022, Class PE                                                              | CUSIP: 3133TCLJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1154 | PA      | $1165.32       | 0.00%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2036, Class PG                                                              | CUSIP: 3133TD6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9084 | PA      | $9177.83       | 0.00%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2089, Class PJ                                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2382 | PA      | $111.83        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2091, Class PG                                                              | CUSIP: 3133TGT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34499 | PA      | $35165.66      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2116, Class ZA                                                              | CUSIP: 3133THTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8730 | PA      | $8911.12       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2148, Class ZA                                                              | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2438 | PA      | $2478.62       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2201, Class C                                                               | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3549 | PA      | $3627.47       | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2293, Class ZA                                                              | CUSIP: 3133TSBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11799 | PA      | $12172.42      | 0.00%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2310, Class Z                                                               | CUSIP: 3133TSQF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2245 | PA      | $2311.00       | 0.00%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2313, Class LA                                                              | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        723 | PA      | $740.38        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2330, Class PE                                                              | CUSIP: 3133TTTB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33867 | PA      | $35391.65      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2325, Class JO                                                              | CUSIP: 3133TUBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16324 | PA      | $15113.70      | 0.00%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 186                                                                        | CUSIP: 31351BFA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8777 | PA      | $8596.74       | 0.00%             | 2027-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-27, Class J                                                             | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $405.14        | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-11, Class E                                                             | CUSIP: 31359NTJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        422 | PA      | $422.37        | 0.00%             | 2027-03-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-42, Class EG                                                            | CUSIP: 31359PW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2690 | PA      | $2695.34       | 0.00%             | 2027-07-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-63, Class ZA                                                            | CUSIP: 31359QLQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $69.32         | 0.00%             | 2027-09-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-14, Class Z                                                             | CUSIP: 31359SWU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12508 | PA      | $12905.68      | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-16, Class Z                                                             | CUSIP: 31359SYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13882 | PA      | $14328.33      | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1999-47, Class JZ                                                            | CUSIP: 31359WXR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16096 | PA      | $16356.60      | 0.00%             | 2029-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2000-8, Class Z                                                              | CUSIP: 31359XYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21208 | PA      | $22084.18      | 0.00%             | 2030-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-126, Class KB                                                           | CUSIP: 3136A2WC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4480132 | PA      | $4495399.07    | 0.02%             | 2041-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-46, Class KI                                                            | CUSIP: 3136A5L87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61164 | PA      | $604.11        | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-148, Class IE                                                           | CUSIP: 3136ABMM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1482528 | PA      | $97338.79      | 0.00%             | 2033-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-13, Class IK                                                            | CUSIP: 3136ACE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580968 | PA      | $10290.58      | 0.00%             | 2028-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2015-M10, Class A2                                                             | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3678786 | PA      | $3652646.35    | 0.01%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-33, Class JA                                                            | CUSIP: 3136AR6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5374096 | PA      | $5189801.21    | 0.02%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2016-M7, Class A2                                                              | CUSIP: 3136AS4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3091492 | PA      | $3073854.04    | 0.01%             | 2026-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-38, Class NA                                                            | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4394515 | PA      | $4206237.95    | 0.02%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2016-M6, Class A2                                                              | CUSIP: 3136ASVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3655182 | PA      | $3638913.32    | 0.01%             | 2026-05-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M1, Class A2                                                              | CUSIP: 3136AUG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6413128 | PA      | $6349145.96    | 0.02%             | 2026-10-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                  | FNMA, Grantor Trust, Series 2017-T1, Class A                                                     | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   95491787 | PA      | $94214440.64   | 0.36%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M3, Class A2                                                              | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9384480 | PA      | $9284902.03    | 0.04%             | 2026-12-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M8, Class A2                                                              | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6299187 | PA      | $6245496.68    | 0.02%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M5, Class A2                                                              | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12984439 | PA      | $12767359.57   | 0.05%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M2, Class A2                                                              | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22287522 | PA      | $21947260.14   | 0.09%             | 2028-01-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M7, Class A2                                                              | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24640222 | PA      | $24370318.39   | 0.09%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M3, Class A2                                                              | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4174172 | PA      | $4084488.23    | 0.02%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M4, Class A2                                                              | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6634641 | PA      | $6561538.95    | 0.03%             | 2028-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M14, Class A2                                                             | CUSIP: 3136B27L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31946140 | PA      | $31886378.42   | 0.12%             | 2028-08-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M10, Class A2                                                             | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9416951 | PA      | $9357962.75    | 0.04%             | 2028-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-20, Class H                                                             | CUSIP: 3136B4NV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5122469 | PA      | $4789533.36    | 0.02%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2019-M7, Class A2                                                              | CUSIP: 3136B4QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15068712 | PA      | $14832181.62   | 0.06%             | 2029-04-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2019-M12, Class A2                                                             | CUSIP: 3136B5NV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25787492 | PA      | $25184856.51   | 0.10%             | 2029-06-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class X2                                                             | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28841664 | PA      | $1025277.90    | 0.00%             | 2028-11-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class A2                                                             | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4605335 | PA      | $4456939.53    | 0.02%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class X1                                                             | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75379364 | PA      | $2443731.14    | 0.01%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M2S, Class A2                                                             | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13552261 | PA      | $13408294.09   | 0.05%             | 2032-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M1S, Class A2                                                             | CUSIP: 3136BQCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6868000 | PA      | $7062676.89    | 0.03%             | 2033-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M8, Class A2                                                              | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32285000 | PA      | $33149705.30   | 0.13%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2024-M2, Class A2                                                              | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56000000 | PA      | $54759353.60   | 0.21%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-18, Class MA                                                            | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71734318 | PA      | $61589162.67   | 0.24%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 313, Class 1                                                                | CUSIP: 3136FAAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149214 | PA      | $139210.84     | 0.00%             | 2031-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 380, Class S36                                                              | CUSIP: 3136FFGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52796 | PA      | $7059.96       | 0.00%             | 2037-07-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 383, Class 68                                                               | CUSIP: 3136FFQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31944 | PA      | $6215.51       | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 383, Class 69                                                               | CUSIP: 3136FFQS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43708 | PA      | $7195.03       | 0.00%             | 2037-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 383, Class 86                                                               | CUSIP: 3136FFRK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19185 | PA      | $3171.95       | 0.00%             | 2037-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31371FTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $17.90         | 0.00%             | 2027-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $143.27        | 0.00%             | 2028-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3184 | PA      | $3301.88       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2525 | PA      | $2617.86       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31377UYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6841673 | PA      | $6826503.91    | 0.03%             | 2028-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3677, Class PB                                                              | CUSIP: 3137A05F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473581 | PA      | $480388.86     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3855, Class AM                                                              | CUSIP: 3137AAZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31911 | PA      | $32878.65      | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class TP                                                              | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69478 | PA      | $69169.82      | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4030, Class IL                                                              | CUSIP: 3137APLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8378 | PA      | $60.54         | 0.00%             | 2027-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4060, Class TB                                                              | CUSIP: 3137ARA30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883439 | PA      | $875944.44     | 0.00%             | 2027-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4146, Class KI                                                              | CUSIP: 3137AXFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1448500 | PA      | $99644.37      | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K152, Class A2                  | CUSIP: 3137BPVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8584296 | PA      | $8317796.53    | 0.03%             | 2031-01-25      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KS06, Class A2                  | CUSIP: 3137BS5N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8048833 | PA      | $8016830.74    | 0.03%             | 2026-07-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class A2                  | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6438950 | PA      | $6398823.11    | 0.02%             | 2027-04-25      | Fixed         | 3.24%                 | 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        |   19850981 | PA      | $2862692.08    | 0.01%             | 2055-10-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                  | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5868152 | PA      | $5828061.96    | 0.02%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4796, Class CZ                                                              | CUSIP: 3137FG4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9168602 | PA      | $8885233.95    | 0.03%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX                 | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9620080 | PA      | $9529548.31    | 0.04%             | 2028-04-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4830, Class WZ                                                              | CUSIP: 3137FHWW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9295420 | PA      | $9000791.37    | 0.03%             | 2048-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL05, Class X1P                 | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  170656918 | PA      | $4591302.52    | 0.02%             | 2029-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KS11, Class AFX2                | CUSIP: 3137FNAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48537235 | PA      | $46741803.85   | 0.18%             | 2029-06-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ26, Class A2                  | CUSIP: 3137FPJ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5748760 | PA      | $5693255.16    | 0.02%             | 2027-07-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class A2                | CUSIP: 3137FTZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34946810 | PA      | $29257783.85   | 0.11%             | 2035-02-25      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4995, Class QE                                                              | CUSIP: 3137FUXT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29709673 | PA      | $23742921.79   | 0.09%             | 2050-07-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KX04, Class XFX                 | CUSIP: 3137FWHN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  112889499 | PA      | $3931218.75    | 0.02%             | 2034-01-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1520, Class X3                | CUSIP: 3137FYTZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4319814 | PA      | $990739.41     | 0.00%             | 2039-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K128, Class X3                  | CUSIP: 3137FYUM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12474070 | PA      | $1472320.72    | 0.01%             | 2031-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K142, Class AM                  | CUSIP: 3137H73Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21356384 | PA      | $19552640.89   | 0.08%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K145, Class A2                  | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18118950 | PA      | $16773308.13   | 0.06%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                  | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13105054 | PA      | $12363294.84   | 0.05%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class AM                  | CUSIP: 3137H7ZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12619682 | PA      | $11854591.06   | 0.05%             | 2032-07-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-152, Class A2                 | CUSIP: 3137H9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34000000 | PA      | $33610050.60   | 0.13%             | 2032-11-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-160, Class A2                 | CUSIP: 3137HASK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34000000 | PA      | $34898212.00   | 0.14%             | 2033-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5354                                                                        | CUSIP: 3137HAT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3065051 | PA      | $2317720.29    | 0.01%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K753, Class A2                  | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23410000 | PA      | $23977341.35   | 0.09%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31384ACQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14449 | PA      | $14981.96      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EGBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1737024 | PA      | $1788761.72    | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EGM50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200582 | PA      | $209825.26     | 0.00%             | 2036-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5649189 | PA      | $5631952.15    | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EN2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1865567 | PA      | $1893497.09    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7588225 | PA      | $7306017.43    | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EPTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     688111 | PA      | $708580.04     | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138EPV76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8932 | PA      | $8900.32       | 0.00%             | 2026-12-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LDLB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3882979 | PA      | $3866278.15    | 0.01%             | 2026-05-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LDLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6795213 | PA      | $6770888.38    | 0.03%             | 2026-04-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LDTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5687770 | PA      | $5609761.23    | 0.02%             | 2028-04-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LDU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4727374 | PA      | $4704838.73    | 0.02%             | 2026-05-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LDUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9825878 | PA      | $9771671.19    | 0.04%             | 2026-06-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LE4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10548039 | PA      | $9872539.60    | 0.04%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LE7B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5393944 | PA      | $5328683.55    | 0.02%             | 2026-10-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3215465 | PA      | $3138335.51    | 0.01%             | 2029-05-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9201755 | PA      | $9003490.32    | 0.03%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LER60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7107952 | PA      | $6805470.24    | 0.03%             | 2031-08-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14598492 | PA      | $14237757.91   | 0.06%             | 2028-12-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7854173 | PA      | $7778246.89    | 0.03%             | 2028-12-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGTL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16343458 | PA      | $16082077.57   | 0.06%             | 2029-01-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7932205 | PA      | $7794679.21    | 0.03%             | 2029-01-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LHPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12200402 | PA      | $12114937.08   | 0.05%             | 2027-03-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LNKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24331716 | PA      | $24222488.25   | 0.09%             | 2030-09-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LVY49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304358 | PA      | $300025.83     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LXQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079556 | PA      | $1068237.55    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LXZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307124 | PA      | $301997.56     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LY4Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620242 | PA      | $609369.46     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LYQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613601 | PA      | $603761.91     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LYTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74384 | PA      | $73066.17      | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M3WF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711093 | PA      | $703919.56     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M3XL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753287 | PA      | $740709.74     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M4N81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     949742 | PA      | $933102.99     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138MGV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225241 | PA      | $222785.50     | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138MGYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190137 | PA      | $188025.71     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138W4CS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1833292 | PA      | $1728549.16    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138W5Z35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228113 | PA      | $224938.59     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138W9GY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3927767 | PA      | $3817052.96    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138WJHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3401587 | PA      | $3435851.42    | 0.01%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138WK3V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108447 | PA      | $1135328.91    | 0.00%             | 2047-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138WTR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3242535 | PA      | $3228986.38    | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138X8ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538134 | PA      | $544433.50     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138XD3X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434864 | PA      | $1451678.24    | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138Y63A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7530944 | PA      | $7755235.50    | 0.03%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31390MLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6208 | PA      | $6247.35       | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-36, Class ST                                                            | CUSIP: 313920LZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30813 | PA      | $2397.49       | 0.00%             | 2030-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2001-W3, Class A                                           | CUSIP: 3139216F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73874 | PA      | $74664.85      | 0.00%             | 2041-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35923 | PA      | $36918.99      | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12                                                 | CUSIP: 31392A5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4641351 | PA      | $15820.51      | 0.00%             | 2041-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A2                                        | CUSIP: 31392B6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138549 | PA      | $145269.82     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A4                                        | CUSIP: 31392B6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241645 | PA      | $264499.22     | 0.00%             | 2041-12-25      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4                                                  | CUSIP: 31392B6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11766599 | PA      | $226335.25     | 0.00%             | 2041-12-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-72, Class SB                                                            | CUSIP: 31392BGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78514 | PA      | $4753.99       | 0.00%             | 2031-12-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-81, Class HE                                                            | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145036 | PA      | $152267.22     | 0.00%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-19, Class SC                                                            | CUSIP: 31392CGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $208.46        | 0.00%             | 2032-03-17      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2002-W7, Class 1                                           | CUSIP: 31392DD66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1741149 | PA      | $31647.12      | 0.00%             | 2029-06-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-56, Class PE                                                            | CUSIP: 31392ERB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194206 | PA      | $202789.08     | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2002-W10                                                   | CUSIP: 31392ET34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     980064 | PA      | $40893.47      | 0.00%             | 2042-08-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                       | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261578 | PA      | $279337.21     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-86, Class PG                                                            | CUSIP: 31392FWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138270 | PA      | $143888.71     | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A1                                       | CUSIP: 31392GVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209987 | PA      | $222312.20     | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W3, Class 2A5                                                | CUSIP: 31392JYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5017 | PA      | $5192.46       | 0.00%             | 2042-06-25      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2466, Class DH                                                              | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13406 | PA      | $14145.07      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                          | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38348 | PA      | $39116.86      | 0.00%             | 2042-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-22, Class Z                                                             | CUSIP: 31393APN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102908 | PA      | $107381.78     | 0.00%             | 2033-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-25, Class KP                                                            | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367745 | PA      | $370140.68     | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W6, Class 1A41                                               | CUSIP: 31393BT47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55570 | PA      | $57491.59      | 0.00%             | 2042-10-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-47, Class PE                                                            | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116512 | PA      | $122104.31     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-64, Class SX                                                            | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7365 | PA      | $7367.15       | 0.00%             | 2033-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-91, Class SD                                                            | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1824 | PA      | $1933.39       | 0.00%             | 2033-09-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2530, Class SK                                                              | CUSIP: 31393FAM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52829 | PA      | $2782.55       | 0.00%             | 2029-06-15      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2534, Class SI                                                              | CUSIP: 31393FVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8160 | PA      | $9602.81       | 0.00%             | 2032-02-15      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2543, Class YX                                                              | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77364 | PA      | $80909.89      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2557, Class HL                                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41288 | PA      | $42013.11      | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2586                                                                        | CUSIP: 31393MS28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69164 | PA      | $5447.66       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2594, Class IV                                                              | CUSIP: 31393PVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20258 | PA      | $1797.24       | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2610, Class UI                                                              | CUSIP: 31393QXU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62419 | PA      | $7281.43       | 0.00%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-130, Class HZ                                                           | CUSIP: 31393UVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3496726 | PA      | $3699502.72    | 0.01%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2643, Class SA                                                              | CUSIP: 31393WDL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2314 | PA      | $2791.37       | 0.00%             | 2032-03-15      | Floating      | 20.98%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 1A3                                       | CUSIP: 31393X7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69870 | PA      | $72184.67      | 0.00%             | 2043-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 1A4                                       | CUSIP: 31393X7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73242 | PA      | $73974.82      | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A1                                       | CUSIP: 31393XFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91320 | PA      | $95602.00      | 0.00%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 1A                                                 | CUSIP: 31393XGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54691 | PA      | $55615.95      | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12830 | PA      | $13336.85      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 14                                        | CUSIP: 31393YV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1661365 | PA      | $7501.06       | 0.00%             | 2044-02-25      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-72, Class F                                                             | CUSIP: 31394AB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14405 | PA      | $14398.28      | 0.00%             | 2034-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 11                                         | CUSIP: 31394AB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5828174 | PA      | $178012.83     | 0.00%             | 2044-05-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W9, Class 1A3                                                | CUSIP: 31394ACG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121655 | PA      | $127452.92     | 0.00%             | 2044-02-25      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W8, Class 3A                                                 | CUSIP: 31394ALN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25146 | PA      | $25865.52      | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-19, Class PB                                                            | CUSIP: 31394CJS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642971 | PA      | $668863.45     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-53, Class CS                                                            | CUSIP: 31394DJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84839 | PA      | $4027.34       | 0.00%             | 2035-06-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-42, Class PS                                                            | CUSIP: 31394DRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        886 | PA      | $925.18        | 0.00%             | 2035-05-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-51, Class MO                                                            | CUSIP: 31394EBS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15566 | PA      | $11076.20      | 0.00%             | 2035-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-72, Class WS                                                            | CUSIP: 31394EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31488 | PA      | $2172.82       | 0.00%             | 2035-08-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-65, Class KO                                                            | CUSIP: 31394EYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19770 | PA      | $18311.80      | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-84, Class XM                                                            | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19072 | PA      | $19738.04      | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class ES                                                            | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10420 | PA      | $11071.87      | 0.00%             | 2035-10-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2656, Class AC                                                              | CUSIP: 31394HR86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29324 | PA      | $30566.88      | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2699, Class W                                                               | CUSIP: 31394LX98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71173 | PA      | $74494.10      | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2733, Class SB                                                              | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82155 | PA      | $82511.78      | 0.00%             | 2033-10-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2764, Class S                                                               | CUSIP: 31394TW76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9791 | PA      | $9618.64       | 0.00%             | 2033-07-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-106, Class US                                                           | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5487 | PA      | $5799.38       | 0.00%             | 2035-11-25      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50378 | PA      | $51862.57      | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-22, Class AO                                                            | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41667 | PA      | $37706.49      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-9, Class KZ                                                             | CUSIP: 31395BCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84532 | PA      | $89595.60      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-20, Class IB                                                            | CUSIP: 31395BX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82027 | PA      | $8171.46       | 0.00%             | 2036-04-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-27, Class OB                                                            | CUSIP: 31395BZK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356207 | PA      | $303467.50     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-27, Class OH                                                            | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8154 | PA      | $7225.70       | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2845, Class QH                                                              | CUSIP: 31395EDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54793 | PA      | $56214.85      | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2912, Class EH                                                              | CUSIP: 31395LFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298871 | PA      | $310661.08     | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2980, Class QB                                                              | CUSIP: 31395UEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11623 | PA      | $12454.01      | 0.00%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2995, Class FT                                                              | CUSIP: 31395VM48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15284 | PA      | $15228.73      | 0.00%             | 2029-05-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3005, Class PV                                                              | CUSIP: 31395WJG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        225 | PA      | $236.53        | 0.00%             | 2033-10-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3031, Class BN                                                              | CUSIP: 31396AAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146705 | PA      | $157161.01     | 0.00%             | 2035-08-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3059, Class B                                                               | CUSIP: 31396CDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $215.03        | 0.00%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class EO                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37830 | PA      | $34208.17      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3134                                                                        | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11723 | PA      | $9911.62       | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-77, Class PC                                                            | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35593 | PA      | $36888.57      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-110                                                                     | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40489 | PA      | $35752.27      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3138                                                                        | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14702 | PA      | $13039.52      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-128                                                                     | CUSIP: 31396PEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46458 | PA      | $40831.00      | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-10, Class Z                                                             | CUSIP: 31396PND9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14955 | PA      | $15906.55      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-22, Class SC                                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4396 | PA      | $153.18        | 0.00%             | 2037-03-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-52, Class PI                                                            | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84709 | PA      | $12078.47      | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3152, Class MO                                                              | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72903 | PA      | $65304.32      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3187, Class Z                                                               | CUSIP: 31396UUY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345417 | PA      | $355077.72     | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3184, Class YO                                                              | CUSIP: 31396UYQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174920 | PA      | $154347.33     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-54, Class IB                                                            | CUSIP: 31396WEC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1393289 | PA      | $162850.07     | 0.00%             | 2037-06-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-71, Class GZ                                                            | CUSIP: 31396WMD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51758 | PA      | $55712.76      | 0.00%             | 2047-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-109, Class YI                                                           | CUSIP: 31396X2N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     678712 | PA      | $83398.69      | 0.00%             | 2037-12-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3202, Class HI                                                              | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255677 | PA      | $25222.76      | 0.00%             | 2036-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3201, Class IN                                                              | CUSIP: 31397APP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68117 | PA      | $4914.15       | 0.00%             | 2036-08-15      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class B                                                               | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43324 | PA      | $46144.40      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3292, Class DO                                                              | CUSIP: 31397FRF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18905 | PA      | $17141.07      | 0.00%             | 2037-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3306, Class TB                                                              | CUSIP: 31397GJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8146 | PA      | $8094.53       | 0.00%             | 2037-04-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3306, Class TC                                                              | CUSIP: 31397GJE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7175 | PA      | $7090.15       | 0.00%             | 2037-04-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3305, Class IW                                                              | CUSIP: 31397GTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96981 | PA      | $5498.78       | 0.00%             | 2037-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3331                                                                        | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17573 | PA      | $15503.40      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                   | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162072 | PA      | $150348.97     | 0.00%             | 2037-10-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-62, Class SM                                                            | CUSIP: 31397LX61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280598 | PA      | $20036.56      | 0.00%             | 2038-07-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-91, Class SI                                                            | CUSIP: 31397MB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139414 | PA      | $5114.42       | 0.00%             | 2038-03-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-29, Class LA                                                            | CUSIP: 31397NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141697 | PA      | $130772.03     | 0.00%             | 2039-05-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3383, Class OP                                                              | CUSIP: 31397P4H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29812 | PA      | $26135.68      | 0.00%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3409, Class DB                                                              | CUSIP: 31397PRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134004 | PA      | $143048.74     | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-19, Class ZY                                                            | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71120 | PA      | $77065.72      | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3531, Class SM                                                              | CUSIP: 31398CVX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9120 | PA      | $632.41        | 0.00%             | 2039-05-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3546, Class A                                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25779 | PA      | $26238.40      | 0.00%             | 2039-02-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3542, Class TN                                                              | CUSIP: 31398EDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7591 | PA      | $7914.84       | 0.00%             | 2036-07-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-112, Class SW                                                           | CUSIP: 31398GKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99568 | PA      | $9689.08       | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-112, Class ST                                                           | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151461 | PA      | $16248.94      | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-10, Class NT                                                            | CUSIP: 31398GX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370922 | PA      | $384590.27     | 0.00%             | 2040-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3572, Class JS                                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18641 | PA      | $940.84        | 0.00%             | 2039-09-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3592, Class BZ                                                              | CUSIP: 31398KFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     842605 | PA      | $865952.43     | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3605, Class NC                                                              | CUSIP: 31398KP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218966 | PA      | $230524.89     | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3610, Class CA                                                              | CUSIP: 31398LLE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69478 | PA      | $70621.64      | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3609, Class SA                                                              | CUSIP: 31398LNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131036 | PA      | $9392.04       | 0.00%             | 2039-12-15      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3611                                                                        | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19389 | PA      | $17488.19      | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-49, Class SC                                                            | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54274 | PA      | $55003.14      | 0.00%             | 2040-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-35, Class SB                                                            | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143078 | PA      | $9802.44       | 0.00%             | 2040-04-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-129, Class PZ                                                           | CUSIP: 31398SHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1232338 | PA      | $1225251.71    | 0.00%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-70, Class SA                                                            | CUSIP: 31398TJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295164 | PA      | $38949.54      | 0.00%             | 2038-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3648, Class CY                                                              | CUSIP: 31398VDG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86248 | PA      | $86818.68      | 0.00%             | 2030-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3653, Class HJ                                                              | CUSIP: 31398VXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34344 | PA      | $35555.52      | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402CVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292038 | PA      | $304573.60     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30555 | PA      | $32081.02      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5168 | PA      | $5501.05       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8244 | PA      | $8421.49       | 0.00%             | 2034-01-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34239 | PA      | $35114.68      | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E5KY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     527627 | PA      | $506407.61     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E6S94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1881825 | PA      | $1861545.80    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140ECJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497349 | PA      | $477248.27     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140ECKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552955 | PA      | $547053.36     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140EU2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145197 | PA      | $139792.25     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140EXJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396156 | PA      | $379906.88     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F5MS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2271547 | PA      | $2238829.59    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F8Q26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     749571 | PA      | $740180.34     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F8QZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164802 | PA      | $158124.68     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FAJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3991811 | PA      | $3833356.39    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FDB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1370621 | PA      | $1316213.65    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FKJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1356293 | PA      | $1303575.14    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FNC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     802082 | PA      | $786683.63     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FQUE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4049971 | PA      | $3876134.17    | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FUHZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484117 | PA      | $477502.13     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18020731 | PA      | $17825613.16   | 0.07%             | 2063-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13387022 | PA      | $12971511.38   | 0.05%             | 2064-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20900252 | PA      | $20751483.54   | 0.08%             | 2064-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17516157 | PA      | $17326482.73   | 0.07%             | 2064-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16829564 | PA      | $15816792.27   | 0.06%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23361945 | PA      | $21970879.26   | 0.09%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25461335 | PA      | $22867920.66   | 0.09%             | 2060-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXSX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15548548 | PA      | $13793057.47   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6192284 | PA      | $6148213.82    | 0.02%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31784062 | PA      | $26852173.39   | 0.10%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19113805 | PA      | $16894059.97   | 0.07%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14764213 | PA      | $13681999.68   | 0.05%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXX64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20380932 | PA      | $17218182.63   | 0.07%             | 2062-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15558674 | PA      | $13144355.66   | 0.05%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29368037 | PA      | $24810720.54   | 0.10%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39301031 | PA      | $37740385.24   | 0.15%             | 2062-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23740309 | PA      | $20573799.22   | 0.08%             | 2062-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12874951 | PA      | $10972695.33   | 0.04%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49252595 | PA      | $43532372.10   | 0.17%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51383746 | PA      | $49343279.77   | 0.19%             | 2063-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44121508 | PA      | $37275106.27   | 0.14%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GVND3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     939506 | PA      | $926667.16     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GVNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     766163 | PA      | $755535.17     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWMP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7734276 | PA      | $7626205.42    | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H6DX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2617092 | PA      | $2589329.70    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H6ZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2120488 | PA      | $2090857.57    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H7MW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2973284 | PA      | $2916112.87    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H7NF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851971 | PA      | $849191.41     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H7NV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2226607 | PA      | $2183653.48    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H9DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12242588 | PA      | $12075306.34   | 0.05%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HAEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4282262 | PA      | $4222425.60    | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HAFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2209598 | PA      | $2178493.25    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HEDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     913510 | PA      | $900744.89     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HEJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1290018 | PA      | $1316765.00    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HEXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494011 | PA      | $487105.03     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HFFD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1925144 | PA      | $1904988.82    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HHSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43638 | PA      | $43864.12      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HKS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585300 | PA      | $604232.90     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HLJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976171 | PA      | $977201.24     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HLKB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874175 | PA      | $873583.59     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HNWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3548876 | PA      | $3544971.06    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HPKE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2098025 | PA      | $2167161.17    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HPTN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2139764 | PA      | $2108535.66    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HRRT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4346649 | PA      | $4349316.06    | 0.02%             | 2027-10-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280901 | PA      | $281243.11     | 0.00%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15531916 | PA      | $15575867.28   | 0.06%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HU2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15434841 | PA      | $15006995.54   | 0.06%             | 2029-08-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HU3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21158783 | PA      | $20462467.50   | 0.08%             | 2029-08-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HU4K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10156567 | PA      | $9969493.49    | 0.04%             | 2027-09-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HUW69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4344083 | PA      | $4106606.49    | 0.02%             | 2031-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HUZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14260240 | PA      | $13389734.20   | 0.05%             | 2033-08-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HYAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14714549 | PA      | $13134553.85   | 0.05%             | 2032-05-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HYCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33032920 | PA      | $29463399.13   | 0.11%             | 2032-04-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140J1VA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $6791584.56    | 0.03%             | 2032-11-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J5FF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2745210 | PA      | $2868436.19    | 0.01%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J5JP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6228680 | PA      | $6194119.10    | 0.02%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J6DL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3656530 | PA      | $3621985.83    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J73H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26943408 | PA      | $26566938.17   | 0.10%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3070612 | PA      | $3081059.03    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3140J76C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3827090 | PA      | $3827797.79    | 0.01%             | 2038-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7L29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2787854 | PA      | $2748899.52    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3140J7TL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3661715 | PA      | $3648106.00    | 0.01%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10892068 | PA      | $10757556.15   | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9675088 | PA      | $8587357.60    | 0.03%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65466003 | PA      | $56329505.73   | 0.22%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61678628 | PA      | $52653451.88   | 0.20%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29097923 | PA      | $25108054.00   | 0.10%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61457012 | PA      | $53091947.11   | 0.21%             | 2033-01-01      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9366293 | PA      | $9084587.69    | 0.04%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34569124 | PA      | $31000865.25   | 0.12%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JG5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757114 | PA      | $773237.78     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JGEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1124061 | PA      | $1108353.22    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JGHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048304 | PA      | $1082213.09    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JHN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5089082 | PA      | $5016653.62    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUUS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515350 | PA      | $506871.12     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWVW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2359085 | PA      | $2246991.17    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36940792 | PA      | $32083602.60   | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140L3PN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74540722 | PA      | $62229669.80   | 0.24%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140L5B47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8023244 | PA      | $6713546.41    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42227395 | PA      | $38050159.32   | 0.15%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11737558 | PA      | $9888757.81    | 0.04%             | 2036-08-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8251330 | PA      | $7086087.82    | 0.03%             | 2033-09-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24318000 | PA      | $21571339.78   | 0.08%             | 2031-11-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF2D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1398183 | PA      | $1304092.68    | 0.01%             | 2034-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6067155 | PA      | $5782669.99    | 0.02%             | 2032-05-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7263858 | PA      | $6724943.20    | 0.03%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11267255 | PA      | $10258539.82   | 0.04%             | 2032-01-01      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24627793 | PA      | $21890693.58   | 0.08%             | 2034-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24457913 | PA      | $23161808.70   | 0.09%             | 2030-10-01      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9030724 | PA      | $8597051.96    | 0.03%             | 2030-09-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19414894 | PA      | $17456509.76   | 0.07%             | 2034-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12438638 | PA      | $12267039.69   | 0.05%             | 2030-05-01      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGBJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14265094 | PA      | $13725485.15   | 0.05%             | 2032-05-01      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23025094 | PA      | $21862034.56   | 0.08%             | 2032-05-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11163564 | PA      | $10664766.47   | 0.04%             | 2032-05-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12917700 | PA      | $12505727.81   | 0.05%             | 2034-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHLB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9920571.50    | 0.04%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7765958 | PA      | $8136631.91    | 0.03%             | 2032-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24245478 | PA      | $24647253.08   | 0.10%             | 2033-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31063831 | PA      | $31098666.91   | 0.12%             | 2033-04-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18570347 | PA      | $18414333.43   | 0.07%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LK5V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17812195 | PA      | $18456082.34   | 0.07%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKBK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14802886 | PA      | $15184279.55   | 0.06%             | 2033-04-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16162900 | PA      | $16465332.75   | 0.06%             | 2033-05-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16791168 | PA      | $17058580.01   | 0.07%             | 2033-07-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14561171 | PA      | $14984553.36   | 0.06%             | 2033-07-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLEU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31048000 | PA      | $31686965.67   | 0.12%             | 2033-08-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13955000 | PA      | $14392989.40   | 0.06%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLQZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $10267656.30   | 0.04%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LS3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18148319 | PA      | $15818774.24   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LV6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5182003 | PA      | $4728274.27    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LV7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6901929 | PA      | $6293488.92    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140M2PG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10568482 | PA      | $9327876.27    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGCW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14671975 | PA      | $12787980.66   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30597211 | PA      | $26667295.91   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39668684 | PA      | $40048869.17   | 0.16%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N4DC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11153806 | PA      | $11336992.84   | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46944680 | PA      | $47318106.15   | 0.18%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40251792 | PA      | $40471211.04   | 0.16%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NP4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17438578 | PA      | $18133118.73   | 0.07%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NS5K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10498213 | PA      | $10916351.96   | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $10753558.52   | 0.04%             | 2034-03-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50000000 | PA      | $51490647.00   | 0.20%             | 2034-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $23334920.71   | 0.09%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NWN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19982036.40   | 0.08%             | 2031-11-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140Q7L47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4348856 | PA      | $4385969.26    | 0.02%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2093486 | PA      | $2104217.92    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3140Q8LQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1484395 | PA      | $1476063.30    | 0.01%             | 2038-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3140Q8LU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1417120 | PA      | $1410633.80    | 0.01%             | 2038-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140Q9MV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8601222 | PA      | $8366897.36    | 0.03%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QCFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4395448 | PA      | $4180395.12    | 0.02%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 3140QCG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3029681 | PA      | $3005592.57    | 0.01%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19783877 | PA      | $17460253.71   | 0.07%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19065931 | PA      | $16877150.60   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11459367 | PA      | $10163593.39   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22549699 | PA      | $19948091.13   | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QFLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83146777 | PA      | $72315701.45   | 0.28%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QGZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19527179 | PA      | $17266196.34   | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4895795 | PA      | $4485372.60    | 0.02%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28221200 | PA      | $24697800.35   | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18545854 | PA      | $16290406.90   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QL7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30202443 | PA      | $26587500.39   | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QLR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20287813 | PA      | $18511577.71   | 0.07%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23916675 | PA      | $21109250.21   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15242727 | PA      | $13313525.26   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16813734 | PA      | $14960715.14   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMKF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42617236 | PA      | $38885830.27   | 0.15%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16050934 | PA      | $14146897.44   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7626532 | PA      | $6657726.80    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14437340 | PA      | $12601099.50   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19974780 | PA      | $17459463.18   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29522108 | PA      | $25922441.47   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35543543 | PA      | $31000642.92   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17953794 | PA      | $16941876.98   | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10329203 | PA      | $10080758.96   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76298938 | PA      | $72113049.68   | 0.28%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22838655 | PA      | $22293491.02   | 0.09%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPSS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1876329 | PA      | $1873684.69    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19335132 | PA      | $19545733.89   | 0.08%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31025949 | PA      | $31415610.24   | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QRR54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15226993 | PA      | $15591760.92   | 0.06%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QSAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13993550 | PA      | $14147741.60   | 0.05%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W04Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15336899 | PA      | $13407725.70   | 0.05%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W0HF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55158999 | PA      | $53731346.36   | 0.21%             | 2054-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W2BY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7508038 | PA      | $7476160.45    | 0.03%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W2JT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3849207 | PA      | $3381103.44    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X3BD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4719013 | PA      | $4524043.38    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X8XB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20510981 | PA      | $18104542.53   | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X8XH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20903647 | PA      | $17579888.29   | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X9M44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21451996 | PA      | $18946171.51   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10365895 | PA      | $9144262.57    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XCHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16567770 | PA      | $14645934.66   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9610457 | PA      | $8476462.27    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XDGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10415901 | PA      | $9212635.66    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3140XF3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9312006 | PA      | $8797145.97    | 0.03%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22267421 | PA      | $20183162.30   | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5223208 | PA      | $4614431.12    | 0.02%             | 2047-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGMD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6902618 | PA      | $6831688.81    | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58153822 | PA      | $53132999.17   | 0.21%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XH2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39916357 | PA      | $39694029.31   | 0.15%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21842419 | PA      | $20183297.36   | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6287342 | PA      | $5736763.40    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XJ4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17032443 | PA      | $16990597.90   | 0.07%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XJ6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22366810 | PA      | $20456076.46   | 0.08%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15048908 | PA      | $14291634.66   | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XJJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14659762 | PA      | $14825837.15   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XJY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21233814 | PA      | $20816111.79   | 0.08%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XJZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23025940 | PA      | $22928990.91   | 0.09%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XKAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7770394 | PA      | $6829073.81    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XKHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5175312 | PA      | $5146486.44    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7841701 | PA      | $7668071.19    | 0.03%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XKUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37091671 | PA      | $33843578.65   | 0.13%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XL3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10728635 | PA      | $10648993.61   | 0.04%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6491808 | PA      | $5705337.89    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XMDD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18061615 | PA      | $15930464.32   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XMJQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11535484 | PA      | $10134403.65   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8161601 | PA      | $7197772.34    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XN5L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47667802 | PA      | $41870838.42   | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39488762 | PA      | $33348508.52   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPGU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47007912 | PA      | $39450992.06   | 0.15%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XQYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17178705 | PA      | $15716845.94   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140Y66N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43043760 | PA      | $44642846.91   | 0.17%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410DVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6152 | PA      | $6381.85       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        698 | PA      | $708.12        | 0.00%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410GL76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11635 | PA      | $11994.90      | 0.00%             | 2037-04-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2354466 | PA      | $2219417.93    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10505557 | PA      | $11087323.30   | 0.04%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411KFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7567 | PA      | $7796.58       | 0.00%             | 2037-03-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5403 | PA      | $5500.09       | 0.00%             | 2037-07-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25083 | PA      | $26560.44      | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16322 | PA      | $17378.01      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38471 | PA      | $40307.64      | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416JAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61147 | PA      | $63081.07      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1362490 | PA      | $1283775.83    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417MS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209344 | PA      | $215574.51     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417N6D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360108 | PA      | $365096.40     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417YU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43427 | PA      | $43006.87      | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1016167 | PA      | $1028070.49    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722065 | PA      | $716444.26     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3413182 | PA      | $3286301.38    | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531346 | PA      | $511591.73     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1800300 | PA      | $1733365.56    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     972613 | PA      | $936449.78     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418ATU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     483238 | PA      | $468851.70     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1363336 | PA      | $1312639.10    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1047217 | PA      | $1041650.18    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2185071 | PA      | $2103821.21    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B3B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4558092 | PA      | $4511318.90    | 0.02%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4899427 | PA      | $4861262.16    | 0.02%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1705587 | PA      | $1642119.91    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B7C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3310456 | PA      | $3187253.97    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BTC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223921 | PA      | $215589.47     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1709419 | PA      | $1691880.57    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1868791 | PA      | $1849618.03    | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BYR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1961972 | PA      | $1941842.09    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1358726 | PA      | $1364805.61    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80865688 | PA      | $70530029.31   | 0.27%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31419AXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1577132 | PA      | $1597533.96    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31419BVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     607356 | PA      | $615210.92     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31419DNM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390196 | PA      | $395243.93     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427M2S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25439962 | PA      | $25447578.90   | 0.10%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427NW62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29576218 | PA      | $26008404.02   | 0.10%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427PE67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37670379 | PA      | $37518743.20   | 0.15%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427PGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47127814 | PA      | $46024879.43   | 0.18%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427QGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1997426 | PA      | $1986300.80    | 0.01%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GR6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9335746 | PA      | $9734838.62    | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GTGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28578623 | PA      | $29350379.61   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48936345 | PA      | $50022642.88   | 0.19%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.                         | Fidelity National Information Services, Inc.                                                     | CUSIP: 31620MAU0<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    1942000 | PA      | $1640035.88    | 0.01%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                  | Fifth Third Bancorp                                                                              | CUSIP: 316773DN7<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    7250000 | PA      | $7292956.54    | 0.03%             | 2032-04-29      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1                   | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22479 | PA      | $22878.66      | 0.00%             | 2034-09-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                            | First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1                            | CUSIP: 32051GBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34376 | PA      | $33572.54      | 0.00%             | 2034-12-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                         | FirstEnergy Transmission LLC                                                                     | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     777000 | PA      | $763930.91     | 0.00%             | 2044-07-15      | Fixed         | 5.45%                 | 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        |   10577000 | PA      | $10419047.31   | 0.04%             | 2038-09-17      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                                 | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9708000 | PA      | $9581063.05    | 0.04%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class F1                                                 | CUSIP: 33767WAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19967000 | PA      | $19758045.35   | 0.08%             | 2038-08-17      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class F2                                                 | CUSIP: 33767WAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16851000 | PA      | $16682198.48   | 0.06%             | 2038-08-17      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class F3                                                 | CUSIP: 33767WAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14566000 | PA      | $14421240.18   | 0.06%             | 2038-08-17      | Fixed         | 3.69%                 | 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        |   31898000 | PA      | $31227035.14   | 0.12%             | 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        |    6469000 | PA      | $6330388.74    | 0.02%             | 2038-07-17      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR3, Class F2                                                 | CUSIP: 33768JAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9294000 | PA      | $9122514.55    | 0.04%             | 2038-12-17      | Fixed         | 3.83%                 | Yes           |                  2 | 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        |   28086000 | PA      | $26295747.81   | 0.10%             | 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        |   11500000 | PA      | $10748002.35   | 0.04%             | 2039-05-19      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstEnergy Corp.                                                    | FirstEnergy Corp., Series B                                                                      | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    7920000 | PA      | $7952697.32    | 0.03%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Flash Compute LLC                                                    | Flash Compute LLC                                                                                | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1472000 | PA      | $1506766.93    | 0.01%             | 2030-12-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                                            | Florida Power & Light Co.                                                                        | CUSIP: 341081EU7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     583000 | PA      | $612590.14     | 0.00%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                            | Florida Power & Light Co.                                                                        | CUSIP: 341081FP7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    4466000 | PA      | $3474055.85    | 0.01%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                            | Florida Power & Light Co.                                                                        | CUSIP: 341081FQ5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     646000 | PA      | $522878.45     | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                              | Duke Energy Florida LLC                                                                          | CUSIP: 341099CB3<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     400000 | PA      | $433920.89     | 0.00%             | 2033-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                                | Ford Foundation (The), Series 2020                                                               | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    2915000 | PA      | $1737455.70    | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co.                                                       | Ford Motor Co.                                                                                   | CUSIP: 345370CX6<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    3537000 | PA      | $4132242.23    | 0.02%             | 2030-04-22      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                                        | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    8551000 | PA      | $8194899.16    | 0.03%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                                        | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     920000 | PA      | $993313.88     | 0.00%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                                        | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1015168.03    | 0.00%             | 2029-09-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                                        | CUSIP: 345397J38<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   28366000 | PA      | $28905494.94   | 0.11%             | 2033-04-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                                        | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     870000 | PA      | $878453.12     | 0.00%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                     | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class B                       | CUSIP: 34962ABE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6875000 | PA      | $6892187.50    | 0.03%             | 2031-05-15      | Fixed         | 6.90%                 | Yes           |                  3 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                     | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class C                       | CUSIP: 34962ABF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7700000 | PA      | $7738500.00    | 0.03%             | 2031-05-15      | Fixed         | 12.52%                | Yes           |                  3 | On Loan: No      |
| Foundry JV Holdco LLC                                                | Foundry JV Holdco LLC                                                                            | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   14665000 | PA      | $15789579.22   | 0.06%             | 2035-01-25      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                | Foundry JV Holdco LLC                                                                            | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    4720000 | PA      | $4925454.38    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2021-MN1, Class M2                                                      | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |   54612719 | PA      | $56669597.84   | 0.22%             | 2051-01-25      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2021-MN3, Class M1                                                      | CUSIP: 35563GAA7<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | USGSE             | US        |    1744578 | PA      | $1746000.74    | 0.01%             | 2051-11-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2021-MN3, Class M2                                                      | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | USGSE             | US        |    9418272 | PA      | $9747183.49    | 0.04%             | 2051-11-25      | Floating      | 7.67%                 | 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        |    6067155 | PA      | $6676412.64    | 0.03%             | 2052-05-25      | Floating      | 10.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-2, Class BXS                              | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4718737 | PA      | $3758991.16    | 0.01%             | 2060-11-25      | Variable      | 13.59%                | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                              | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24918681 | PA      | $22181545.78   | 0.09%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HB                               | CUSIP: 35563PBG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $9971073.60    | 0.04%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                               | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7519980 | PA      | $7024791.25    | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class HZ                               | CUSIP: 35563PHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12955641 | PA      | $9549540.54    | 0.04%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                               | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21274580 | PA      | $18391002.07   | 0.07%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT                               | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32122856 | PA      | $29792725.49   | 0.12%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                             | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11678614 | PA      | $11178937.10   | 0.04%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MB                               | CUSIP: 35563PMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41680851 | PA      | $32977805.93   | 0.13%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MB                               | CUSIP: 35563PNQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31961359 | PA      | $24125891.10   | 0.09%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-1, Class BXS                              | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10069200 | PA      | $8182946.10    | 0.03%             | 2060-09-25      | Variable      | 13.27%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                               | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36387567 | PA      | $33131924.43   | 0.13%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                                    | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23495576 | PA      | $20764025.24   | 0.08%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2023-MN7, Class M2                                                      | CUSIP: 35563QAB3<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   11110000 | PA      | $11911347.64   | 0.05%             | 2043-09-25      | Floating      | 9.37%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                    | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33675548 | PA      | $29341397.25   | 0.11%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 2025-MN11, Class M2                                                                | CUSIP: 35563YAB6<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |   15955000 | PA      | $15946534.28   | 0.06%             | 2045-07-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                          | Seasoned Loans Structured Transaction Trust, Series 2024-2, Class VF                             | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31729535 | PA      | $32234339.15   | 0.12%             | 2034-10-25      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2025-MN12, Class M2                                                     | CUSIP: 355913AB0<br>LEI: 529900KABSM46L5D1T20 | Long             | ABS-MBS          | CORP              | US        |   18100000 | PA      | $18101869.73   | 0.07%             | 2045-11-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Freeport-McMoRan, Inc.                                               | Freeport-McMoRan, Inc.                                                                           | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    8251000 | PA      | $8347004.10    | 0.03%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  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        |  396157047 | PA      | $472060.74     | 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        |   93600000 | PA      | $123598.80     | 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        |   38200000 | PA      | $33773128.06   | 0.13%             | 2052-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                             | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class A6                              | CUSIP: 36157RD77<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      53868 | PA      | $54363.34      | 0.00%             | 2029-04-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                              | GFL Environmental, Inc.                                                                          | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    5495000 | PA      | $5409960.64    | 0.02%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                              | GFL Environmental, Inc.                                                                          | CUSIP: 36168QAN4<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    4997000 | PA      | $4964611.94    | 0.02%             | 2029-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                              | GFL Environmental, Inc.                                                                          | CUSIP: 36168QAQ7<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    8914000 | PA      | $9349448.90    | 0.04%             | 2031-01-15      | Fixed         | 6.75%                 | 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        |   32597013 | PA      | $33668378.95   | 0.13%             | 2060-09-30      | Fixed         | 9.70%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6285238 | PA      | $5550008.79    | 0.02%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26404765 | PA      | $23316243.31   | 0.09%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6998643 | PA      | $6630287.47    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   76292306 | PA      | $67367976.04   | 0.26%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65118270 | PA      | $59835612.45   | 0.23%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17796628 | PA      | $15100026.26   | 0.06%             | 2052-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21704169 | PA      | $21061939.32   | 0.08%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15454339 | PA      | $14293319.78   | 0.06%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YDD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22857226 | PA      | $20230955.37   | 0.08%             | 2053-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21183606 | PA      | $20377008.40   | 0.08%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ALMR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3898138 | PA      | $3883021.67    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617B0XU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2982698 | PA      | $2871470.58    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1237445 | PA      | $1245836.19    | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2621094 | PA      | $2638868.08    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFTE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1848559 | PA      | $1842867.67    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BM3C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3005572 | PA      | $2893469.15    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G4R46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1587553 | PA      | $1588250.46    | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GLUF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1188755 | PA      | $1183411.86    | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GNHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5807766 | PA      | $5785243.16    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617H7DN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3379770 | PA      | $3351143.77    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HNN39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3954163 | PA      | $4027261.38    | 0.02%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2229029 | PA      | $2294983.49    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1697666 | PA      | $1698536.52    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2032696 | PA      | $2077707.26    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617JMJW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19365347 | PA      | $20388707.25   | 0.08%             | 2072-04-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2119588 | PA      | $2192624.65    | 0.01%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1X65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7301376 | PA      | $7221262.57    | 0.03%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1XE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3258836 | PA      | $3281309.50    | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1XL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3399827 | PA      | $3487689.40    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1XT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     844124 | PA      | $866702.84     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5631174 | PA      | $5510173.42    | 0.02%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4914313 | PA      | $5055746.69    | 0.02%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJP73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2442432 | PA      | $2457171.18    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJP81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2228266 | PA      | $2218313.46    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJQJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2386036 | PA      | $2405686.74    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJQK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1464764 | PA      | $1473109.68    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJQL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     634622 | PA      | $627658.25     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WUFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13526444 | PA      | $12921711.96   | 0.05%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WUGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8531201 | PA      | $8149793.48    | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WUGR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3030836 | PA      | $2871941.73    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WUJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7540005 | PA      | $7240157.31    | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XLD93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     960410 | PA      | $910453.36     | 0.00%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXC56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28962702 | PA      | $30441610.11   | 0.12%             | 2072-03-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXC80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43437800 | PA      | $45496825.97   | 0.18%             | 2072-03-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34387644 | PA      | $36002597.46   | 0.14%             | 2072-02-20      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18743624 | PA      | $19613789.11   | 0.08%             | 2072-03-20      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXDH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31696225 | PA      | $33173550.86   | 0.13%             | 2072-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617YCC51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18107066 | PA      | $18879376.03   | 0.07%             | 2072-03-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YCTV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12154255 | PA      | $11415046.26   | 0.04%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YCV68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7912901 | PA      | $7654316.83    | 0.03%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617YGAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31552241 | PA      | $33174300.80   | 0.13%             | 2072-03-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMMZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4950607 | PA      | $4739774.13    | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617YWBB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12689875 | PA      | $13284376.78   | 0.05%             | 2072-03-20      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617YWBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11507967 | PA      | $12053144.34   | 0.05%             | 2072-03-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                            | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                            | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17566 | PA      | $17301.34      | 0.00%             | 2035-06-19      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                            | GMACM Mortgage Loan Trust, Series 2003-J10, Class A1                                             | CUSIP: 36185NM72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10579 | PA      | $5818.32       | 0.00%             | 2019-01-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AW2Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17499845 | PA      | $17867813.83   | 0.07%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEU75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30714557 | PA      | $32260585.96   | 0.12%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36193PPT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     350618 | PA      | $352241.91     | 0.00%             | 2046-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1034977 | PA      | $980385.01     | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     941880 | PA      | $902083.00     | 0.00%             | 2046-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     764088 | PA      | $738432.15     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1401980 | PA      | $1327152.94    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1705736 | PA      | $1635768.60    | 0.01%             | 2046-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36194GLT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2914416 | PA      | $2839363.09    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1813915 | PA      | $1766450.88    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196PT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2894398 | PA      | $2869788.66    | 0.01%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $26.87         | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        292 | PA      | $292.96        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CUC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $81.43         | 0.00%             | 2027-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CUW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.51         | 0.00%             | 2027-03-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CWE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        622 | PA      | $628.98        | 0.00%             | 2027-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CWS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2263 | PA      | $2286.07       | 0.00%             | 2027-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CZB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        374 | PA      | $379.45        | 0.00%             | 2028-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202DAP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        619 | PA      | $643.71        | 0.00%             | 2029-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33428 | PA      | $36056.08      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FMV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84309 | PA      | $87078.99      | 0.00%             | 2039-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FNS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91223 | PA      | $95156.74      | 0.00%             | 2031-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FPP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97632 | PA      | $101667.69     | 0.00%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7113 | PA      | $7346.99       | 0.00%             | 2038-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FSH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34055 | PA      | $35075.29      | 0.00%             | 2032-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FSX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7140 | PA      | $7374.64       | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FT55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33631 | PA      | $36317.93      | 0.00%             | 2039-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202FYP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77010 | PA      | $82852.96      | 0.00%             | 2039-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36208TZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2373 | PA      | $2407.95       | 0.00%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36208UCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $176.13        | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AR2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7581 | PA      | $7835.36       | 0.00%             | 2036-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AR2U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7455 | PA      | $7512.46       | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AR5J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87288 | PA      | $90523.97      | 0.00%             | 2035-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AR5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81452 | PA      | $83088.99      | 0.00%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AR5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114869 | PA      | $117351.61     | 0.00%             | 2032-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620ASDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82480 | PA      | $84342.10      | 0.00%             | 2032-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.80          | 0.00%             | 2026-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225BG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5683 | PA      | $5862.80       | 0.00%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28093 | PA      | $28208.95      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                               | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38461 | PA      | $39849.54      | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-7F, Class 1A4                                               | CUSIP: 36228FTW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26928 | PA      | $27276.64      | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3622A2JL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1058312 | PA      | $1124688.70    | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AB5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9629975 | PA      | $8712801.49    | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34781326 | PA      | $33119732.54   | 0.13%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A1                                               | CUSIP: 36242D7K3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6531 | PA      | $6327.77       | 0.00%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                               | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3791 | PA      | $3673.36       | 0.00%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                               | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12487 | PA      | $12821.36      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                         | GS Mortgage Securities Trust, Series 2019-GC38, Class A4                                         | CUSIP: 36252SAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30190161 | PA      | $30020613.06   | 0.12%             | 2052-02-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2022-1A, Class D                                       | CUSIP: 36263XAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7989514 | PA      | $7986447.02    | 0.03%             | 2028-01-18      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2022-1A, Class E                                       | CUSIP: 36263XAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14000000 | PA      | $14058207.80   | 0.05%             | 2029-05-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                | Haleon US Capital LLC                                                                            | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    2616000 | PA      | $2603340.47    | 0.01%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                    | GLS Auto Select Receivables Trust, Series 2023-1A, Class B                                       | CUSIP: 36267FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5825000 | PA      | $5946935.31    | 0.02%             | 2029-03-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class E                                       | CUSIP: 36267PAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4900000 | PA      | $5228762.56    | 0.02%             | 2030-08-15      | Fixed         | 9.27%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2024-4A, Class E                                       | CUSIP: 36270YAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3663229.15    | 0.01%             | 2031-08-15      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class D                                       | CUSIP: 362929AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18943000 | PA      | $19585764.40   | 0.08%             | 2029-08-15      | Fixed         | 7.18%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                                  | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19336195 | PA      | $19052689.84   | 0.07%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2022-FRR3, Class CK89                                                 | CUSIP: 36459DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8540000 | PA      | $7028284.21    | 0.03%             | 2052-01-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC TRUST                                                   | GAM Re-REMIC TRUST, Series 2021-FRR2, Class BK78                                                 | CUSIP: 36459TBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5734000 | PA      | $5140236.85    | 0.02%             | 2051-09-27      | Variable      | 2.35%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC TRUST                                                   | GAM Re-REMIC TRUST, Series 2021-FRR2, Class CK78                                                 | CUSIP: 36459TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14300000 | PA      | $11468584.27   | 0.04%             | 2051-09-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2021-FRR1, Class 1D                                                   | CUSIP: 364614AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2134000 | PA      | $1958386.31    | 0.01%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Gap, Inc. (The)                                                      | Gap, Inc. (The)                                                                                  | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    5942000 | PA      | $5652303.14    | 0.02%             | 2029-10-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                   | General Motors Financial Co., Inc.                                                               | CUSIP: 37045XEV4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    3935000 | PA      | $4174617.46    | 0.02%             | 2034-04-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                              | Genesee & Wyoming, Inc.                                                                          | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |     500000 | PA      | $515368.00     | 0.00%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Genesis Energy LP                                                    | Genesis Energy LP                                                                                | CUSIP: 37185LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4881000 | PA      | $4888677.81    | 0.02%             | 2028-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                    | Georgia Power Co.                                                                                | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3551226.42    | 0.01%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Wrangler Holdco Corp.                                                | Wrangler Holdco Corp.                                                                            | CUSIP: 37441QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2275000 | PA      | $2369892.53    | 0.01%             | 2032-04-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                | Gilead Sciences, Inc.                                                                            | CUSIP: 375558BA0<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    6310000 | PA      | $5644983.48    | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                | Gilead Sciences, Inc.                                                                            | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    3883000 | PA      | $3510516.27    | 0.01%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                                             | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    3883000 | PA      | $3874712.78    | 0.02%             | 2027-10-27      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                                             | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     850000 | PA      | $788033.15     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                                             | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    8941000 | PA      | $8343689.43    | 0.03%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                                             | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    8632000 | PA      | $7873134.47    | 0.03%             | 2031-09-23      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                                             | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   28840000 | PA      | $30501495.18   | 0.12%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                                 | Glencore Funding LLC                                                                             | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    3770000 | PA      | $3901006.44    | 0.02%             | 2030-04-01      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                                | Global Payments, Inc.                                                                            | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   23870000 | PA      | $23842010.28   | 0.09%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                | Global Payments, Inc.                                                                            | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    5820000 | PA      | $5789212.67    | 0.02%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Global Infrastructure Solutions, Inc.                                | Global Infrastructure Solutions, Inc.                                                            | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |    7860000 | PA      | $7858123.03    | 0.03%             | 2029-06-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class E                                       | CUSIP: 37989YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3400000 | PA      | $3448748.18    | 0.01%             | 2032-08-16      | Fixed         | 6.52%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2023-2A, Class C                                       | CUSIP: 379928AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7987144 | PA      | $8017975.63    | 0.03%             | 2029-03-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   26145000 | PA      | $27677426.43   | 0.11%             | 2029-10-24      | Variable      | 6.48%                 | 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        |    7601000 | PA      | $8091644.55    | 0.03%             | 2029-05-10      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3695000 | PA      | $3860500.01    | 0.01%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2050000 | PA      | $2103066.28    | 0.01%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   23360000 | PA      | $24113042.30   | 0.09%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7010000 | PA      | $7124123.29    | 0.03%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   27120000 | PA      | $27401126.19   | 0.11%             | 2035-10-23      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GC28<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11366000 | PA      | $11902338.81   | 0.05%             | 2030-02-10      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13385000 | PA      | $13869740.59   | 0.05%             | 2031-01-28      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   14210000 | PA      | $14710316.20   | 0.06%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   37535000 | PA      | $37559243.11   | 0.15%             | 2031-10-21      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   32310000 | PA      | $32195086.25   | 0.12%             | 2036-10-21      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5902000 | PA      | $5874299.79    | 0.02%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1615000 | PA      | $1605654.93    | 0.01%             | 2029-04-23      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4730000 | PA      | $4727111.67    | 0.02%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   16408000 | PA      | $15068942.96   | 0.06%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2194000 | PA      | $1693540.09    | 0.01%             | 2042-04-22      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8572000 | PA      | $8454675.55    | 0.03%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1064000 | PA      | $835207.41     | 0.00%             | 2043-02-24      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7466000 | PA      | $7431780.86    | 0.03%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9708000 | PA      | $9688207.04    | 0.04%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   20054000 | PA      | $20195051.01   | 0.08%             | 2037-01-21      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                  | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1262000 | PA      | $1140260.16    | 0.00%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Goodleap LLC                                                         | Goodleap LLC, Class B                                                                            | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | DBT              | CORP              | US        |   18105891 | PA      | $18965921.33   | 0.07%             | 2042-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Goodleap LLC                                                         | Goodleap LLC, Class B                                                                            | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | DBT              | CORP              | US        |   11981609 | PA      | $12550735.66   | 0.05%             | 2042-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2023-1A, Class A                                                               | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   17521666 | PA      | $17808609.39   | 0.07%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2016-1A, Class B                                                         | CUSIP: 38217KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     412186 | PA      | $381977.20     | 0.00%             | 2052-10-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-1A, Class A                                                         | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     543280 | PA      | $512712.80     | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Ltd.                                                       | Goodgreen Ltd., Series 2024-1A, Class A                                                          | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20237726 | PA      | $20554729.59   | 0.08%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2018-1A, Class A                                                               | CUSIP: 38218GAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    3088845 | PA      | $2941175.46    | 0.01%             | 2053-10-15      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-2A, Class A                                                         | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500525 | PA      | $3236545.67    | 0.01%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                            | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                               | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18505195 | PA      | $18653673.74   | 0.07%             | 2049-10-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                     | Goodyear Tire & Rubber Co. (The)                                                                 | CUSIP: 382550BJ9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    3420000 | PA      | $3279355.24    | 0.01%             | 2031-04-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                     | Goodyear Tire & Rubber Co. (The)                                                                 | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2107506.11    | 0.01%             | 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        |    4073000 | PA      | $3886064.78    | 0.02%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-72, Class SM                                                                   | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115613 | PA      | $9142.61       | 0.00%             | 2039-08-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-16, Class KU                                                                   | CUSIP: 38373MC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209504 | PA      | $4344.94       | 0.00%             | 2037-04-20      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-52, Class SB                                                                   | CUSIP: 38373QS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19075 | PA      | $18047.11      | 0.00%             | 2033-06-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-18, Class PG                                                                   | CUSIP: 38373SM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156759 | PA      | $156395.72     | 0.00%             | 2033-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-34, Class OC                                                                   | CUSIP: 383742P64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69996 | PA      | $54300.97      | 0.00%             | 2037-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-33, Class PK                                                                   | CUSIP: 38374DFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69157 | PA      | $70471.52      | 0.00%             | 2036-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-101, Class SK                                                                  | CUSIP: 38374EQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237172 | PA      | $1389.64       | 0.00%             | 2033-10-17      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-2, Class SA                                                                    | CUSIP: 38374FCV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79638 | PA      | $79647.49      | 0.00%             | 2034-01-16      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-19, Class KE                                                                   | CUSIP: 38374FTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     668902 | PA      | $668273.01     | 0.00%             | 2034-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-90, Class SI                                                                   | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124340 | PA      | $5095.10       | 0.00%             | 2034-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-86, Class SP                                                                   | CUSIP: 38374JXM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21704 | PA      | $140.41        | 0.00%             | 2034-09-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-105, Class SN                                                                  | CUSIP: 38374KGQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278477 | PA      | $1105.92       | 0.00%             | 2034-12-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-56, Class IC                                                                   | CUSIP: 38374LRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19861 | PA      | $1930.16       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-26, Class S                                                                    | CUSIP: 38374NEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225529 | PA      | $1552.88       | 0.00%             | 2036-06-20      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-12, Class IE                                                                   | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141232 | PA      | $1357.76       | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-16, Class SJ                                                                   | CUSIP: 38374XPV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341048 | PA      | $13831.40      | 0.00%             | 2037-05-20      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H20, Class FB                                                                  | CUSIP: 38375B6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141331 | PA      | $142661.02     | 0.00%             | 2063-08-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H23, Class FA                                                                  | CUSIP: 38375B8G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180505 | PA      | $182096.25     | 0.00%             | 2063-09-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H04, Class BA                                                                  | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5451 | PA      | $5243.46       | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H11, Class FA                                                                  | CUSIP: 38375BSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559886 | PA      | $561568.80     | 0.00%             | 2062-02-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H18, Class FA                                                                  | CUSIP: 38375BUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54148 | PA      | $54203.00      | 0.00%             | 2062-08-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-24, Class SA                                                                   | CUSIP: 38375J4W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317592 | PA      | $15722.46      | 0.00%             | 2037-05-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-7, Class EI                                                                    | CUSIP: 38375JJL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     330533 | PA      | $21867.27      | 0.00%             | 2037-02-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-9, Class CI                                                                    | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216549 | PA      | $14456.37      | 0.00%             | 2037-03-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JO                                                                   | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24388 | PA      | $20270.04      | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-22, Class PK                                                                   | CUSIP: 38375JYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345471 | PA      | $350637.45     | 0.00%             | 2037-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-26, Class SC                                                                   | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71069 | PA      | $570.14        | 0.00%             | 2037-05-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-67, Class SI                                                                   | CUSIP: 38375LG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67869 | PA      | $434.84        | 0.00%             | 2037-11-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-50, Class SA                                                                   | CUSIP: 38375QA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     521092 | PA      | $31113.51      | 0.00%             | 2038-06-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-55, Class PL                                                                   | CUSIP: 38375QK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     344712 | PA      | $344034.53     | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-40, Class SA                                                                   | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188714 | PA      | $9369.02       | 0.00%             | 2038-05-16      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-40, Class PS                                                                   | CUSIP: 38375QLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87464 | PA      | $5225.14       | 0.00%             | 2038-05-16      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H23, Class FA                                                                  | CUSIP: 38375UR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5429128 | PA      | $5428740.54    | 0.02%             | 2067-10-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H02, Class HA                                                                  | CUSIP: 38375UUB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66514 | PA      | $63774.96      | 0.00%             | 2065-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-49, Class PH                                                                   | CUSIP: 38375XGS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     368590 | PA      | $367853.60     | 0.00%             | 2038-06-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-75, Class IY                                                                   | CUSIP: 38376CJS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57995 | PA      | $1077.10       | 0.00%             | 2039-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-79, Class OK                                                                   | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49366 | PA      | $41714.53      | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-81, Class A                                                                    | CUSIP: 38376F6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34621 | PA      | $35262.75      | 0.00%             | 2036-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class XL                                                                  | CUSIP: 38376JDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98000 | PA      | $3678.79       | 0.00%             | 2037-06-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H08, Class XI                                                                  | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4504625 | PA      | $188297.37     | 0.00%             | 2067-03-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H11, Class XI                                                                  | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14540639 | PA      | $514401.29     | 0.00%             | 2067-05-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class AI                                                                  | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5840816 | PA      | $249322.84     | 0.00%             | 2067-06-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class XI                                                                  | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6415644 | PA      | $166885.02     | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H23, Class FB                                                                  | CUSIP: 38376RHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     982505 | PA      | $982977.85     | 0.00%             | 2065-09-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H32, Class FH                                                                  | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97272 | PA      | $97520.82      | 0.00%             | 2065-12-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H16, Class FD                                                                  | CUSIP: 38376RWL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1417370 | PA      | $1434374.10    | 0.01%             | 2066-06-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H17, Class FC                                                                  | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1156265 | PA      | $1161172.76    | 0.00%             | 2066-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-31, Class SK                                                                   | CUSIP: 38376XA29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84473 | PA      | $437.81        | 0.00%             | 2034-11-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-157, Class OP                                                                  | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114295 | PA      | $100021.17     | 0.00%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H04, Class FL                                                                  | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     828290 | PA      | $828150.79     | 0.00%             | 2065-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-60, Class W                                                                    | CUSIP: 38379BNP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58224 | PA      | $58034.21      | 0.00%             | 2029-02-20      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-157, Class GA                                                                  | CUSIP: 38379FBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175564 | PA      | $170937.73     | 0.00%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H09, Class FA                                                                  | CUSIP: 38380LTJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4402482 | PA      | $4403435.87    | 0.02%             | 2069-05-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H10, Class AF                                                                  | CUSIP: 38380Q3N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22367287 | PA      | $22979606.85   | 0.09%             | 2071-06-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-83, Class GZ                                                                   | CUSIP: 38383RZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16158813 | PA      | $13637144.83   | 0.05%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-6, Class GA                                                                    | CUSIP: 38385B5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52444015 | PA      | $51308198.66   | 0.20%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                                   | Granite Park Equipment Leasing LLC, Series 2023-1A, Class E                                      | CUSIP: 387422AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9428000 | PA      | $9486915.57    | 0.04%             | 2035-06-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Graphic Packaging International LLC                                  | Graphic Packaging International LLC                                                              | CUSIP: 38869AAA5<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    2157000 | PA      | $2154226.10    | 0.01%             | 2027-07-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Graphic Packaging International LLC                                  | Graphic Packaging International LLC                                                              | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2198175.28    | 0.01%             | 2032-07-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Gray Media, Inc.                                                     | Gray Media, Inc.                                                                                 | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    2179000 | PA      | $1715490.99    | 0.01%             | 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        |    2049000 | PA      | $1663196.04    | 0.01%             | 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        |    1728000 | PA      | $1852538.69    | 0.01%             | 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        |    2990000 | PA      | $3087479.98    | 0.01%             | 2033-08-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                | Gray Oak Pipeline LLC                                                                            | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1423000 | PA      | $1407625.37    | 0.01%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Great Ajax Operating Partnership LP                                  | Great Ajax Operating Partnership LP, Series QIB                                                  | CUSIP: 38982GAA4<br>LEI: 549300IMX0KE8QJMZ613 | Long             | DBT              | CORP              | US        |   28328000 | PA      | $27661199.96   | 0.11%             | 2027-09-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Griffon Corp.                                                        | Griffon Corp.                                                                                    | CUSIP: 398433AP7<br>LEI: 5493000C2SGNC7ZN3242 | Long             | DBT              | CORP              | US        |    5514000 | PA      | $5511127.21    | 0.02%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Grupo Nutresa SA                                                     | Grupo Nutresa SA                                                                                 | CUSIP: 40055CAB9<br>LEI: 254900KKAX7B7RJUE255 | Long             | DBT              | CORP              | CO        |    4300000 | PA      | $4927852.03    | 0.02%             | 2035-05-12      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Global Funding                                         | Guardian Life Global Funding                                                                     | CUSIP: 40139LBH5<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2090680.76    | 0.01%             | 2028-10-02      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Global Funding                                         | Guardian Life Global Funding                                                                     | CUSIP: 40139LBJ1<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2632897.03    | 0.01%             | 2029-09-26      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                                | Republic of Guatemala                                                                            | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    8246000 | PA      | $8738183.13    | 0.03%             | 2036-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Gulfport Energy Corp.                                                | Gulfport Energy Corp.                                                                            | CUSIP: 402635502<br>LEI: 254900DJRGZBUZ3F5038 | Long             | EC               | CORP              | US        |      21910 | NS      | $4571740.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Gulfport Energy Operating Corp.                                      | Gulfport Energy Operating Corp.                                                                  | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    2054000 | PA      | $2127046.40    | 0.01%             | 2029-09-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   19711000 | PA      | $19744042.53   | 0.08%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9435000 | PA      | $8649793.92    | 0.03%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $1060797.45    | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1273000 | PA      | $878733.87     | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4819000 | PA      | $4352214.84    | 0.02%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119CR8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3930000 | PA      | $3869946.73    | 0.01%             | 2053-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5250428.75    | 0.02%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15011562.15   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   11936000 | PA      | $11955416.53   | 0.05%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4916000 | PA      | $5071175.80    | 0.02%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                            | HCA, Inc.                                                                                        | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   13461000 | PA      | $13397804.78   | 0.05%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   28351000 | PA      | $28197746.40   | 0.11%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   28997000 | PA      | $28128538.40   | 0.11%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    5629000 | PA      | $5199118.84    | 0.02%             | 2032-05-24      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   11902000 | PA      | $12089286.66   | 0.05%             | 2028-08-11      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1250000 | PA      | $1476449.13    | 0.01%             | 2033-11-03      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   16045000 | PA      | $16181430.31   | 0.06%             | 2027-08-14      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280EG0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    9495000 | PA      | $10067628.16   | 0.04%             | 2032-05-17      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   32560000 | PA      | $33752723.59   | 0.13%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4520000 | PA      | $4663855.73    | 0.02%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   12135000 | PA      | $12274037.49   | 0.05%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                                | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   12810000 | PA      | $12939062.42   | 0.05%             | 2036-11-06      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2024-A, Class D                                                                | CUSIP: 40472QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2390242 | PA      | $2410254.53    | 0.01%             | 2043-03-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2022-A, Class D                                                                | CUSIP: 40486JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4902037 | PA      | $4896862.11    | 0.02%             | 2041-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2022-A, Class E                                                                | CUSIP: 40486JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     780921 | PA      | $776893.88     | 0.00%             | 2041-05-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Halliburton Co.                                                      | Halliburton Co.                                                                                  | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     263000 | PA      | $238620.62     | 0.00%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Harvest Midstream I LP                                               | Harvest Midstream I LP                                                                           | CUSIP: 417558AB9<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3996234.55    | 0.02%             | 2032-05-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                          | Hashemite Kingdom of Jordan                                                                      | CUSIP: 418097AP6<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |   11892000 | PA      | $11689836.00   | 0.05%             | 2032-11-12      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak OP LLC                                                    | Healthpeak OP LLC                                                                                | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     486000 | PA      | $464977.90     | 0.00%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                  | Herc Holdings, Inc.                                                                              | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    6418000 | PA      | $6725531.63    | 0.03%             | 2030-06-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-3A, Class A1                                                     | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     368073 | PA      | $349046.54     | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A1                                                           | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    1491050 | PA      | $1382248.02    | 0.01%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A2                                                           | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    1227788 | PA      | $1165005.99    | 0.00%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding III                                                     | HERO Funding III, Series 2017-1A, Class A                                                        | CUSIP: 42771BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1530976 | PA      | $1389393.08    | 0.01%             | 2043-09-21      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-2A, Class A2                                                     | CUSIP: 42771LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1389143 | PA      | $1334296.25    | 0.01%             | 2048-09-20      | Fixed         | 4.07%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2015-3A, Class A                                                      | CUSIP: 42771TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     809424 | PA      | $803303.27     | 0.00%             | 2041-09-20      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-1A, Class A2                                                     | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1361414 | PA      | $1317389.63    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                    | Hertz Corp. (The)                                                                                | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    2697000 | PA      | $2456853.73    | 0.01%             | 2026-12-01      | Fixed         | 4.62%                 | 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        |   12360000 | PA      | $12531357.80   | 0.05%             | 2028-02-25      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Hess Corp.                                                           | Hess Corp.                                                                                       | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    9900000 | PA      | $10414671.89   | 0.04%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Hess Corp.                                                           | Hess Corp.                                                                                       | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   11740000 | PA      | $11786912.57   | 0.05%             | 2027-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                         | Hess Midstream Operations LP                                                                     | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2715000 | PA      | $2735476.53    | 0.01%             | 2030-10-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                         | Hess Midstream Operations LP                                                                     | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1461000 | PA      | $1485236.53    | 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        |    2630000 | PA      | $2632119.78    | 0.01%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                                  | Hilcorp Energy I LP                                                                              | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10385000 | PA      | $10410194.01   | 0.04%             | 2029-02-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                  | Hilton Domestic Operating Co., Inc.                                                              | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    2212000 | PA      | $2213709.88    | 0.01%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                  | Hilton Domestic Operating Co., Inc.                                                              | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    3659000 | PA      | $3562529.73    | 0.01%             | 2029-05-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                  | Hilton Domestic Operating Co., Inc.                                                              | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     417000 | PA      | $400403.90     | 0.00%             | 2031-05-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                  | Hilton Domestic Operating Co., Inc.                                                              | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    1808000 | PA      | $1684580.57    | 0.01%             | 2032-02-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                  | Hilton Domestic Operating Co., Inc.                                                              | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    9821000 | PA      | $10108097.29   | 0.04%             | 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        |    4100000 | PA      | $4197006.00    | 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        |    1088000 | PA      | $1099612.22    | 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        |    1305381 | PA      | $1307101.71    | 0.01%             | 2034-06-20      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-2A, Class D                                            | CUSIP: 43283GAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1794602 | PA      | $1853460.19    | 0.01%             | 2037-01-25      | Fixed         | 8.73%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class C                                            | CUSIP: 43285HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1330217 | PA      | $1340449.74    | 0.01%             | 2039-02-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Hologic, Inc.                                                        | Hologic, Inc.                                                                                    | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1168908.23    | 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        |    2313000 | PA      | $2301000.16    | 0.01%             | 2029-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                               | Home Depot, Inc. (The)                                                                           | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    2585000 | PA      | $1922267.55    | 0.01%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                               | Home Depot, Inc. (The)                                                                           | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   11760000 | PA      | $12154699.82   | 0.05%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                                         | Home RE Ltd., Series 2022-1, Class M1C                                                           | CUSIP: 43730GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   12694077 | PA      | $13035799.89   | 0.05%             | 2034-10-25      | Floating      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-3, Class E2                                          | CUSIP: 43730XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12858510 | PA      | $12037682.76   | 0.05%             | 2041-01-17      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-2, Class E                                           | CUSIP: 43732TAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8957253 | PA      | $8726611.72    | 0.03%             | 2039-10-19      | Fixed         | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class F                                           | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7196217 | PA      | $7087691.84    | 0.03%             | 2026-12-17      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Republic of Honduras                                                 | Republic of Honduras                                                                             | CUSIP: 438180AK7<br>LEI: 5493002DW1JNBNG17615 | Long             | DBT              | NUSS              | HN        |    4900000 | PA      | $5691644.00    | 0.02%             | 2034-11-27      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Honeywell International, Inc.                                        | Honeywell International, Inc.                                                                    | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    4740000 | PA      | $4560565.17    | 0.02%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Howard Midstream Energy Partners LLC                                 | Howard Midstream Energy Partners LLC                                                             | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3130000 | PA      | $3303135.95    | 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        |    2215000 | PA      | $2289158.75    | 0.01%             | 2034-01-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                          | Huntington Bancshares, Inc.                                                                      | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    4207000 | PA      | $4431524.69    | 0.02%             | 2035-02-02      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                          | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3883000 | PA      | $3848911.57    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                          | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    1088000 | PA      | $1060790.28    | 0.00%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                          | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3398000 | PA      | $3372543.88    | 0.01%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                                 | IHO Verwaltungs GmbH                                                                             | CUSIP: 44963BAG3<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    1130434 | PA      | $1205853.17    | 0.00%             | 2032-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| ILFC E-Capital Trust I                                               | ILFC E-Capital Trust I                                                                           | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5178000 | PA      | $4498321.74    | 0.02%             | 2065-12-21      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| ILFC E-Capital Trust II                                              | ILFC E-Capital Trust II                                                                          | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | SN               | CORP              | US        |    1015000 | PA      | $897069.79     | 0.00%             | 2065-12-21      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| INEOS Finance plc                                                    | INEOS Finance plc                                                                                | CUSIP: 44984WAH0<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $926036.70     | 0.00%             | 2028-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| ICAP Trust                                                           | ICAP Trust, Series 2025-RTL1, Class A1                                                           | CUSIP: 45115QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $20361982.00   | 0.08%             | 2030-07-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                           | iHeartCommunications, Inc.                                                                       | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    3659056 | PA      | $3250961.48    | 0.01%             | 2029-05-01      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                           | iHeartCommunications, Inc.                                                                       | CUSIP: 45174HBL0<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    1522128 | PA      | $1129144.99    | 0.00%             | 2030-05-01      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                           | iHeartCommunications, Inc.                                                                       | CUSIP: 45174HBM8<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    3885590 | PA      | $3090177.83    | 0.01%             | 2030-08-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                    | iHeartMedia, Inc., Class A                                                                       | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     126491 | NS      | $413625.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Identity Digital Capital LLC                                         | Identity Digital Capital LLC                                                                     | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23800000 | PA      | $24183180.00   | 0.09%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2004-10, Class 3A1                                                       | CUSIP: 45254NLM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58893 | PA      | $58220.54      | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2004-10, Class 3A2                                                       | CUSIP: 45254NLN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38477 | PA      | $37992.28      | 0.00%             | 2035-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                 | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1                                    | CUSIP: 45254TMS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3383 | PA      | $2558.03       | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Imola Merger Corp.                                                   | Imola Merger Corp.                                                                               | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5829000 | PA      | $5730229.34    | 0.02%             | 2029-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Imperial Brands Finance plc                                          | Imperial Brands Finance plc                                                                      | CUSIP: 45262BAH6<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   27669000 | PA      | $29284558.88   | 0.11%             | 2034-07-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                          | Crescent Energy Finance LLC                                                                      | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    6039000 | PA      | $6214565.81    | 0.02%             | 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        |    1000000 | PA      | $993464.60     | 0.00%             | 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        |    1787000 | PA      | $1847132.55    | 0.01%             | 2034-01-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2003-A8, Class A1                                 | CUSIP: 45660NRL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7697 | PA      | $7694.21       | 0.00%             | 2018-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INEOS Quattro Finance 2 plc                                          | INEOS Quattro Finance 2 plc                                                                      | CUSIP: 45674GAB0<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |    1181000 | PA      | $1012707.50    | 0.00%             | 2029-03-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Installed Building Products, Inc.                                    | Installed Building Products, Inc.                                                                | CUSIP: 45780RAB7<br>LEI: 549300I95Y9P9YM5FI86 | Long             | DBT              | CORP              | US        |     724000 | PA      | $733608.20     | 0.00%             | 2034-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Interstate Power and Light Co.                                       | Interstate Power and Light Co.                                                                   | CUSIP: 461070AP9<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |     777000 | PA      | $779905.01     | 0.00%             | 2028-09-26      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                                  | Intesa Sanpaolo SpA                                                                              | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   15549000 | PA      | $13783779.41   | 0.05%             | 2042-06-01      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                          | IQVIA, Inc.                                                                                      | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    7617000 | PA      | $7600342.38    | 0.03%             | 2027-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                          | IQVIA, Inc.                                                                                      | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    9803000 | PA      | $10084110.83   | 0.04%             | 2032-06-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                  | Iron Mountain, Inc.                                                                              | CUSIP: 46284VAC5<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    6969000 | PA      | $6966553.18    | 0.03%             | 2027-09-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                  | Iron Mountain, Inc.                                                                              | CUSIP: 46284VAE1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    1007000 | PA      | $1005926.84    | 0.00%             | 2028-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                  | Iron Mountain, Inc.                                                                              | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    1612000 | PA      | $1597347.73    | 0.01%             | 2029-09-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                  | Iron Mountain, Inc.                                                                              | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    2825000 | PA      | $2810858.67    | 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        |    2285000 | PA      | $2334831.28    | 0.01%             | 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        |    5450000 | PA      | $5997398.00    | 0.02%             | 2028-12-06      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                   | ITC Holdings Corp.                                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    3883000 | PA      | $3695098.29    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                   | ITC Holdings Corp.                                                                               | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    5867000 | PA      | $5940343.31    | 0.02%             | 2027-09-22      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                   | ITC Holdings Corp.                                                                               | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    5973000 | PA      | $6196576.86    | 0.02%             | 2033-06-01      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                   | ITC Holdings Corp.                                                                               | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    9145000 | PA      | $9638307.27    | 0.04%             | 2034-05-09      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| JBS NV                                                               | JBS NV                                                                                           | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    2040000 | PA      | $1945665.71    | 0.01%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                               | JBS NV                                                                                           | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    5910000 | PA      | $5381376.50    | 0.02%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                               | JBS NV                                                                                           | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   12930000 | PA      | $12236931.31   | 0.05%             | 2032-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S1, Class 3A1                                               | CUSIP: 466247EY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14825 | PA      | $14780.39      | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S2, Class 4A5                                               | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150502 | PA      | $139396.62     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S2, Class 5A1                                               | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15142 | PA      | $14781.83      | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41413 | PA      | $42193.25      | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16289 | PA      | $16255.70      | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                               | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9439 | PA      | $9424.42       | 0.00%             | 2035-07-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Moran Foods Backstop Equity                                          | Moran Foods Backstop Equity                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        | 7629209501 | NS      | $7629.21       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Japan Tobacco, Inc.                                                  | Japan Tobacco, Inc.                                                                              | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   17171000 | PA      | $17931158.28   | 0.07%             | 2030-06-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                                  | Japan Tobacco, Inc.                                                                              | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    5490000 | PA      | $5941234.90    | 0.02%             | 2035-06-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| JBS NV                                                               | JBS NV                                                                                           | CUSIP: 472140AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   26040000 | PA      | $26721977.18   | 0.10%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                               | JBS NV                                                                                           | CUSIP: 472140AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    2540000 | PA      | $2585364.40    | 0.01%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                     | Jersey Central Power & Light Co.                                                                 | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     777000 | PA      | $852623.73     | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| JetBlue Airways Corp.                                                | JetBlue Airways Corp.                                                                            | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4545000 | PA      | $4618837.21    | 0.02%             | 2031-09-20      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                               | Jonah Energy ABS LLC, Series 2022-1, Class A1                                                    | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    8533664 | PA      | $8702664.59    | 0.03%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | 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        |   39000000 | PA      | $39612300.00   | 0.15%             | 2039-08-10      | Fixed         | 12.66%                | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                              | Jonah Energy ABS LLC, Series 2025-1A, Class A2                                                   | CUSIP: 479913AE5<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   33705324 | PA      | $34534475.15   | 0.13%             | 2040-12-10      | Fixed         | 7.36%                 | Yes           |                  2 | 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        |   15254610 | PA      | $15227151.63   | 0.06%             | 2040-12-10      | Fixed         | 11.25%                | Yes           |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                              | Jonah Energy ABS LLC, Series 2025-2A, Class A2                                                   | CUSIP: 479915AB6<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   13786576 | PA      | $13855508.67   | 0.05%             | 2041-01-10      | Fixed         | 6.62%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                     | JPMorgan Prime Money Market Fund, Class Institutional                                            | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 1549656808 | NS      | $1550276670.56 | 6.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                                         | KBC Group NV                                                                                     | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    7455000 | PA      | $7645832.42    | 0.03%             | 2030-10-16      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                 | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1063899 | PA      | $17042.60      | 0.00%             | 2038-08-25      | Variable      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                 | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1151557 | PA      | $19250.57      | 0.00%             | 2037-09-25      | Variable      | 1.02%                 | Yes           |                  3 | On Loan: No      |
| KLA Corp.                                                            | KLA Corp.                                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     761000 | PA      | $540382.93     | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                 | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     914095 | PA      | $23505.03      | 0.00%             | 2039-03-25      | Variable      | 1.59%                 | Yes           |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                                   | Evergy Metro, Inc.                                                                               | CUSIP: 485134BQ2<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     714000 | PA      | $590149.95     | 0.00%             | 2047-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Republic of Kenya                                                    | Republic of Kenya                                                                                | CUSIP: 491798AN4<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    7034000 | PA      | $7390975.50    | 0.03%             | 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        |    4080000 | PA      | $4064700.00    | 0.02%             | 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        |    5750000 | PA      | $5689625.00    | 0.02%             | 2038-10-09      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                              | KeyCorp                                                                                          | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    7090000 | PA      | $7125821.09    | 0.03%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                              | KeyCorp                                                                                          | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   12620000 | PA      | $12946368.22   | 0.05%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                  | Kinder Morgan, Inc.                                                                              | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $3084709.04    | 0.01%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                  | Kinder Morgan, Inc.                                                                              | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    5524000 | PA      | $3721716.89    | 0.01%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                  | Kinder Morgan, Inc.                                                                              | CUSIP: 49456BBB6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    5160000 | PA      | $5370165.46    | 0.02%             | 2030-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                  | Kinetik Holdings LP                                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |   21836000 | PA      | $22081873.36   | 0.09%             | 2030-06-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                  | Kinetik Holdings LP                                                                              | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    7264000 | PA      | $7488602.88    | 0.03%             | 2028-12-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                                                | Kioxia Holdings Corp.                                                                            | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |    7154000 | PA      | $7428025.96    | 0.03%             | 2030-07-24      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Knife River Corp.                                                    | Knife River Corp.                                                                                | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5384000 | PA      | $5612954.60    | 0.02%             | 2031-05-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Kodiak Gas Services LLC                                              | Kodiak Gas Services LLC                                                                          | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |    4126000 | PA      | $4254817.85    | 0.02%             | 2033-10-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                              | Bath & Body Works, Inc.                                                                          | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    1753000 | PA      | $1786165.92    | 0.01%             | 2035-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                              | Bath & Body Works, Inc.                                                                          | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2177545.09    | 0.01%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                              | Bath & Body Works, Inc.                                                                          | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    6888000 | PA      | $7017432.41    | 0.03%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2023-RTL4, Class A1                                                 | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21368063 | PA      | $21383907.18   | 0.08%             | 2028-11-25      | Variable      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| LP LMS Asset Securitization Trust                                    | LP LMS Asset Securitization Trust, Series 2021-2A, Class C                                       | CUSIP: 50214JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1670341 | PA      | $1664544.49    | 0.01%             | 2029-01-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                          | L3Harris Technologies, Inc.                                                                      | CUSIP: 502431AR0<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    2166000 | PA      | $2180376.41    | 0.01%             | 2053-07-31      | Fixed         | 5.60%                 | 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      | $-12860.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                    | Lamar Media Corp.                                                                                | CUSIP: 513075BT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5968000 | PA      | $5780212.70    | 0.02%             | 2030-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                    | Lamar Media Corp.                                                                                | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     990000 | PA      | $989215.03     | 0.00%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                    | Lamar Media Corp.                                                                                | CUSIP: 513075CA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2075000 | PA      | $2080419.90    | 0.01%             | 2033-11-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Lamb Weston Holdings, Inc.                                           | Lamb Weston Holdings, Inc.                                                                       | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    3101000 | PA      | $3005882.10    | 0.01%             | 2030-01-31      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Lamb Weston Holdings, Inc.                                           | Lamb Weston Holdings, Inc.                                                                       | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    1066000 | PA      | $1017624.28    | 0.00%             | 2032-01-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                          | Crescent Energy Finance LLC                                                                      | CUSIP: 516806AK2<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    4240000 | PA      | $4319436.40    | 0.02%             | 2032-04-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Eni USA, Inc.                                                        | Eni USA, Inc.                                                                                    | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     486000 | PA      | $512222.95     | 0.00%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                       | Lehman Brothers Holdings, Inc.                                                                   | CUSIP: 524ESCB90<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |     295000 | PA      | $162.25        | 0.00%             | 2015-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                         | Leidos, Inc.                                                                                     | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   13163000 | PA      | $13732362.14   | 0.05%             | 2032-03-15      | Fixed         | 5.40%                 | No            |                  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        |   11827000 | PA      | $12143945.86   | 0.05%             | 2034-02-21      | Fixed         | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                        | Lendbuzz Securitization Trust, Series 2024-1A, Class A2                                          | CUSIP: 525935AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2304482 | PA      | $2317393.54    | 0.01%             | 2029-08-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                       | Lehman Brothers Holdings, Inc.                                                                   | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |    1000000 | PA      | $550.00        | 0.00%             | 2049-05-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                       | Lehman Brothers Holdings, Inc., Escrow                                                           | CUSIP: 525ESC4I7<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |     235000 | PA      | $129.25        | 0.00%             | 2009-03-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-2A, Class D                                                  | CUSIP: 52604DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14200000 | PA      | $13327623.00   | 0.05%             | 2032-04-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2025-1A, Class E                                                  | CUSIP: 52604QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9420000 | PA      | $9814743.22    | 0.04%             | 2034-09-20      | Fixed         | 8.91%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                              | Lendingpoint Asset Securitization Trust, Series 2022-B, Class C                                  | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9627000 | PA      | $2839425.89    | 0.01%             | 2029-10-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                              | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class C                               | CUSIP: 52606YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1145142 | PA      | $1146162.69    | 0.00%             | 2028-10-15      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                              | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class D                               | CUSIP: 52606YAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $1028074.60    | 0.00%             | 2028-10-15      | Fixed         | 10.00%                | Yes           |                  3 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                              | Lendingpoint Asset Securitization Trust, Series 2021-B, Class C                                  | CUSIP: 52607HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     163546 | PA      | $162999.91     | 0.00%             | 2029-02-15      | Fixed         | 3.21%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-1A, Class D                                                  | CUSIP: 52607MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18000000 | PA      | $17271693.00   | 0.07%             | 2031-11-20      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                              | Level 3 Financing, Inc.                                                                          | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    1425000 | PA      | $1475836.88    | 0.01%             | 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        |    2878750 | PA      | $2992588.64    | 0.01%             | 2034-03-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                      | Eli Lilly & Co.                                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2181627.94    | 0.01%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                  | Lithia Motors, Inc.                                                                              | CUSIP: 536797AE3<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     434000 | PA      | $432989.82     | 0.00%             | 2027-12-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                  | Lithia Motors, Inc.                                                                              | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    1832000 | PA      | $1762096.01    | 0.01%             | 2031-01-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                  | Lithia Motors, Inc.                                                                              | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3354200.20    | 0.01%             | 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        |     793000 | PA      | $797980.04     | 0.00%             | 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        |    4143000 | PA      | $4140347.24    | 0.02%             | 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        |    3646000 | PA      | $3663282.04    | 0.01%             | 2027-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                         | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    7000000 | PA      | $6953589.02    | 0.03%             | 2028-11-07      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                         | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     633000 | PA      | $638115.10     | 0.00%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                         | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    3060000 | PA      | $3045392.08    | 0.01%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                         | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1205000 | PA      | $1276871.49    | 0.00%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                         | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1110000 | PA      | $1123679.32    | 0.00%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                         | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   14620000 | PA      | $14536640.56   | 0.06%             | 2036-11-04      | Variable      | 4.94%                 | 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        |   20000000 | PA      | $20153534.00   | 0.08%             | 2030-07-16      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| M&T Bank Corp.                                                       | M&T Bank Corp.                                                                                   | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    9047000 | PA      | $9679253.58    | 0.04%             | 2032-03-13      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corp.                                                       | M&T Bank Corp.                                                                                   | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   11089000 | PA      | $11401608.78   | 0.04%             | 2036-01-16      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                            | MGM Resorts International                                                                        | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    2015000 | PA      | $2013556.51    | 0.01%             | 2026-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                            | MGM Resorts International                                                                        | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3502037.00    | 0.01%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                            | MGM Resorts International                                                                        | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    1905000 | PA      | $1955364.83    | 0.01%             | 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        |    2350000 | PA      | $2415290.05    | 0.01%             | 2029-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class F                                          | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18948937 | PA      | $18948933.00   | 0.07%             | 2038-04-15      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                                 | MNR ABS Issuer I LLC                                                                             | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |    5967352 | PA      | $6165408.39    | 0.02%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| MNR ABS Issuer I LLC                                                 | MNR ABS Issuer I LLC                                                                             | CUSIP: 55317XAC3<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   13727727 | PA      | $13902068.70   | 0.05%             | 2038-12-15      | Fixed         | 12.44%                | No            |                  3 | On Loan: No      |
| MPLX LP                                                              | MPLX LP                                                                                          | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     314000 | PA      | $286185.70     | 0.00%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                              | MPLX LP                                                                                          | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1219000 | PA      | $1046756.88    | 0.00%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                              | MPLX LP                                                                                          | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   23010000 | PA      | $23490127.81   | 0.09%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class F                                              | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40772000 | PA      | $27470135.00   | 0.11%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MV24 Capital BV                                                      | MV24 Capital BV                                                                                  | CUSIP: 55388RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    1853060 | PA      | $1886168.17    | 0.01%             | 2034-06-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2022-1A, Class D                                                                 | CUSIP: 55400UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3017559 | PA      | $3043870.44    | 0.01%             | 2039-11-21      | Fixed         | 7.35%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2022-2A, Class D                                                                 | CUSIP: 55400VAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5517823 | PA      | $5622515.91    | 0.02%             | 2041-10-21      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-2A, Class D                                                                 | CUSIP: 55400WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3317006 | PA      | $3441941.46    | 0.01%             | 2040-11-20      | Fixed         | 9.33%                 | Yes           |                  2 | On Loan: No      |
| MYT Holding LLC                                                      | MYT Holding LLC                                                                                  | CUSIP: 55406N103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     934967 | NS      | $233741.75     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MYT Holding LLC                                                      | MYT Holding LLC, Series A                                                                        | CUSIP: 55406N202<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    2070208 | NS      | $2639515.20    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Macquarie Group Ltd.                                                 | Macquarie Group Ltd.                                                                             | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     389000 | PA      | $357761.80     | 0.00%             | 2032-06-23      | Variable      | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                 | Macquarie Group Ltd.                                                                             | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     777000 | PA      | $796906.34     | 0.00%             | 2030-01-15      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Madison IAQ LLC                                                      | Madison IAQ LLC                                                                                  | CUSIP: 55760LAA5<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    2126000 | PA      | $2098119.00    | 0.01%             | 2028-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Discovery Global Holdings, Inc.                                      | Discovery Global Holdings, Inc.                                                                  | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    2040000 | PA      | $1874250.00    | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Discovery Global Holdings, Inc.                                      | Discovery Global Holdings, Inc.                                                                  | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $800850.00     | 0.00%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2025-AA, Class E                                          | CUSIP: 567920AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10396135.00   | 0.04%             | 2038-05-20      | Fixed         | 8.64%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2024-AA, Class E                                          | CUSIP: 567928AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10516000 | PA      | $10858507.17   | 0.04%             | 2036-09-22      | Fixed         | 9.02%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2021-BA, Class E                                          | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8500000 | PA      | $8077915.50    | 0.03%             | 2036-11-20      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2025-BA, Class E                                          | CUSIP: 56847TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9845000 | PA      | $10040576.83   | 0.04%             | 2038-11-22      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2021-AA, Class E                                          | CUSIP: 56848DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13100000 | PA      | $12822815.79   | 0.05%             | 2036-03-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                               | Marlette Funding Trust, Series 2023-2A, Class C                                                  | CUSIP: 57109LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2017511 | PA      | $2023567.57    | 0.01%             | 2033-06-15      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                                       | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   48750000 | PA      | $50114738.21   | 0.19%             | 2030-03-01      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   24690000 | PA      | $25575485.62   | 0.10%             | 2032-03-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                                       | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   33640000 | PA      | $34832957.15   | 0.13%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                                           | Mars, Inc.                                                                                       | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    4058000 | PA      | $4152892.43    | 0.02%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                             | Marvell Technology, Inc.                                                                         | CUSIP: 573874AJ3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    6485000 | PA      | $6061344.81    | 0.02%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                             | Marvell Technology, Inc.                                                                         | CUSIP: 573874AR5<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    1805000 | PA      | $1840177.83    | 0.01%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                             | Marvell Technology, Inc.                                                                         | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    7768000 | PA      | $8086758.87    | 0.03%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                           | Massachusetts Electric Co.                                                                       | CUSIP: 575634AS9<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     960000 | PA      | $1017306.48    | 0.00%             | 2039-11-15      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| MasTec, Inc.                                                         | MasTec, Inc.                                                                                     | CUSIP: 576323AQ2<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |    1457000 | PA      | $1471861.40    | 0.01%             | 2029-08-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Masterbrand, Inc.                                                    | Masterbrand, Inc.                                                                                | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |    4690000 | PA      | $4720170.77    | 0.02%             | 2032-07-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                 | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10374 | PA      | $10239.75      | 0.00%             | 2034-04-21      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 6A1                                           | CUSIP: 576434SJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191665 | PA      | $194794.05     | 0.00%             | 2034-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143972 | PA      | $143128.83     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class 3A1                                           | CUSIP: 576434TE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7716 | PA      | $7964.16       | 0.00%             | 2034-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                            | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12370 | PA      | $8836.13       | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                           | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         91 | PA      | $90.99         | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                         | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                            | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6898 | PA      | $5229.49       | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                       | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21864 | PA      | $18544.92      | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-6, Class 3A1                                       | CUSIP: 57643MDD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          2 | PA      | $2.17          | 0.00%             | 2019-07-25      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-6, Class 15                                        | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         84 | PA      | $83.78         | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Matador Resources Co.                                                | Matador Resources Co.                                                                            | CUSIP: 576485AF3<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |     245000 | PA      | $249994.33     | 0.00%             | 2028-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Matador Resources Co.                                                | Matador Resources Co.                                                                            | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    4045000 | PA      | $4130999.33    | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Matador Resources Co.                                                | Matador Resources Co.                                                                            | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    2672000 | PA      | $2719403.95    | 0.01%             | 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        |    1062000 | PA      | $1060718.80    | 0.00%             | 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        |    4473000 | PA      | $4579233.75    | 0.02%             | 2030-04-15      | Fixed         | 7.88%                 | 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        |   10513495 | PA      | $10531435.66   | 0.04%             | 2054-09-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| McDonald's Corp.                                                     | McDonald's Corp.                                                                                 | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    7371000 | PA      | $6948254.72    | 0.03%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                  | Medline Borrower LP                                                                              | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2024000 | PA      | $2088711.33    | 0.01%             | 2029-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                    | Merck & Co., Inc.                                                                                | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $1718076.81    | 0.01%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                    | Merck & Co., Inc.                                                                                | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $1387796.72    | 0.01%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                    | Merck & Co., Inc.                                                                                | CUSIP: 58933YCB9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   18200000 | PA      | $18250464.23   | 0.07%             | 2055-12-04      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                           | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                              | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29950000 | PA      | $30035713.91   | 0.12%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                           | Mercury Financial Credit Card Master Trust, Series 2025-1A, Class C                              | CUSIP: 58940BBH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25000000 | PA      | $25096475.00   | 0.10%             | 2031-12-22      | Fixed         | 8.29%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                           | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class C                              | CUSIP: 58940BBM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18700000 | PA      | $18772903.82   | 0.07%             | 2032-02-20      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                           | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class D                              | CUSIP: 58940BBN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14900000 | PA      | $14952816.03   | 0.06%             | 2032-02-20      | Fixed         | 11.85%                | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2                                  | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14663 | PA      | $14621.42      | 0.00%             | 2029-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A3                                  | CUSIP: 59020UGH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8561 | PA      | $8380.08       | 0.00%             | 2029-09-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                        | MetLife, Inc.                                                                                    | CUSIP: 59156RAE8<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     680000 | PA      | $764353.39     | 0.00%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                        | MetLife, Inc.                                                                                    | CUSIP: 59156RCR7<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    3457000 | PA      | $3432609.83    | 0.01%             | 2056-03-15      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                   | Metropolitan Life Global Funding I                                                               | CUSIP: 59217GDC0<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1456451.67    | 0.01%             | 2029-06-17      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                   | Metropolitan Life Global Funding I                                                               | CUSIP: 59217GFP9<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    8975000 | PA      | $9331696.75    | 0.04%             | 2033-03-28      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Micron Technology, Inc.                                              | Micron Technology, Inc.                                                                          | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $15207937.08   | 0.06%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                            | Mid-America Apartments LP                                                                        | CUSIP: 59523UAP2<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    1258000 | PA      | $1266684.72    | 0.00%             | 2028-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                             | Mid-Atlantic Interstate Transmission LLC                                                         | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7631000 | PA      | $7655705.59    | 0.03%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2005-1, Class A                                            | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6970 | PA      | $6964.81       | 0.00%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2005-1, Class M1                                           | CUSIP: 595481AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160800 | PA      | $160743.44     | 0.00%             | 2040-01-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2006-1, Class A                                            | CUSIP: 59548PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     401457 | PA      | $404102.14     | 0.00%             | 2040-10-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                           | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     487101 | PA      | $490559.42     | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2006-1, Class M2                                           | CUSIP: 59548PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200511 | PA      | $203520.63     | 0.00%             | 2040-10-15      | Fixed         | 6.74%                 | Yes           |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                               | MidAmerican Energy Co.                                                                           | CUSIP: 595620AS4<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    1942000 | PA      | $1489363.01    | 0.01%             | 2048-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Co.                                        | Berkshire Hathaway Energy Co.                                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1437068.41    | 0.01%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Midcon Energy Asset Issuer LLC                                       | Midcon Energy Asset Issuer LLC                                                                   | CUSIP: 595641AD3<br>LEI: 254900A8Q2V7V8S0V807 | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $8000000.00    | 0.03%             | 2051-02-27      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| Midcon Energy Asset Issuer LLC                                       | Midcon Energy Asset Issuer LLC                                                                   | CUSIP: 595641AE1<br>LEI: 254900A8Q2V7V8S0V807 | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10000000.00   | 0.04%             | 2051-02-27      | Fixed         | 6.53%                 | No            |                  3 | On Loan: No      |
| Stagwell Global LLC                                                  | Stagwell Global LLC                                                                              | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |    6165000 | PA      | $5682531.42    | 0.02%             | 2029-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Millrose Properties, Inc.                                            | Millrose Properties, Inc.                                                                        | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2156000 | PA      | $2211840.40    | 0.01%             | 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        |    1045000 | PA      | $1058107.44    | 0.00%             | 2032-09-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                                | Mission Lane Credit Card Master Trust, Series 2025-B, Class A                                    | CUSIP: 60510MBU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10830000 | PA      | $10905290.16   | 0.04%             | 2031-09-15      | Fixed         | 5.06%                 | 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        |    4345000 | PA      | $4381067.85    | 0.02%             | 2032-04-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                             | CUSIP: 606822BK9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    3145000 | PA      | $2779331.38    | 0.01%             | 2039-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                             | CUSIP: 606822BM5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    2605000 | PA      | $2538606.47    | 0.01%             | 2029-07-18      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                             | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    3760000 | PA      | $3725351.22    | 0.01%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc., Series 8NC7                                                | CUSIP: 606822CT9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    2070000 | PA      | $2169987.71    | 0.01%             | 2031-02-22      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                         | Mizuho Financial Group, Inc.                                                                     | CUSIP: 60687YCZ0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    3490000 | PA      | $3629574.00    | 0.01%             | 2029-07-06      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                         | Mizuho Financial Group, Inc.                                                                     | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    1900000 | PA      | $2030656.27    | 0.01%             | 2034-07-06      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                         | Mizuho Financial Group, Inc.                                                                     | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    2000000 | PA      | $2079911.32    | 0.01%             | 2030-07-10      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                                | Monongahela Power Co.                                                                            | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9250000 | PA      | $9960259.59    | 0.04%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3186000 | PA      | $3215775.66    | 0.01%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15193000 | PA      | $14375894.94   | 0.06%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4918000 | PA      | $4354334.15    | 0.02%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1348000 | PA      | $1342684.35    | 0.01%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5267000 | PA      | $4983723.25    | 0.02%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                      | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73753 | PA      | $73655.78      | 0.00%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3160000 | PA      | $2797698.45    | 0.01%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2273000 | PA      | $2093609.86    | 0.01%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6014000 | PA      | $6138682.73    | 0.02%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   14630000 | PA      | $15416147.00   | 0.06%             | 2038-01-19      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6097000 | PA      | $6287063.12    | 0.02%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4890000 | PA      | $5107256.00    | 0.02%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13950000 | PA      | $14340174.53   | 0.06%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4391996.88    | 0.02%             | 2035-04-19      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   23575000 | PA      | $24257358.34   | 0.09%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8520000 | PA      | $8822036.04    | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   26420000 | PA      | $26851255.77   | 0.10%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   27916000 | PA      | $28918572.15   | 0.11%             | 2031-04-17      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A6                                   | CUSIP: 61748HCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18297 | PA      | $18145.84      | 0.00%             | 2034-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7505000 | PA      | $7772049.06    | 0.03%             | 2031-01-15      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61748UAP7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3790000 | PA      | $3770741.49    | 0.01%             | 2041-01-18      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61748UAS1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   14745000 | PA      | $14830501.54   | 0.06%             | 2032-01-16      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   22462000 | PA      | $22653470.81   | 0.09%             | 2037-01-30      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     752000 | PA      | $749487.54     | 0.00%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5340000 | PA      | $4223815.79    | 0.02%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank NA                                       | Morgan Stanley Private Bank NA                                                                   | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   23635000 | PA      | $23780469.88   | 0.09%             | 2031-11-19      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                  | Medline Borrower LP                                                                              | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    8718000 | PA      | $8574252.39    | 0.03%             | 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        |    8453000 | PA      | $8452328.83    | 0.03%             | 2029-10-01      | Fixed         | 5.25%                 | Yes           |                  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        |   28202527 | PA      | $28633901.69   | 0.11%             | 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 M10                      | CUSIP: 62548NAB4<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   55430000 | PA      | $63676326.64   | 0.25%             | 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        |   41640454 | PA      | $42257224.13   | 0.16%             | 2050-03-25      | Floating      | 7.53%                 | 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        |   15989499 | PA      | $16246382.88   | 0.06%             | 2055-05-25      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-1A, Class D                                                                 | CUSIP: 62848PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3784669 | PA      | $3947207.23    | 0.02%             | 2040-10-20      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| NCR Voyix Corp.                                                      | NCR Voyix Corp.                                                                                  | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    5992000 | PA      | $5887767.36    | 0.02%             | 2028-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| NCR Voyix Corp.                                                      | NCR Voyix Corp.                                                                                  | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    1105000 | PA      | $1084185.12    | 0.00%             | 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        |    1900000 | PA      | $1920007.00    | 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        |    1995000 | PA      | $2067554.16    | 0.01%             | 2029-02-15      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                      | NGPL PipeCo LLC                                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    3030000 | PA      | $2841840.39    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   11513000 | PA      | $11553168.86   | 0.04%             | 2029-06-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    2549000 | PA      | $2469565.23    | 0.01%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    4641000 | PA      | $4472959.60    | 0.02%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     699000 | PA      | $659804.62     | 0.00%             | 2031-02-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     143000 | PA      | $133894.51     | 0.00%             | 2032-02-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    2049000 | PA      | $2098613.48    | 0.01%             | 2033-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2674841.10    | 0.01%             | 2030-10-15      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    8627000 | PA      | $8719006.96    | 0.03%             | 2035-10-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                                 | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    6799000 | PA      | $6892187.09    | 0.03%             | 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        |    2002000 | PA      | $2037559.52    | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                   | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                     | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52237 | PA      | $46085.99      | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| NTT Finance Corp.                                                    | NTT Finance Corp.                                                                                | CUSIP: 62954WAN5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    3500000 | PA      | $3636127.57    | 0.01%             | 2031-07-02      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| NW Re-REMIC TRUST                                                    | NW Re-REMIC TRUST, Series 2021-FRR1, Class BK88                                                  | CUSIP: 62955LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8882314 | PA      | $7780353.70    | 0.03%             | 2051-12-18      | Variable      | 2.60%                 | Yes           |                  3 | On Loan: No      |
| NMG Parent LLC                                                       | NMG Parent LLC, Escrow                                                                           | CUSIP: 629ESC039<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       9033 | NS      | $4516.50       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| National Australia Bank Ltd.                                         | National Australia Bank Ltd.                                                                     | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |    4616000 | PA      | $4242333.92    | 0.02%             | 2030-08-21      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| National Grid plc                                                    | National Grid plc                                                                                | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $1881152.23    | 0.01%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                       | NNN REIT, Inc.                                                                                   | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     921000 | PA      | $918299.51     | 0.00%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                       | NNN REIT, Inc.                                                                                   | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     777000 | PA      | $782277.61     | 0.00%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                       | NNN REIT, Inc.                                                                                   | CUSIP: 637417AQ9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    4170000 | PA      | $3006350.74    | 0.01%             | 2051-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                       | NNN REIT, Inc.                                                                                   | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1254451.44    | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                   | National Rural Utilities Cooperative Finance Corp.                                               | CUSIP: 63743HFP2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    1210000 | PA      | $1257251.82    | 0.00%             | 2031-02-07      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                                      | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    2120000 | PA      | $2099003.24    | 0.01%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| NCR Atleos Corp.                                                     | NCR Atleos Corp.                                                                                 | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |    3996000 | PA      | $4291312.39    | 0.02%             | 2029-04-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                    | NatWest Group plc                                                                                | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   16485000 | PA      | $17001309.87   | 0.07%             | 2031-05-23      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                  | NatWest Markets plc                                                                              | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   17115000 | PA      | $17822883.93   | 0.07%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                                  | NatWest Markets plc                                                                              | CUSIP: 63906YAP3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   16190000 | PA      | $16747162.98   | 0.06%             | 2030-03-21      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                                        | Netflix, Inc.                                                                                    | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    8086000 | PA      | $8436043.02    | 0.03%             | 2029-11-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Co.                                                     | Nevada Power Co.                                                                                 | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     608000 | PA      | $616471.08     | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                     | Nevada Power Co.                                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1562247.59    | 0.01%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                   | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                     | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     148535 | PA      | $148533.97     | 0.00%             | 2033-11-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                  | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   12965000 | PA      | $12997250.44   | 0.05%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                  | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   15200000 | PA      | $15380846.56   | 0.06%             | 2039-09-25      | Variable      | 5.44%                 | 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        |   52074142 | PA      | $53047772.45   | 0.21%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| New York Life Insurance Co.                                          | New York Life Insurance Co.                                                                      | CUSIP: 64952GAF5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |     295000 | PA      | $339427.89     | 0.00%             | 2039-11-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                                         | New York Life Global Funding                                                                     | CUSIP: 64952WCX9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    2749000 | PA      | $2713357.76    | 0.01%             | 2028-01-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                  | Newell Brands, Inc.                                                                              | CUSIP: 651229AX4<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    4374000 | PA      | $4414428.88    | 0.02%             | 2036-04-01      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                  | Newell Brands, Inc.                                                                              | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    5039000 | PA      | $5117522.74    | 0.02%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                  | Newell Brands, Inc.                                                                              | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     778000 | PA      | $777963.28     | 0.00%             | 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        |    1170000 | PA      | $1173588.39    | 0.00%             | 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        |    1667000 | PA      | $1754686.57    | 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        |    5152370 | PA      | $5080363.92    | 0.02%             | 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        |    1559000 | PA      | $1551362.30    | 0.01%             | 2028-11-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                                            | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    1379000 | PA      | $1286995.22    | 0.00%             | 2053-02-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                                            | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2571164.30    | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                                            | CUSIP: 65339KDB3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    3930000 | PA      | $4181173.61    | 0.02%             | 2054-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                                            | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   11405000 | PA      | $11846213.83   | 0.05%             | 2055-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                | NextEra Energy Capital Holdings, Inc.                                                            | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    3545000 | PA      | $3758146.67    | 0.01%             | 2055-08-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                                  | Nexstar Media, Inc.                                                                              | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    7946000 | PA      | $7946746.92    | 0.03%             | 2027-07-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Nexgen, Inc.                                                         | Nexgen, Inc.                                                                                     | CUSIP: 65346DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9117363 | PA      | $9105966.30    | 0.04%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| NGF Holdings LLC                                                     | NGF Holdings LLC                                                                                 | CUSIP: 65346FAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   45500000 | PA      | $45700200.00   | 0.18%             | 2029-12-23      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                           | Niagara Mohawk Power Corp.                                                                       | CUSIP: 65364UAL0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     631000 | PA      | $633632.75     | 0.00%             | 2028-12-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                          | Federal Republic of Nigeria                                                                      | CUSIP: 65412AFG2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    6870000 | PA      | $7474560.00    | 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        |    4080000 | PA      | $4113170.40    | 0.02%             | 2028-09-28      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                       | NiSource, Inc.                                                                                   | CUSIP: 65473PAR6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    5497000 | PA      | $5743430.51    | 0.02%             | 2054-11-30      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                                       | NiSource, Inc.                                                                                   | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    4050000 | PA      | $4193831.98    | 0.02%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Noble Finance II LLC                                                 | Noble Finance II LLC                                                                             | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3220000 | PA      | $3351440.40    | 0.01%             | 2030-04-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Nordea Bank Abp                                                      | Nordea Bank Abp                                                                                  | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |     610000 | PA      | $624341.91     | 0.00%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                      | Nordstrom, Inc.                                                                                  | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    3512000 | PA      | $3381490.22    | 0.01%             | 2030-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                               | Norfolk Southern Corp.                                                                           | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     971000 | PA      | $764732.61     | 0.00%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Conair Holdings LLC                                                  | Conair Holdings LLC, 1st Lien Term Loan B                                                        | CUSIP: 20600RAB8<br>LEI: 549300804G00T34FLV17 | Long             | LON              | CORP              | US        |    3666253 | PA      | $1979776.75    | 0.01%             | 2028-05-17      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                      | Madison IAQ LLC, 1st Lien Term Loan                                                              | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |    3477466 | PA      | $3478126.91    | 0.01%             | 2028-06-21      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                            | Northern States Power Co.                                                                        | CUSIP: 665772CC1<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     168000 | PA      | $186783.47     | 0.00%             | 2037-07-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                            | Northern States Power Co.                                                                        | CUSIP: 665772CV9<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    2602000 | PA      | $2244038.77    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Northriver Midstream Finance LP                                      | Northriver Midstream Finance LP                                                                  | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $257072.75     | 0.00%             | 2032-07-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                               | Northrop Grumman Corp.                                                                           | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    2476000 | PA      | $2276164.27    | 0.01%             | 2053-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                   | Northwestern Mutual Global Funding                                                               | CUSIP: 66815L2S7<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    4140000 | PA      | $4319327.21    | 0.02%             | 2031-05-28      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                 | NOVA Chemicals Corp.                                                                             | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    1043000 | PA      | $1023436.20    | 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        |    2405000 | PA      | $2517746.40    | 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        |    4600000 | PA      | $4886842.20    | 0.02%             | 2030-02-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR1, Class F                                                            | CUSIP: 66981XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22105054 | PA      | $21154282.47   | 0.08%             | 2040-04-17      | Fixed         | 4.00%                 | 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        |   27165000 | PA      | $26290229.95   | 0.10%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR4, Class F1                                                           | CUSIP: 66982FAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34734000 | PA      | $33893607.40   | 0.13%             | 2038-12-17      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                        | Novelis Corp.                                                                                    | CUSIP: 670001AN6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    1033000 | PA      | $1044243.17    | 0.00%             | 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        |    3876000 | PA      | $3913108.82    | 0.02%             | 2027-04-28      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                                  | NuStar Logistics LP                                                                              | CUSIP: 67059TAH8<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     732000 | PA      | $770680.34     | 0.00%             | 2030-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                     | OGE Energy Corp.                                                                                 | CUSIP: 670837AD5<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    3085000 | PA      | $3213976.63    | 0.01%             | 2029-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                               | OCP SA                                                                                           | CUSIP: 67091TAG0<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |    4366000 | PA      | $4898484.78    | 0.02%             | 2054-05-02      | Fixed         | 7.50%                 | 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        |   21867960 | PA      | $21872473.28   | 0.08%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Chord Energy Corp.                                                   | Chord Energy Corp.                                                                               | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    3090000 | PA      | $3209258.55    | 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        |    2492000 | PA      | $2545578.90    | 0.01%             | 2030-10-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                             | Octane Receivables Trust, Series 2023-3A, Class D                                                | CUSIP: 67571CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4640000 | PA      | $4831041.79    | 0.02%             | 2029-09-20      | Fixed         | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                             | Octane Receivables Trust, Series 2022-1A, Class E                                                | CUSIP: 67571EAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2021342.20    | 0.01%             | 2029-12-20      | Fixed         | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                             | Octane Receivables Trust, Series 2024-1A, Class C                                                | CUSIP: 67571FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3571113.00    | 0.01%             | 2030-05-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Ohio Power Co.                                                       | Ohio Power Co., Series R                                                                         | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    6567000 | PA      | $4125916.01    | 0.02%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ON Semiconductor Corp.                                               | ON Semiconductor Corp.                                                                           | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2691998.65    | 0.01%             | 2028-09-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                      | Oncor Electric Delivery Co. LLC                                                                  | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     971000 | PA      | $654731.03     | 0.00%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                      | Oncor Electric Delivery Co. LLC                                                                  | CUSIP: 68233JBX1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     534000 | PA      | $510668.77     | 0.00%             | 2052-10-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                          | ONEOK, Inc.                                                                                      | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    7170000 | PA      | $7272904.70    | 0.03%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                          | ONEOK, Inc.                                                                                      | CUSIP: 682680CR2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   10152000 | PA      | $10958465.34   | 0.04%             | 2030-09-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| ONEOK, Inc.                                                          | ONEOK, Inc.                                                                                      | CUSIP: 682680CW1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    9205000 | PA      | $8837956.24    | 0.03%             | 2044-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                    | ONEOK Partners LP                                                                                | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    1423000 | PA      | $1581840.25    | 0.01%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                | OneMain Finance Corp.                                                                            | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    1705000 | PA      | $1649807.62    | 0.01%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                | OneMain Finance Corp.                                                                            | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    7445000 | PA      | $7600421.82    | 0.03%             | 2029-05-15      | Fixed         | 6.62%                 | No            |                  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        |   10178153 | PA      | $10104361.13   | 0.04%             | 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        |    4009000 | PA      | $4145837.79    | 0.02%             | 2032-04-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust                 | Ontario Teachers' Cadillac Fairview Properties Trust                                             | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     603000 | PA      | $602639.01     | 0.00%             | 2027-03-20      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2021-B, Class B                                                   | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     954798 | PA      | $939861.32     | 0.00%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2021-B, Class C                                                   | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1433753 | PA      | $1422006.17    | 0.01%             | 2031-05-08      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-D, Class C                                                   | CUSIP: 68379HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10910000 | PA      | $10997009.43   | 0.04%             | 2033-02-08      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Fibercop SpA                                                         | Fibercop SpA, Series 2033                                                                        | CUSIP: 683879AB6<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |     881000 | PA      | $893915.46     | 0.00%             | 2033-11-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Fibercop SpA                                                         | Fibercop SpA                                                                                     | CUSIP: 683879AD2<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |    2780000 | PA      | $2725077.49    | 0.01%             | 2034-09-30      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1316294.96    | 0.01%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5145000 | PA      | $3716056.20    | 0.01%             | 2045-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    7026000 | PA      | $4856419.54    | 0.02%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1705000 | PA      | $1453674.13    | 0.01%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $962691.93     | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $2488077.46    | 0.01%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4013000 | PA      | $2656425.54    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     428000 | PA      | $346511.95     | 0.00%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   31588000 | PA      | $27826134.86   | 0.11%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19346000 | PA      | $19356835.50   | 0.07%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10209000 | PA      | $9948175.67    | 0.04%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   20025000 | PA      | $19419447.80   | 0.08%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                         | Oracle Corp.                                                                                     | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19935000 | PA      | $19097995.73   | 0.07%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Organon & Co.                                                        | Organon & Co.                                                                                    | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4616000 | PA      | $4531368.18    | 0.02%             | 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        |    4095000 | PA      | $3638839.52    | 0.01%             | 2031-04-30      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Outfront Media Capital LLC                                           | Outfront Media Capital LLC                                                                       | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3255000 | PA      | $3421957.12    | 0.01%             | 2031-02-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                        | Ovintiv, Inc.                                                                                    | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    5620000 | PA      | $6064862.90    | 0.02%             | 2033-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Accendra Health, Inc.                                                | Accendra Health, Inc.                                                                            | CUSIP: 690732AG7<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |    4466000 | PA      | $2148763.65    | 0.01%             | 2030-04-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Owens-Brockway Glass Container, Inc.                                 | Owens-Brockway Glass Container, Inc.                                                             | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    3634000 | PA      | $3636594.68    | 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        |    4183154 | PA      | $4068116.92    | 0.02%             | 2029-02-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                      | PECO Energy Co.                                                                                  | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     729000 | PA      | $464435.69     | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                           | PG&E Corp.                                                                                       | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    3733000 | PA      | $3723132.19    | 0.01%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                           | PG&E Corp.                                                                                       | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    2296000 | PA      | $2297901.09    | 0.01%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                           | PG&E Corp.                                                                                       | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |   22320000 | PA      | $23090106.96   | 0.09%             | 2055-03-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                           | PG&E Corp.                                                                                       | CUSIP: 69331CAN8<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    9464000 | PA      | $9448678.64    | 0.04%             | 2056-09-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                   | PG&E Wildfire Recovery Funding LLC, Series A-2                                                   | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1059000 | PA      | $1050115.84    | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                   | PG&E Wildfire Recovery Funding LLC, Series A-4                                                   | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     777000 | PA      | $772049.13     | 0.00%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                   | PG&E Wildfire Recovery Funding LLC, Series A-5                                                   | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2850000 | PA      | $2729929.30    | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PHH Mortgage Trust                                                   | PHH Mortgage Trust, Series 2008-CIM2, Class 5A1                                                  | CUSIP: 69338AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37968 | PA      | $38318.05      | 0.00%             | 2038-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475AZ8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    1918000 | PA      | $1819122.23    | 0.01%             | 2030-01-22      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475BA2<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     971000 | PA      | $885601.17     | 0.00%             | 2032-04-23      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475BS3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2268946.13    | 0.01%             | 2034-08-18      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   11680000 | PA      | $13282957.71   | 0.05%             | 2034-10-20      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    3790000 | PA      | $4022523.28    | 0.02%             | 2035-01-22      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    6840000 | PA      | $6993581.12    | 0.03%             | 2032-10-21      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    3880000 | PA      | $4022704.85    | 0.02%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                             | PNC Financial Services Group, Inc. (The)                                                         | CUSIP: 693475CF0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    7775000 | PA      | $7860215.56    | 0.03%             | 2041-01-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| PNC Bank NA                                                          | PNC Bank NA                                                                                      | CUSIP: 69349LAS7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $3956346.93    | 0.02%             | 2029-10-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                         | PPL Electric Utilities Corp.                                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    1384000 | PA      | $1333284.11    | 0.01%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RCF1, Class A1                                                             | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2695225 | PA      | $2677768.59    | 0.01%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1894000 | PA      | $1620475.60    | 0.01%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1000000.00    | 0.00%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   11889000 | PA      | $12028586.61   | 0.05%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   19196000 | PA      | $19286730.09   | 0.07%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1622000 | PA      | $1368147.64    | 0.01%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3032000 | PA      | $3276274.35    | 0.01%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1282000 | PA      | $1346407.99    | 0.01%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   11604000 | PA      | $12642966.69   | 0.05%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1020000 | PA      | $992613.38     | 0.00%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   16035000 | PA      | $16719117.88   | 0.06%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5433000 | PA      | $5534570.80    | 0.02%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   31035000 | PA      | $31628820.90   | 0.12%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                         | Pacific Gas and Electric Co.                                                                     | CUSIP: 694308LB1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $2291412.73    | 0.01%             | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Packaging Corp. of America                                           | Packaging Corp. of America                                                                       | CUSIP: 695156AW9<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    2277000 | PA      | $1503403.69    | 0.01%             | 2051-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                | Pagaya AI Technology in Housing Trust, Series 2023-1, Class E1                                   | CUSIP: 69547YAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26822000 | PA      | $25077537.35   | 0.10%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                         | Islamic Republic of Pakistan                                                                     | CUSIP: 695847AT0<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |    9000000 | PA      | $8887500.00    | 0.03%             | 2031-04-08      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                         | Islamic Republic of Pakistan                                                                     | CUSIP: 695847AU7<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |    8000000 | PA      | $7900000.00    | 0.03%             | 2051-04-08      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Palomino Funding Trust I                                             | Palomino Funding Trust I                                                                         | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2114255.74    | 0.01%             | 2028-05-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                                   | Republic of Panama                                                                               | CUSIP: 698299CC6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    2716000 | PA      | $2727610.90    | 0.01%             | 2038-02-23      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                                | Parker-Hannifin Corp.                                                                            | CUSIP: 70109HAJ4<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |     428000 | PA      | $483930.34     | 0.00%             | 2038-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                          | Penske Truck Leasing Co. LP                                                                      | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4747657.61    | 0.02%             | 2029-07-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Penske Automotive Group, Inc.                                        | Penske Automotive Group, Inc.                                                                    | CUSIP: 70959WAK9<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |    5058000 | PA      | $4891721.79    | 0.02%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                   | Pepco Holdings LLC                                                                               | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |     971000 | PA      | $1125124.19    | 0.00%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| PepsiCo, Inc.                                                        | PepsiCo, Inc.                                                                                    | CUSIP: 713448CC0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    8057000 | PA      | $6700087.84    | 0.03%             | 2042-08-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Performance Food Group, Inc.                                         | Performance Food Group, Inc.                                                                     | CUSIP: 71376LAF7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    1058000 | PA      | $1086033.83    | 0.00%             | 2032-09-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Performance Food Group, Inc.                                         | Performance Food Group, Inc.                                                                     | CUSIP: 71376LAH3<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    1218000 | PA      | $1222074.86    | 0.00%             | 2034-03-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                      | Permian Resources Operating LLC                                                                  | CUSIP: 71424VAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    2220000 | PA      | $2329994.34    | 0.01%             | 2032-01-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                      | Permian Resources Operating LLC                                                                  | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    1885000 | PA      | $1951882.78    | 0.01%             | 2033-02-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Perrigo Finance Unlimited Co.                                        | Perrigo Finance Unlimited Co.                                                                    | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |    3658000 | PA      | $3579264.11    | 0.01%             | 2032-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Peru LNG Srl                                                         | Peru LNG Srl                                                                                     | CUSIP: 715604AA2<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |    2175290 | PA      | $2113820.00    | 0.01%             | 2030-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    9785000 | PA      | $9813376.50    | 0.04%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                                              | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    4300000 | PA      | $4407500.00    | 0.02%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   23785000 | PA      | $21601537.00   | 0.08%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    7907000 | PA      | $9262701.01    | 0.04%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PetSmart LLC                                                         | PetSmart LLC                                                                                     | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4313000 | PA      | $4364238.44    | 0.02%             | 2032-09-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                              | Pfizer Investment Enterprises Pte. Ltd.                                                          | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    5170000 | PA      | $4950151.85    | 0.02%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                                         | Pfizer, Inc.                                                                                     | CUSIP: 717081EJ8<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    2913000 | PA      | $2704092.63    | 0.01%             | 2038-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                                         | Pfizer, Inc.                                                                                     | CUSIP: 717081EU3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    2874000 | PA      | $2589028.73    | 0.01%             | 2039-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                                         | Pfizer, Inc.                                                                                     | CUSIP: 717081FF5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6826254.47    | 0.03%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                            | PG&E Recovery Funding LLC, Series A-3                                                            | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3951000 | PA      | $4053177.68    | 0.02%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                            | PG&E Recovery Funding LLC, Series A-2                                                            | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3946045.28    | 0.02%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                            | PG&E Recovery Funding LLC, Series A-3                                                            | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4704591.76    | 0.02%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                    | Philip Morris International, Inc.                                                                | CUSIP: 718172AM1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   11926000 | PA      | $10773543.63   | 0.04%             | 2041-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                    | Philip Morris International, Inc.                                                                | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    9368000 | PA      | $9891689.09    | 0.04%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                    | Philip Morris International, Inc.                                                                | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   13190000 | PA      | $14141207.14   | 0.05%             | 2033-09-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                    | Philip Morris International, Inc.                                                                | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   13569000 | PA      | $14213004.96   | 0.06%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                       | Piedmont Natural Gas Co., Inc.                                                                   | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |     777000 | PA      | $766468.29     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                       | Piedmont Natural Gas Co., Inc.                                                                   | CUSIP: 720186AM7<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $1951319.58    | 0.01%             | 2050-06-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Pine Street Trust III                                                | Pine Street Trust III                                                                            | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1629342.27    | 0.01%             | 2054-05-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                        | Pioneer Natural Resources Co.                                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   23833000 | PA      | $21857100.59   | 0.08%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Piper Abs Issuer I LLC                                               | Piper ABS Issuer LLC                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   24000000 | PA      | $24000000.00   | 0.09%             | 2046-01-15      | Fixed         | 9.81%                 | No            |                  3 | On Loan: No      |
| Post Holdings, Inc.                                                  | Post Holdings, Inc.                                                                              | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    3119000 | PA      | $3053030.03    | 0.01%             | 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        |    2377000 | PA      | $2445212.77    | 0.01%             | 2032-02-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                                      | Post Road Equipment Finance LLC, Series 2024-1A, Class E                                         | CUSIP: 737473AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3250000 | PA      | $3346574.40    | 0.01%             | 2031-12-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                           | Potomac Electric Power Co.                                                                       | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |     350000 | PA      | $396988.91     | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                 | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20533 | PA      | $20752.92      | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADT Security Corp. (The)                                             | ADT Security Corp. (The)                                                                         | CUSIP: 74166NAA2<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    7112000 | PA      | $6899192.60    | 0.03%             | 2032-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                                      | Principal Financial Group, Inc.                                                                  | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2000140.70    | 0.01%             | 2028-02-15      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Principal Life Global Funding II                                     | Principal Life Global Funding II                                                                 | CUSIP: 74256LEY1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2717011.40    | 0.01%             | 2029-01-25      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                                           | PRM7 Trust, Series 2025-PRM7, Class E                                                            | CUSIP: 74290HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13390000 | PA      | $13535076.63   | 0.05%             | 2042-11-10      | Variable      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class E2                                           | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19522000 | PA      | $19526845.36   | 0.08%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class F                                            | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11918000 | PA      | $11955435.63   | 0.05%             | 2039-04-17      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR2, Class E2                                           | CUSIP: 74332VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21356384 | PA      | $21041127.47   | 0.08%             | 2027-04-17      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class E1                                           | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23973000 | PA      | $23636265.65   | 0.09%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                                 | Progress Residential, Series 2021-SFR3, Class E2                                                 | CUSIP: 74333VAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9348272 | PA      | $9297144.43    | 0.04%             | 2026-05-17      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR1, Class E1                                           | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12578000 | PA      | $12290737.35   | 0.05%             | 2041-02-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR1, Class F                                            | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14250000 | PA      | $14169407.70   | 0.05%             | 2041-02-17      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR4, Class E1                                           | CUSIP: 74334JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13000000 | PA      | $12230185.50   | 0.05%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                          | Prologis LP                                                                                      | CUSIP: 74340XBP5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    4989000 | PA      | $3359891.54    | 0.01%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                          | Prologis LP                                                                                      | CUSIP: 74340XBQ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    1457000 | PA      | $800415.77     | 0.00%             | 2050-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                          | Prologis LP                                                                                      | CUSIP: 74340XBZ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    2427000 | PA      | $2206593.72    | 0.01%             | 2030-07-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                       | Protective Life Global Funding                                                                   | CUSIP: 74368CBH6<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1478580.08    | 0.01%             | 2026-09-20      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                       | Public Service Co. of Colorado                                                                   | CUSIP: 744448CR0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    2573000 | PA      | $2048121.84    | 0.01%             | 2049-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                       | Public Service Co. of Colorado                                                                   | CUSIP: 744448CU3<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    3097000 | PA      | $1897676.50    | 0.01%             | 2051-01-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                       | Public Service Co. of Oklahoma, Series G                                                         | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    1068000 | PA      | $1213994.60    | 0.00%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                       | Public Service Co. of Oklahoma                                                                   | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    1292000 | PA      | $1338240.54    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                  | Public Service Electric and Gas Co.                                                              | CUSIP: 74456QAR7<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     826000 | PA      | $895964.14     | 0.00%             | 2037-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Public Storage Operating Co.                                         | Public Storage Operating Co.                                                                     | CUSIP: 74460WAG2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    4280000 | PA      | $4467950.94    | 0.02%             | 2033-08-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                             | Puget Sound Energy, Inc.                                                                         | CUSIP: 745332CC8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |     874000 | PA      | $902121.78     | 0.00%             | 2040-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                             | Puget Sound Energy, Inc.                                                                         | CUSIP: 745332CK0<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |    1282000 | PA      | $839327.28     | 0.00%             | 2051-09-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                             | Puget Sound Energy, Inc.                                                                         | CUSIP: 745332CN4<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |   14682000 | PA      | $14837120.91   | 0.06%             | 2054-06-15      | Fixed         | 5.68%                 | No            |                  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        |    9902326 | PA      | $10153844.64   | 0.04%             | 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        |   32487231 | PA      | $32529464.14   | 0.13%             | 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        |    7503000 | PA      | $7676818.40    | 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        |     495000 | PA      | $513958.27     | 0.00%             | 2033-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                | Quanta Services, Inc.                                                                            | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    7380000 | PA      | $7646720.80    | 0.03%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                | Quanta Services, Inc.                                                                            | CUSIP: 74762EAN2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    4780000 | PA      | $4836510.79    | 0.02%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QXO Building Products, Inc.                                          | QXO Building Products, Inc.                                                                      | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    3192000 | PA      | $3306005.47    | 0.01%             | 2032-04-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                              | Quest Diagnostics, Inc.                                                                          | CUSIP: 74834LBB5<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     971000 | PA      | $925869.16     | 0.00%             | 2030-06-30      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                              | Quest Diagnostics, Inc.                                                                          | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    6580000 | PA      | $6728299.91    | 0.03%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                  | Rocket Mortgage LLC                                                                              | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3051000 | PA      | $2939549.72    | 0.01%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                  | Rocket Mortgage LLC                                                                              | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2695000 | PA      | $2532804.66    | 0.01%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                              | Quikrete Holdings, Inc.                                                                          | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    5818000 | PA      | $6046635.76    | 0.02%             | 2032-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                  | RCKT Mortgage Trust, Series 2026-CES2, Class A1A                                                 | CUSIP: 74940EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   39650000 | PA      | $39685617.60   | 0.15%             | 2056-02-01      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                              | RHP Hotel Properties LP                                                                          | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7423000 | PA      | $7421309.86    | 0.03%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                              | RHP Hotel Properties LP                                                                          | CUSIP: 749571AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1106000 | PA      | $1135683.93    | 0.00%             | 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        |    4212000 | PA      | $4358480.72    | 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        |    2012000 | PA      | $2090045.48    | 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        |   15550000 | PA      | $16093575.13   | 0.06%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| RFM Reremic Trust                                                    | RFM Re-REMIC Trust, Series 2022-FRR1, Class BK55                                                 | CUSIP: 74971BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10551968 | PA      | $10446584.44   | 0.04%             | 2049-03-28      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| RHP Hotel Properties LP                                              | RHP Hotel Properties LP                                                                          | CUSIP: 74984CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     736000 | PA      | $741369.86     | 0.00%             | 2034-03-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Radnor RE Ltd.                                                       | Radnor RE Ltd., Series 2022-1, Class M1B                                                         | CUSIP: 75049XAB8<br>LEI: 254900E0VCENS5C16U77 | Long             | ABS-MBS          | CORP              | BM        |    8046942 | PA      | $8336783.61    | 0.03%             | 2032-09-25      | Floating      | 10.42%                | Yes           |                  2 | On Loan: No      |
| Raisa Funding I LLC                                                  | Raisa Funding LLC                                                                                | CUSIP: 75102YAB0<br>LEI: 549300MYI60JNGZB7107 | Long             | ABS-O            | CORP              | US        |    7321644 | PA      | $7539829.42    | 0.03%             | 2038-06-15      | Fixed         | 11.71%                | No            |                  3 | On Loan: No      |
| INEOS US Finance LLC                                                 | INEOS US Finance LLC, 1st Lien Term Loan                                                         | CUSIP: G4768PAN1<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |    5084697 | PA      | $4258433.66    | 0.02%             | 2030-02-18      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                          | Asurion LLC, 1st Lien Term Loan B-11                                                             | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    3496111 | PA      | $3492824.23    | 0.01%             | 2028-08-21      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                            | RTX Corp.                                                                                        | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3712000 | PA      | $3884642.08    | 0.02%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                            | RTX Corp.                                                                                        | CUSIP: 75513ECS8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1882000 | PA      | $1835820.80    | 0.01%             | 2053-02-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                            | RTX Corp.                                                                                        | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    6210000 | PA      | $6939453.92    | 0.03%             | 2054-03-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| ReadyCap Holdings LLC                                                | ReadyCap Holdings LLC, Series QIB                                                                | CUSIP: 755763AC3<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $24515478.50   | 0.09%             | 2026-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Holdings LLC                                                | ReadyCap Holdings LLC, Series QIB                                                                | CUSIP: 755763AE9<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   37000000 | PA      | $36697704.82   | 0.14%             | 2028-03-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corp.                                                  | Realty Income Corp.                                                                              | CUSIP: 756109BA1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    1068000 | PA      | $900109.60     | 0.00%             | 2033-03-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                  | Realty Income Corp.                                                                              | CUSIP: 756109CE2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4675000 | PA      | $4281096.05    | 0.02%             | 2032-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                   | Regency Centers LP                                                                               | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    3743000 | PA      | $3693392.79    | 0.01%             | 2030-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Callaway Golf Co.                                                    | Callaway Golf Co., 1st Lien Term Loan                                                            | CUSIP: 89071LAB6<br>LEI: 5493005UB0KFRKBPCU72 | Long             | LON              | CORP              | US        |     300654 | PA      | $301781.10     | 0.00%             | 2030-03-18      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2023-1A, Class A                                                                   | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |    8986915 | PA      | $9419038.10    | 0.04%             | 2058-11-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-2A, Class A                                                                   | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    7737157 | PA      | $7173986.63    | 0.03%             | 2053-09-22      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class A                                                                   | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     707504 | PA      | $672562.99     | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class B                                                                   | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      71307 | PA      | $71231.75      | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QS5, Class A4                                                            | CUSIP: 76110H3A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487795 | PA      | $450621.35     | 0.00%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13                               | CUSIP: 76113FBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81906 | PA      | $39904.66      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Resideo Funding, Inc.                                                | Resideo Funding, Inc.                                                                            | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |    4015000 | PA      | $4098997.82    | 0.02%             | 2032-07-15      | Fixed         | 6.50%                 | 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        |   20433451 | PA      | $20439294.56   | 0.08%             | 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        |   33413441 | PA      | $33382533.35   | 0.13%             | 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        |    3592117 | PA      | $2906633.06    | 0.01%             | 2028-05-03      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| RingCentral, Inc.                                                    | RingCentral, Inc.                                                                                | CUSIP: 76680RAJ6<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    4715000 | PA      | $4950919.74    | 0.02%             | 2030-08-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                             | RB Global Holdings, Inc.                                                                         | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    3051000 | PA      | $3172017.92    | 0.01%             | 2031-03-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| EMRLD Borrower LP                                                    | EMRLD Borrower LP, 1st Lien Term Loan B                                                          | CUSIP: 26872NAC3<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |    8780929 | PA      | $8740185.93    | 0.03%             | 2030-05-31      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                    | Rocket Cos., Inc.                                                                                | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3932000 | PA      | $4034051.13    | 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        |    2308000 | PA      | $2385363.84    | 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        |    3127000 | PA      | $3088656.41    | 0.01%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                  | Rocket Mortgage LLC                                                                              | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     645000 | PA      | $593566.73     | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                         | Rockies Express Pipeline LLC                                                                     | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    3545000 | PA      | $3545280.06    | 0.01%             | 2029-07-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                         | Rockies Express Pipeline LLC                                                                     | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2214528.53    | 0.01%             | 2030-05-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                             | Roper Technologies, Inc.                                                                         | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2643228.37    | 0.01%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                             | Roper Technologies, Inc.                                                                         | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   10280000 | PA      | $10217994.64   | 0.04%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                             | Roper Technologies, Inc.                                                                         | CUSIP: 776696AL0<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3651686.53    | 0.01%             | 2030-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                             | Roper Technologies, Inc.                                                                         | CUSIP: 776743AL0<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1023401.24    | 0.00%             | 2031-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                         | Royal Caribbean Cruises Ltd.                                                                     | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    6965000 | PA      | $7263427.27    | 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        |    3504000 | PA      | $3629934.46    | 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        |    9205000 | PA      | $9488483.53    | 0.04%             | 2031-09-30      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                 | Royal Bank of Canada                                                                             | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   39065000 | PA      | $39851524.16   | 0.15%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                      | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class A3                                       | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31152560 | PA      | $27101135.21   | 0.10%             | 2053-02-13      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                      | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class XA                                       | CUSIP: 78397EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   51584139 | PA      | $1867464.49    | 0.01%             | 2053-02-13      | Variable      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                            | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                                              | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6782212 | PA      | $6832219.77    | 0.03%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                            | SCF Equipment Leasing LLC, Series 2023-1A, Class E                                               | CUSIP: 784024AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19500000 | PA      | $20088549.00   | 0.08%             | 2036-07-21      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| S&P Global, Inc.                                                     | S&P Global, Inc.                                                                                 | CUSIP: 78409VAQ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    5340000 | PA      | $3794154.21    | 0.01%             | 2049-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                     | S&P Global, Inc.                                                                                 | CUSIP: 78409VBK9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6045723.39    | 0.02%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp.                                             | SBA Communications Corp.                                                                         | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |    5906000 | PA      | $5678451.27    | 0.02%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                             | SCE Recovery Funding LLC, Series A-1                                                             | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     931254 | PA      | $938535.71     | 0.00%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                             | SCE Recovery Funding LLC, Series A-2                                                             | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     311000 | PA      | $305589.06     | 0.00%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                    | SMBC Aviation Capital Finance DAC                                                                | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    6840000 | PA      | $7061324.21    | 0.03%             | 2029-04-03      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                        | SM Energy Co.                                                                                    | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    4864000 | PA      | $4868260.86    | 0.02%             | 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        |    1316000 | PA      | $1316955.42    | 0.01%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                        | SM Energy Co.                                                                                    | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1922000 | PA      | $1965162.35    | 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        |    2176000 | PA      | $2215862.14    | 0.01%             | 2032-08-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                                                 | SMRT, Series 2022-MINI, Class E                                                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2996250.00    | 0.01%             | 2039-01-15      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                              | SS&C Technologies, Inc.                                                                          | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |    3359000 | PA      | $3353948.40    | 0.01%             | 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        |    2530000 | PA      | $2578707.56    | 0.01%             | 2032-06-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| SRT Issuer II LLC                                                    | SRT Issuer LLC                                                                                   | CUSIP: 78475DAE3<br>LEI: 2549005TCDBHPK8XA750 | Long             | ABS-O            | CORP              | US        |   43000000 | PA      | $43018820.24   | 0.17%             | 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        |   43000000 | PA      | $42946250.00   | 0.17%             | 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        |    6259000 | PA      | $6875599.13    | 0.03%             | 2035-02-10      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                         | Sabine Pass Liquefaction LLC                                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   14148000 | PA      | $14305811.74   | 0.06%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sabra Health Care LP                                                 | Sabra Health Care LP                                                                             | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    2194000 | PA      | $2029026.78    | 0.01%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NorthRiver Midstream Finance LP                                      | NorthRiver Midstream Finance LP, 1st Lien Term Loan B                                            | CUSIP: 66679PAB1<br>LEI: 549300SOLNLY3BL6GF18 | Long             | LON              | CORP              | CA        |    4411740 | PA      | $4411122.13    | 0.02%             | 2030-08-16      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Star Parent, Inc.                                                    | Star Parent, Inc., 1st Lien Term Loan                                                            | CUSIP: 87169DAB1<br>LEI: 254900GRGCJYRMDRWT73 | Long             | LON              | CORP              | US        |    3281067 | PA      | $3172103.12    | 0.01%             | 2030-09-27      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                         | San Diego Gas & Electric Co.                                                                     | CUSIP: 797440BK9<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     486000 | PA      | $524786.53     | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                         | San Diego Gas & Electric Co.                                                                     | CUSIP: 797440BM5<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     242000 | PA      | $223550.34     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                         | San Diego Gas & Electric Co., Series UUU                                                         | CUSIP: 797440BY9<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    4641000 | PA      | $3248293.82    | 0.01%             | 2050-04-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                         | San Diego Gas & Electric Co., Series XXX                                                         | CUSIP: 797440CB8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $4510462.71    | 0.02%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                         | San Diego Gas & Electric Co.                                                                     | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    1059000 | PA      | $1007388.10    | 0.00%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                      | Santander UK Group Holdings plc                                                                  | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    4900000 | PA      | $4548833.07    | 0.02%             | 2032-03-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                      | Santander UK Group Holdings plc                                                                  | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   32065000 | PA      | $32686847.13   | 0.13%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                      | Santander UK Group Holdings plc                                                                  | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    6098000 | PA      | $6402632.66    | 0.02%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7941000 | PA      | $8244385.91    | 0.03%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                                   | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35600000 | PA      | $35908352.96   | 0.14%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2023-2, Class C                                   | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24560000 | PA      | $24930480.23   | 0.10%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27300000 | PA      | $27610499.28   | 0.11%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2024-4, Class C                                   | CUSIP: 802919AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7606100.25    | 0.03%             | 2030-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Moran Foods LLC                                                      | Moran Foods LLC, 2nd Lien PIK Term Loan                                                          | CUSIP: 61647DAU6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1432152 | PA      | $0.01          | 0.00%             | 2026-06-30      | Variable      | 5.67%                 | No            |                  3 | On Loan: No      |
| Charter Communications Operating LLC                                 | Charter Communications Operating LLC, 1st Lien Term Loan B-4                                     | CUSIP: 16117LCB3<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |   13352500 | PA      | $13327530.82   | 0.05%             | 2030-12-09      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                          | Schlumberger Holdings Corp.                                                                      | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     754000 | PA      | $754430.62     | 0.00%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                           | Charles Schwab Corp. (The)                                                                       | CUSIP: 808513CL7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   16385000 | PA      | $16389916.32   | 0.06%             | 2036-11-14      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Science Applications International Corp.                             | Science Applications International Corp.                                                         | CUSIP: 808625AB3<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |    1916000 | PA      | $1904187.48    | 0.01%             | 2033-11-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                         | Scotts Miracle-Gro Co. (The)                                                                     | CUSIP: 810186AP1<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    1961000 | PA      | $1959116.07    | 0.01%             | 2026-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                         | Scotts Miracle-Gro Co. (The)                                                                     | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    8003000 | PA      | $7915821.72    | 0.03%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Scripps Escrow II, Inc.                                              | Scripps Escrow II, Inc.                                                                          | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3118000 | PA      | $2941169.89    | 0.01%             | 2029-01-15      | Fixed         | 3.88%                 | 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        |    3589000 | PA      | $3520058.54    | 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: 81180LAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    2141000 | PA      | $1908166.25    | 0.01%             | 2029-07-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                            | Seagate Data Storage Technology Pte. Ltd.                                                        | CUSIP: 81180LAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    3545000 | PA      | $3398059.75    | 0.01%             | 2031-01-15      | Fixed         | 4.12%                 | 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        |    2716000 | PA      | $2857036.45    | 0.01%             | 2031-07-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                            | Seagate Data Storage Technology Pte. Ltd.                                                        | CUSIP: 81180LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     800000 | PA      | $897288.80     | 0.00%             | 2032-12-01      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                       | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                       | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     118817 | PA      | $104042.64     | 0.00%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Moran Foods LLC                                                      | Moran Foods LLC, 1st Lien PIK Term Loan                                                          | CUSIP: 61647DAT9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1160790 | PA      | $288456.27     | 0.00%             | 2026-06-30      | Variable      | 5.67%                 | No            |                  3 | On Loan: No      |
| WEC US Holdings, Inc.                                                | WEC US Holdings, Inc., 1st Lien Term Loan                                                        | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |   12672644 | PA      | $12630823.99   | 0.05%             | 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        |    6364389 | PA      | $6352487.97    | 0.02%             | 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        |    9241199 | PA      | $8728312.83    | 0.03%             | 2031-02-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Sempra                                                               | Sempra                                                                                           | CUSIP: 816851BS7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     149000 | PA      | $153480.73     | 0.00%             | 2054-10-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Sempra                                                               | Sempra                                                                                           | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    2745000 | PA      | $2810665.89    | 0.01%             | 2056-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies BV                                              | Sensata Technologies BV                                                                          | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    2180000 | PA      | $2205192.08    | 0.01%             | 2030-09-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                           | Sensata Technologies, Inc.                                                                       | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    3549000 | PA      | $3345842.11    | 0.01%             | 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        |    6825000 | PA      | $7144328.10    | 0.03%             | 2032-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                  | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83527 | PA      | $79799.72      | 0.00%             | 2034-09-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Service Corp. International                                          | Service Corp. International                                                                      | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    5735000 | PA      | $5752359.85    | 0.02%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Service Corp. International                                          | Service Corp. International                                                                      | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     905000 | PA      | $922655.65     | 0.00%             | 2032-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                 | Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan                                         | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |    1096290 | PA      | $1099260.99    | 0.00%             | 2028-08-23      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                       | Shell International Finance BV                                                                   | CUSIP: 822582AT9<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    6407000 | PA      | $5235553.47    | 0.02%             | 2042-08-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Shell Finance US, Inc.                                               | Shell Finance US, Inc.                                                                           | CUSIP: 822905AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2913000 | PA      | $2409348.85    | 0.01%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments LLC                                                  | Shift4 Payments LLC                                                                              | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7123000 | PA      | $6972009.50    | 0.03%             | 2032-08-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Station Casinos LLC                                                  | Station Casinos LLC, 1st Lien Term Loan B                                                        | CUSIP: 85769EBB6<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |    1169051 | PA      | $1168653.16    | 0.00%             | 2031-03-14      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Shutterfly Finance LLC                                               | Shutterfly Finance LLC                                                                           | CUSIP: 82568NAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1386201 | PA      | $1296569.24    | 0.01%             | 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        |     154640 | PA      | $153866.80     | 0.00%             | 2027-10-01      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                 | Siemens Financieringsmaatschappij NV                                                             | CUSIP: 82620KAM5<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $1509494.82    | 0.01%             | 2046-09-15      | Fixed         | 3.30%                 | 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        |    3250665 | PA      | $3223847.01    | 0.01%             | 2031-03-28      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class D                                | CUSIP: 82650BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1790556 | PA      | $1890481.81    | 0.01%             | 2040-04-20      | Fixed         | 9.72%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class D                                | CUSIP: 82650TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1185754 | PA      | $1217366.24    | 0.00%             | 2040-06-20      | Fixed         | 9.22%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-1A, Class D                                | CUSIP: 82652TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2446141 | PA      | $2446712.58    | 0.01%             | 2038-10-20      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class D                                | CUSIP: 82653BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2188787 | PA      | $2237662.57    | 0.01%             | 2041-08-20      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                          | Sigeco Securitization I LLC, Series A1                                                           | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     640549 | PA      | $660116.95     | 0.00%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                          | Sigeco Securitization I LLC, Series A2                                                           | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     298000 | PA      | $302690.25     | 0.00%             | 2041-05-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class D                                | CUSIP: 826934AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2085904 | PA      | $2168371.12    | 0.01%             | 2039-07-20      | Fixed         | 10.52%                | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-1A, Class D                                | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     791289 | PA      | $812973.18     | 0.00%             | 2043-01-20      | Fixed         | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class D                                | CUSIP: 826943AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1516275 | PA      | $1601881.14    | 0.01%             | 2040-01-20      | Fixed         | 9.80%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2023-3A, Class D                                | CUSIP: 826944AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1476330 | PA      | $1560041.67    | 0.01%             | 2040-09-20      | Fixed         | 9.44%                 | Yes           |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                              | Quikrete Holdings, Inc., 1st Lien Term Loan B-2                                                  | CUSIP: 74839XAK5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5096000 | PA      | $5093350.08    | 0.02%             | 2029-03-19      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                              | Simon Property Group LP                                                                          | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    5086000 | PA      | $3576436.50    | 0.01%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                      | Sinclair Television Group, Inc.                                                                  | CUSIP: 829259BF6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    3440000 | PA      | $2757538.40    | 0.01%             | 2032-12-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                  | Sirius XM Radio LLC                                                                              | CUSIP: 82966BAA3<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    2444000 | PA      | $2438201.68    | 0.01%             | 2032-04-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                  | Sirius XM Radio LLC                                                                              | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   15049000 | PA      | $15064203.70   | 0.06%             | 2029-07-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                  | Sirius XM Radio LLC                                                                              | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    3002000 | PA      | $2829626.06    | 0.01%             | 2030-07-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                  | Sirius XM Radio LLC                                                                              | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   12073000 | PA      | $11786188.98   | 0.05%             | 2028-07-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                        | Six Flags Entertainment Corp.                                                                    | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2365379.57    | 0.01%             | 2031-05-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                        | Six Flags Entertainment Corp.                                                                    | CUSIP: 83002YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3101000 | PA      | $3152752.59    | 0.01%             | 2032-05-01      | Fixed         | 6.62%                 | 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        |    8250000 | PA      | $8339109.49    | 0.03%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                            | South Bow USA Infrastructure Holdings LLC                                                        | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    4925000 | PA      | $5035829.20    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                              | Genesee & Wyoming, Inc., 1st Lien Term Loan                                                      | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |    6319464 | PA      | $6308783.82    | 0.02%             | 2031-04-10      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                        | Smyrna Ready Mix Concrete LLC                                                                    | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    6960000 | PA      | $7394192.64    | 0.03%             | 2031-11-15      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Snap, Inc.                                                           | Snap, Inc.                                                                                       | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     943000 | PA      | $939246.48     | 0.00%             | 2033-03-01      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    3734000 | PA      | $3556317.05    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    3095000 | PA      | $2842893.77    | 0.01%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   10679000 | PA      | $10563880.70   | 0.04%             | 2028-01-19      | Variable      | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    3000000 | PA      | $3120768.81    | 0.01%             | 2029-01-10      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   13063000 | PA      | $13935309.78   | 0.05%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   19245000 | PA      | $20536420.91   | 0.08%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   13035000 | PA      | $13567839.52   | 0.05%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                              | CUSIP: 83368RCN0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   19155000 | PA      | $19270610.58   | 0.07%             | 2037-04-10      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Solstice Advanced Materials, Inc.                                    | Solstice Advanced Materials, Inc.                                                                | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |    6507000 | PA      | $6577412.25    | 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        |    3417000 | PA      | $3359898.51    | 0.01%             | 2029-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Sonoco Products Co.                                                  | Sonoco Products Co.                                                                              | CUSIP: 835495AL6<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |   10589000 | PA      | $10120959.21   | 0.04%             | 2030-05-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                            | Soundview Home Loan Trust, Series 2007-OPT1, Class 2A1                                           | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     631268 | PA      | $428400.18     | 0.00%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                             | Republic of South Africa                                                                         | CUSIP: 836205BE3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2000000 | PA      | $2019000.00    | 0.01%             | 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        |    7049000 | PA      | $7579437.25    | 0.03%             | 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        |    6371000 | PA      | $6880680.00    | 0.03%             | 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        |    4998000 | PA      | $4998000.00    | 0.02%             | 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        |    2989332 | PA      | $1868332.54    | 0.01%             | 2029-07-06      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co., Series 06-E                                                      | CUSIP: 842400FF5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     437000 | PA      | $445731.83     | 0.00%             | 2037-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co., Series 08-A                                                      | CUSIP: 842400FH1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     277000 | PA      | $288996.22     | 0.00%             | 2038-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co., Series C                                                         | CUSIP: 842400GE7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1233000 | PA      | $915725.22     | 0.00%             | 2045-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co., Series C                                                         | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     971000 | PA      | $759971.38     | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co., Series 20A                                                       | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    8553000 | PA      | $5363744.87    | 0.02%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co.                                                                   | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4987000 | PA      | $4749359.97    | 0.02%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co.                                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    6850000 | PA      | $6730018.55    | 0.03%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co.                                                                   | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2399000 | PA      | $2438799.31    | 0.01%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co.                                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2060000 | PA      | $1982650.96    | 0.01%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co.                                                                   | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3540000 | PA      | $3708518.80    | 0.01%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co.                                                                   | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   14810000 | PA      | $15238393.47   | 0.06%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                       | Southern California Edison Co.                                                                   | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4547437.44    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Iridium Satellite LLC                                                | Iridium Satellite LLC, 1st Lien Term Loan B                                                      | CUSIP: 46269KAT1<br>LEI: 254900615BJ7139TFM33 | Long             | LON              | CORP              | US        |    4396828 | PA      | $4225747.60    | 0.02%             | 2030-09-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                          | Southern California Gas Co., Series XX                                                           | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     695000 | PA      | $659765.22     | 0.00%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                   | Southern Co. (The)                                                                               | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    1995000 | PA      | $2121975.07    | 0.01%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                       | Southern Co. Gas Capital Corp., Series 21A                                                       | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    9888000 | PA      | $6561607.98    | 0.03%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                       | Southern Co. Gas Capital Corp.                                                                   | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   14250000 | PA      | $15215345.87   | 0.06%             | 2033-09-15      | Fixed         | 5.75%                 | 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        |    5638195 | PA      | $5566533.85    | 0.02%             | 2029-10-19      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Southwestern Electric Power Co.                                      | Southwestern Electric Power Co., Series J                                                        | CUSIP: 845437BN1<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    1206000 | PA      | $949815.63     | 0.00%             | 2045-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Southwestern Electric Power Co.                                      | Southwestern Electric Power Co.                                                                  | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    2214000 | PA      | $2295628.39    | 0.01%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                  | Expand Energy Corp.                                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2501000 | PA      | $2497897.86    | 0.01%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                  | Expand Energy Corp.                                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2938000 | PA      | $2982607.30    | 0.01%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                  | Expand Energy Corp.                                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   37496000 | PA      | $37434125.23   | 0.14%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                | OneMain Finance Corp.                                                                            | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    7094000 | PA      | $7013549.93    | 0.03%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                                 | Sprint Capital Corp.                                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    4475000 | PA      | $4800550.39    | 0.02%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Block, Inc.                                                          | Block, Inc.                                                                                      | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |   12484000 | PA      | $12843027.36   | 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        |     881000 | PA      | $892550.79     | 0.00%             | 2030-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Block, Inc.                                                          | Block, Inc.                                                                                      | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     706000 | PA      | $717427.32     | 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        |    3855000 | PA      | $3926903.46    | 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        |    1057000 | PA      | $1054423.54    | 0.00%             | 2034-03-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                           | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    9999000 | PA      | $10581441.75   | 0.04%             | 2028-11-16      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                           | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    2916000 | PA      | $3024037.80    | 0.01%             | 2029-01-09      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                           | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1409890.16    | 0.01%             | 2027-07-06      | Variable      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                           | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    4030000 | PA      | $4105112.35    | 0.02%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                           | CUSIP: 853254DC1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    9918000 | PA      | $10546966.83   | 0.04%             | 2035-05-14      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                           | CUSIP: 85325C2L5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    5310000 | PA      | $5340107.70    | 0.02%             | 2037-01-13      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Standard Industries, Inc.                                            | Standard Industries, Inc.                                                                        | CUSIP: 853496AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3312000 | PA      | $3301654.64    | 0.01%             | 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        |    7169000 | PA      | $6916220.34    | 0.03%             | 2030-07-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Standard Industries, Inc.                                            | Standard Industries, Inc.                                                                        | CUSIP: 853496AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3539000 | PA      | $3267299.65    | 0.01%             | 2031-01-15      | Fixed         | 3.38%                 | 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        |    3886033 | PA      | $3775514.67    | 0.01%             | 2031-02-03      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Starwood Property Trust, Inc.                                        | Starwood Property Trust, Inc.                                                                    | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    5310000 | PA      | $5564115.36    | 0.02%             | 2029-04-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Montenegro                                               | Republic of Montenegro                                                                           | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |    2200000 | PA      | $2356068.00    | 0.01%             | 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        |    2625000 | PA      | $2748238.50    | 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        |    3463000 | PA      | $3449004.29    | 0.01%             | 2028-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                           | Street Capital Group, Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |    8795087 | PA      | $8795086.90    | 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        |   11361852 | PA      | $11645898.51   | 0.05%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Stream Innovations Issuer Trust                                      | Stream Innovations Issuer Trust, Series 2025-1A, Class D                                         | CUSIP: 86324XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2601662 | PA      | $2667422.01    | 0.01%             | 2045-09-15      | Fixed         | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                       | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A                         | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14744 | PA      | $14139.05      | 0.00%             | 2034-10-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class 3A5 | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175341 | PA      | $170280.08     | 0.00%             | 2033-09-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 1A  | CUSIP: 86359BBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     330807 | PA      | $330118.06     | 0.00%             | 2033-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A  | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25167 | PA      | $24840.70      | 0.00%             | 2033-12-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                | Sumitomo Mitsui Financial Group, Inc.                                                            | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1395000 | PA      | $1351824.36    | 0.01%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                | Sumitomo Mitsui Financial Group, Inc.                                                            | CUSIP: 86562MBW9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    3500000 | PA      | $3333071.81    | 0.01%             | 2030-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                | Sumitomo Mitsui Financial Group, Inc.                                                            | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    3000000 | PA      | $3092856.45    | 0.01%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                | Sumitomo Mitsui Financial Group, Inc.                                                            | CUSIP: 86562MDN7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $5273548.00    | 0.02%             | 2031-07-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                      | Sumitomo Mitsui Trust Bank Ltd.                                                                  | CUSIP: 86563VBE8<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    1642000 | PA      | $1670221.68    | 0.01%             | 2027-09-15      | Fixed         | 4.95%                 | 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        |    8049601 | PA      | $7772935.79    | 0.03%             | 2031-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                            | Sunoco LP                                                                                        | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    1392000 | PA      | $1443672.43    | 0.01%             | 2029-05-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                            | Sunoco LP                                                                                        | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    4085000 | PA      | $4316145.64    | 0.02%             | 2032-05-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                            | Sunoco LP                                                                                        | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    8650000 | PA      | $8724361.89    | 0.03%             | 2031-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                            | Sunoco LP                                                                                        | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1491000 | PA      | $1491669.46    | 0.01%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                            | Sunoco LP                                                                                        | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4227000 | PA      | $4164808.15    | 0.02%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Superior Plus LP                                                     | Superior Plus LP                                                                                 | CUSIP: 86828LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    3859000 | PA      | $3749445.31    | 0.01%             | 2029-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Suriname Government International Bond                               | Suriname Government International Bond                                                           | CUSIP: 86886PAE2<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |    6190000 | PA      | $6373781.10    | 0.02%             | 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        |    8515000 | PA      | $9094020.00    | 0.04%             | 2035-11-06      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Svenska Handelsbanken AB                                             | Svenska Handelsbanken AB                                                                         | CUSIP: 86959LAP8<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |   14707000 | PA      | $15206451.48   | 0.06%             | 2028-06-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Synopsys, Inc.                                                       | Synopsys, Inc.                                                                                   | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    9252000 | PA      | $9539418.93    | 0.04%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                       | Synopsys, Inc.                                                                                   | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    6004000 | PA      | $6000529.45    | 0.02%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Sysco Corp.                                                          | Sysco Corp.                                                                                      | CUSIP: 871829BU0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    3885000 | PA      | $4033013.80    | 0.02%             | 2030-09-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                                               | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   11295000 | PA      | $10869700.33   | 0.04%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   14785000 | PA      | $14516924.29   | 0.06%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                                               | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $5469505.91    | 0.02%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                                               | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2372515.23    | 0.01%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                                               | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1890000 | PA      | $1802576.18    | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                   | T-Mobile USA, Inc.                                                                               | CUSIP: 87264ADV4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2918000 | PA      | $3302217.12    | 0.01%             | 2033-12-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| TSMC Arizona Corp.                                                   | TSMC Arizona Corp.                                                                               | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    6873000 | PA      | $6368246.88    | 0.02%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                                  | Take-Two Interactive Software, Inc.                                                              | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     831000 | PA      | $828777.14     | 0.00%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                                  | Take-Two Interactive Software, Inc.                                                              | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    3301000 | PA      | $3421450.09    | 0.01%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                                  | Take-Two Interactive Software, Inc.                                                              | CUSIP: 874054AN9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   13544000 | PA      | $14113204.61   | 0.05%             | 2034-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                       | Takeda Pharmaceutical Co. Ltd.                                                                   | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    5254000 | PA      | $3604053.07    | 0.01%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                         | Tallgrass Energy Partners LP                                                                     | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5540000 | PA      | $5534600.72    | 0.02%             | 2028-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Moran Foods LLC                                                      | Moran Foods LLC, 1st Lien Term Loan A                                                            | CUSIP: 61647DAX0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     287867 | PA      | $273473.57     | 0.00%             | 2029-01-02      | Variable      | 6.13%                 | No            |                  3 | On Loan: No      |
| Moran Foods LLC                                                      | Moran Foods LLC, 1st Lien Term Loan                                                              | CUSIP: 61647DAY8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     271396 | PA      | $257826.61     | 0.00%             | 2029-01-02      | Variable      | 12.13%                | No            |                  3 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                  | Teachers Insurance & Annuity Association of America                                              | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     777000 | PA      | $651176.04     | 0.00%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| TEGNA, Inc.                                                          | TEGNA, Inc.                                                                                      | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    5704000 | PA      | $5698600.02    | 0.02%             | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEGNA, Inc.                                                          | TEGNA, Inc.                                                                                      | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    4371000 | PA      | $4358620.50    | 0.02%             | 2028-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Somnigroup International, Inc.                                       | Somnigroup International, Inc.                                                                   | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |    9283000 | PA      | $9021526.67    | 0.03%             | 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        |    1502000 | PA      | $1502874.51    | 0.01%             | 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        |    6081000 | PA      | $6072671.46    | 0.02%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                               | Tenet Healthcare Corp.                                                                           | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    4810000 | PA      | $4735356.98    | 0.02%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                               | Tenet Healthcare Corp.                                                                           | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   12958000 | PA      | $13216434.35   | 0.05%             | 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        |    5480000 | PA      | $5689744.53    | 0.02%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Axalta Coating Systems US Holdings, Inc.                             | Axalta Coating Systems US Holdings, Inc., 1st Lien Term Loan B-7                                 | CUSIP: 90347BAP3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4049613 | PA      | $4047587.81    | 0.02%             | 2029-12-20      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                          | Terex Corp.                                                                                      | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    1085000 | PA      | $1083205.84    | 0.00%             | 2029-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Terex Corp.                                                          | Terex Corp.                                                                                      | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    3242000 | PA      | $3338832.06    | 0.01%             | 2032-10-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                       | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2       | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     855000 | PA      | $890903.42     | 0.00%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  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        |    2431393 | PA      | $1647268.75    | 0.01%             | 2031-12-31      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| USI, Inc.                                                            | USI, Inc., 1st Lien Term Loan                                                                    | CUSIP: 90351NAQ8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5209231 | PA      | $5176673.46    | 0.02%             | 2030-09-27      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                | Time Warner Cable LLC                                                                            | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7750000 | PA      | $6932222.33    | 0.03%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TopBuild Corp.                                                       | TopBuild Corp.                                                                                   | CUSIP: 89055FAD5<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |    2341000 | PA      | $2361019.86    | 0.01%             | 2034-01-31      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                          | Toronto-Dominion Bank (The)                                                                      | CUSIP: 89115A2U5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1694000 | PA      | $1755236.00    | 0.01%             | 2028-07-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                          | Toronto-Dominion Bank (The)                                                                      | CUSIP: 89115A2Y7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    6990000 | PA      | $7203164.94    | 0.03%             | 2029-04-05      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                               | TotalEnergies Capital International SA                                                           | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    4998000 | PA      | $3668052.69    | 0.01%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                               | TotalEnergies Capital International SA                                                           | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    6549000 | PA      | $4485589.54    | 0.02%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital SA                                             | TotalEnergies Capital SA                                                                         | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    5910000 | PA      | $5841525.50    | 0.02%             | 2054-04-05      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital SA                                             | TotalEnergies Capital SA                                                                         | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    7610000 | PA      | $7538816.52    | 0.03%             | 2064-04-05      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital SA                                             | TotalEnergies Capital SA                                                                         | CUSIP: 89157XAE1<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    6340000 | PA      | $6089584.01    | 0.02%             | 2054-09-10      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                            | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     996217 | PA      | $987917.54     | 0.00%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                              | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32618727 | PA      | $30051466.77   | 0.12%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                             | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29122341 | PA      | $24617027.48   | 0.10%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2026-CES1, Class A1                                            | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36748794 | PA      | $36943257.91   | 0.14%             | 2066-01-25      | Variable      | 4.96%                 | 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        |    3474775 | PA      | $3452571.43    | 0.01%             | 2031-01-30      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                           | TransCanada PipeLines Ltd.                                                                       | CUSIP: 89352HAB5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     800000 | PA      | $852650.87     | 0.00%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                           | TransCanada PipeLines Ltd.                                                                       | CUSIP: 89352HAM1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   11000000 | PA      | $10937489.31   | 0.04%             | 2034-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Transcanada Trust                                                    | Transcanada Trust                                                                                | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |   16507000 | PA      | $16686266.02   | 0.06%             | 2079-09-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                      | TransDigm, Inc.                                                                                  | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    6390000 | PA      | $6650411.67    | 0.03%             | 2030-12-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                                      | TransDigm, Inc.                                                                                  | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    3139000 | PA      | $3224321.16    | 0.01%             | 2029-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                                      | TransDigm, Inc.                                                                                  | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    4277000 | PA      | $4430937.78    | 0.02%             | 2032-03-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                                      | TransDigm, Inc.                                                                                  | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     948000 | PA      | $980704.10     | 0.00%             | 2034-01-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Genesys Cloud Services, Inc.                                         | Genesys Cloud Services, Inc., 1st Lien Term Loan                                                 | CUSIP: 39479UAY9<br>LEI: 254900CRMBG6WX4HX396 | Long             | LON              | CORP              | US        |    9880267 | PA      | $9065144.87    | 0.04%             | 2032-01-30      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd.                                               | HUB International Ltd., 1st Lien Term Loan                                                       | CUSIP: 44332EAZ9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4347500 | PA      | $4294982.11    | 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        |    3573000 | PA      | $3569355.54    | 0.01%             | 2032-02-10      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                               | Triad Holdings III LLC                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   26585151 | PA      | $26851002.57   | 0.10%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Triad Properties Corp.                                               | Triad Properties Corp.                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   32208933 | PA      | $33336245.67   | 0.13%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon American Homes Trust                                          | Tricon American Homes Trust, Series 2019-SFR1, Class F                                           | CUSIP: 89612LAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6796000 | PA      | $6778797.29    | 0.03%             | 2038-03-17      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| TriMas Corp.                                                         | TriMas Corp.                                                                                     | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |    3262000 | PA      | $3148674.53    | 0.01%             | 2029-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Trinidad Generation UnLtd                                            | Trinidad Generation UnLtd                                                                        | CUSIP: 89636DAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | TT        |    3473000 | PA      | $3654429.52    | 0.01%             | 2033-06-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Trinity Industries, Inc.                                             | Trinity Industries, Inc.                                                                         | CUSIP: 896522AJ8<br>LEI: R1JB4KXN77XFCXOQKV49 | Long             | DBT              | CORP              | US        |    3520000 | PA      | $3621488.64    | 0.01%             | 2028-07-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Primo Brands Corp.                                                   | Primo Brands Corp., 1st Lien Term Loan                                                           | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    7562190 | PA      | $7554098.88    | 0.03%             | 2028-03-31      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                               | Truist Financial Corp.                                                                           | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   17311000 | PA      | $17755978.91   | 0.07%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                               | Truist Financial Corp.                                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    7816000 | PA      | $7855052.41    | 0.03%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                               | Truist Financial Corp.                                                                           | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    4385000 | PA      | $4691282.30    | 0.02%             | 2034-06-08      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                               | Truist Financial Corp.                                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    6330000 | PA      | $6814510.10    | 0.03%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                               | Truist Financial Corp.                                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3904640.45    | 0.02%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                               | Truist Financial Corp.                                                                           | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $3235371.37    | 0.01%             | 2036-10-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Tucson Electric Power Co.                                            | Tucson Electric Power Co.                                                                        | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1195736.06    | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                            | Republic of Turkiye (The)                                                                        | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    4000000 | PA      | $4284000.00    | 0.02%             | 2034-05-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| TC Ziraat Bankasi A/S                                                | TC Ziraat Bankasi A/S                                                                            | CUSIP: 90014TAM3<br>LEI: 213800K5KTZFSUS8MR51 | Long             | DBT              | CORP              | TR        |    2641000 | PA      | $2742018.25    | 0.01%             | 2030-02-04      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| 20 Times Square Trust                                                | 20 Times Square Trust, Series 2018-20TS, Class F                                                 | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23414363 | PA      | $21072926.70   | 0.08%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Coherent Corp.                                                       | Coherent Corp.                                                                                   | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |    6307000 | PA      | $6310399.47    | 0.02%             | 2029-12-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   27883000 | PA      | $26947335.19   | 0.10%             | 2030-08-13      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   11213000 | PA      | $11303152.63   | 0.04%             | 2028-05-12      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2250000 | PA      | $2631359.25    | 0.01%             | 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        |    2230000 | PA      | $2430857.95    | 0.01%             | 2028-11-13      | Variable      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1107000 | PA      | $1147406.80    | 0.00%             | 2030-02-08      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                     | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2683000 | PA      | $2808977.02    | 0.01%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                            | UDR, Inc.                                                                                        | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     923000 | PA      | $803261.94     | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                            | UDR, Inc.                                                                                        | CUSIP: 90265EAW0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4524891.84    | 0.02%             | 2034-09-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UOG ABS Issuer I LLC                                                 | UOG ABS Issuer LLC, Series 2023-1, Class A1                                                      | CUSIP: 90319TAA1<br>LEI: 254900YID84NR2CXVT21 | Long             | ABS-O            | CORP              | US        |   13327507 | PA      | $13869936.68   | 0.05%             | 2040-06-05      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| UPG HI Issuer Trust                                                  | UPG HI Issuer Trust, Series 2025-2, Class A                                                      | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11892448 | PA      | $11979540.77   | 0.05%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                              | Uber Technologies, Inc.                                                                          | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   21125000 | PA      | $21186241.59   | 0.08%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                              | Uber Technologies, Inc.                                                                          | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1373189.04    | 0.01%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                              | Uber Technologies, Inc.                                                                          | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   15220000 | PA      | $15150458.91   | 0.06%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| US Auto Funding                                                      | US Auto Funding, Series 2021-1A, Class D                                                         | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10500000 | PA      | $105.00        | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding Trust                                                | US Auto Funding Trust, Series 2022-1A, Class D                                                   | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16000000 | PA      | $160.00        | 0.00%             | 2027-07-15      | Fixed         | 9.14%                 | Yes           |                  3 | 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        |    7806856 | PA      | $7790071.06    | 0.03%             | 2028-04-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                        | UniCredit SpA                                                                                    | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    4300000 | PA      | $4612819.32    | 0.02%             | 2034-04-02      | Variable      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| UniCredit SpA                                                        | UniCredit SpA                                                                                    | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     690000 | PA      | $686256.23     | 0.00%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                   | Union Electric Co.                                                                               | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    1991000 | PA      | $1604532.31    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                   | Union Electric Co.                                                                               | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    1262000 | PA      | $981753.45     | 0.00%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                   | Union Electric Co.                                                                               | CUSIP: 906548CX8<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    3765000 | PA      | $3587862.36    | 0.01%             | 2054-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                   | Union Electric Co.                                                                               | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    2310000 | PA      | $2411325.45    | 0.01%             | 2034-04-01      | Fixed         | 5.20%                 | 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        |    2343225 | PA      | $2279442.42    | 0.01%             | 2030-10-08      | Variable      | 9.92%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                      | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7453932 | PA      | $7347993.21    | 0.03%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                      | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     997087 | PA      | $991847.45     | 0.00%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2019-1, Class A                                       | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1189708 | PA      | $1167442.47    | 0.00%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2016-1, Class AA                                      | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     728518 | PA      | $713377.78     | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2018-1, Class A                                       | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     771782 | PA      | $743421.95     | 0.00%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2016-2, Class A                                       | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3598830 | PA      | $3472248.05    | 0.01%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                      | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1052670 | PA      | $1023604.87    | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                      | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1321572 | PA      | $1238539.67    | 0.00%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                | United Airlines, Inc.                                                                            | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    4915000 | PA      | $4911290.16    | 0.02%             | 2029-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2014-1, Class A                                       | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1558650 | PA      | $1558130.29    | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2014-2, Class A                                       | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     662633 | PA      | $661278.72     | 0.00%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                   | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                      | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6420341 | PA      | $6713819.20    | 0.03%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Holdings, Inc.                                       | United Airlines Holdings, Inc.                                                                   | CUSIP: 910047AM1<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |    1445000 | PA      | $1455423.07    | 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        |    3244000 | PA      | $3242113.61    | 0.01%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                   | United Rentals North America, Inc.                                                               | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    4495000 | PA      | $4544795.61    | 0.02%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                   | United Rentals North America, Inc.                                                               | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    6480000 | PA      | $6304884.48    | 0.02%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                   | United Rentals North America, Inc.                                                               | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    4355000 | PA      | $4562219.61    | 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        |    5237000 | PA      | $5279700.51    | 0.02%             | 2033-11-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| US Bancorp                                                           | US Bancorp                                                                                       | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2740000 | PA      | $2842363.63    | 0.01%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                           | US Bancorp                                                                                       | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    1830000 | PA      | $1942693.58    | 0.01%             | 2035-01-23      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                           | US Bancorp                                                                                       | CUSIP: 91159HJS0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6209062.62    | 0.02%             | 2030-07-23      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                           | US Bancorp                                                                                       | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    6720000 | PA      | $6951838.99    | 0.03%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                   | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10228 | PA      | $10224.22      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                   | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96179 | PA      | $97228.72      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1999-1, Class 2Z                                                   | CUSIP: 911760MJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18029 | PA      | $18202.03      | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40952900 | PA      | $34904348.74   | 0.14%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11820800 | PA      | $10529747.00   | 0.04%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63896200 | PA      | $57753678.75   | 0.22%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47111000 | PA      | $40198932.97   | 0.16%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66978500 | PA      | $49161172.80   | 0.19%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  141111000 | PA      | $110160286.17  | 0.43%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   93565600 | PA      | $71870076.50   | 0.28%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101186000 | PA      | $82964615.35   | 0.32%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  109110800 | PA      | $70917758.13   | 0.27%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96228000 | PA      | $63164660.63   | 0.24%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61230000 | PA      | $41112596.33   | 0.16%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30232000 | PA      | $17643206.25   | 0.07%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  174542400 | PA      | $114584359.25  | 0.44%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46602700 | PA      | $35403488.66   | 0.14%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45879000 | PA      | $33104565.94   | 0.13%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28956400 | PA      | $18318316.40   | 0.07%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  136621300 | PA      | $128872310.64  | 0.50%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25275000 | PA      | $24861319.27   | 0.10%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110957200 | PA      | $114207899.77  | 0.44%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  204597900 | PA      | $199882556.75  | 0.77%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   86410000 | PA      | $89879901.56   | 0.35%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  183364000 | PA      | $175592518.43  | 0.68%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  165946500 | PA      | $163213309.70  | 0.63%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  345545000 | PA      | $347704656.25  | 1.35%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  214794300 | PA      | $220675971.51  | 0.85%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58850000 | PA      | $60236193.51   | 0.23%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46970000 | PA      | $49549680.70   | 0.19%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  245935000 | PA      | $247212708.56  | 0.96%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  141586000 | PA      | $117449650.52  | 0.45%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30160067 | PA      | $22447729.20   | 0.09%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63558000 | PA      | $33455277.42   | 0.13%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37080506 | PA      | $19221767.49   | 0.07%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  129382795 | PA      | $63615749.05   | 0.25%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10407354 | PA      | $4960990.31    | 0.02%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18491716 | PA      | $8674029.24    | 0.03%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7625200 | PA      | $3472614.37    | 0.01%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24977262 | PA      | $10738631.11   | 0.04%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Steel Corp.                                            | United States Steel Corp.                                                                        | CUSIP: 912909AU2<br>LEI: JNLUVFYJT1OZSIQ24U47 | Long             | DBT              | CORP              | US        |    2578000 | PA      | $2573448.57    | 0.01%             | 2029-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                            | RTX Corp.                                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3088000 | PA      | $2845552.44    | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                             | UnitedHealth Group, Inc.                                                                         | CUSIP: 91324PCA8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     598000 | PA      | $501012.98     | 0.00%             | 2042-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                             | UnitedHealth Group, Inc.                                                                         | CUSIP: 91324PDF6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1088000 | PA      | $836049.28     | 0.00%             | 2047-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                             | UnitedHealth Group, Inc.                                                                         | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     782000 | PA      | $567689.22     | 0.00%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                             | UnitedHealth Group, Inc.                                                                         | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1898000 | PA      | $1299739.58    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                             | UnitedHealth Group, Inc.                                                                         | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      89000 | PA      | $90512.99      | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                             | UnitedHealth Group, Inc.                                                                         | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    5042000 | PA      | $4583532.30    | 0.02%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Uzbekneftegaz JSC                                                    | Uzbekneftegaz JSC                                                                                | CUSIP: 91825MAB9<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | NUSS              | UZ        |    2500000 | PA      | $2448050.00    | 0.01%             | 2028-11-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                          | vMobo, Inc.                                                                                      | CUSIP: 91834VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55000000 | PA      | $53489700.00   | 0.21%             | 2027-07-18      | Fixed         | 9.46%                 | No            |                  3 | On Loan: No      |
| Vail Resorts, Inc.                                                   | Vail Resorts, Inc.                                                                               | CUSIP: 91879QAP4<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6524847.00    | 0.03%             | 2032-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Valaris Ltd.                                                         | Valaris Ltd.                                                                                     | CUSIP: 91889FAC5<br>LEI: 5299008BQ9IREYWBTS30 | Long             | DBT              | CORP              | BM        |    3470000 | PA      | $3639034.11    | 0.01%             | 2030-04-30      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Ventas Realty LP                                                     | Ventas Realty LP                                                                                 | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     600000 | PA      | $598860.90     | 0.00%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                     | Ventas Realty LP                                                                                 | CUSIP: 92277GAX5<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    3311000 | PA      | $3490489.48    | 0.01%             | 2034-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                   | Venture Global Plaquemines LNG LLC                                                               | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    8986000 | PA      | $9457037.13    | 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        |    1915000 | PA      | $2039879.07    | 0.01%             | 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        |    1624000 | PA      | $1687024.19    | 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        |    1144000 | PA      | $1201155.38    | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                    | Venture Global Calcasieu Pass LLC                                                                | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    3416000 | PA      | $3272630.82    | 0.01%             | 2029-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                    | Venture Global Calcasieu Pass LLC                                                                | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    8383000 | PA      | $7461025.09    | 0.03%             | 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        |    6507000 | PA      | $6676735.10    | 0.03%             | 2028-06-01      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                             | Venture Global LNG, Inc.                                                                         | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    5119000 | PA      | $5242047.50    | 0.02%             | 2031-06-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                             | Venture Global LNG, Inc.                                                                         | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    4225000 | PA      | $4531536.43    | 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        |    3320000 | PA      | $3517337.48    | 0.01%             | 2032-02-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                             | Venture Global LNG, Inc.                                                                         | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    2435000 | PA      | $2469951.99    | 0.01%             | 2030-01-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Verdant Receivables LLC                                              | Verdant Receivables LLC, Series 2023-1A, Class A2                                                | CUSIP: 92339GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7034248 | PA      | $7150644.75    | 0.03%             | 2031-01-13      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Asurion LLC                                                          | Asurion LLC, 1st Lien Term Loan B-13                                                             | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    1049725 | PA      | $1046313.39    | 0.00%             | 2030-09-19      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                  | Viking Cruises Ltd.                                                                              | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   10891000 | PA      | $11110562.56   | 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        |   10284000 | PA      | $10313921.71   | 0.04%             | 2029-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Virgin Media Secured Finance plc                                     | Virgin Media Secured Finance plc                                                                 | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    2423000 | PA      | $2352320.36    | 0.01%             | 2029-05-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                      | Virginia Electric and Power Co.                                                                  | CUSIP: 927804FE9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     229000 | PA      | $254192.91     | 0.00%             | 2037-11-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                      | Virginia Electric and Power Co.                                                                  | CUSIP: 927804FG4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     651000 | PA      | $870942.22     | 0.00%             | 2038-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC                               | Virginia Power Fuel Securitization LLC, Series A-2                                               | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    1085000 | PA      | $1117616.98    | 0.00%             | 2031-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4561000 | PA      | $4559415.96    | 0.02%             | 2027-02-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $4856414.14    | 0.02%             | 2029-07-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    6294000 | PA      | $6284924.05    | 0.02%             | 2027-07-31      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    3403000 | PA      | $3366738.65    | 0.01%             | 2029-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4605000 | PA      | $4866379.80    | 0.02%             | 2031-10-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   28434000 | PA      | $30143395.21   | 0.12%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   15150000 | PA      | $15314449.16   | 0.06%             | 2026-12-30      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1152000 | PA      | $1159289.86    | 0.00%             | 2030-10-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAX0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   30163000 | PA      | $30194098.05   | 0.12%             | 2028-10-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAY8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    8570000 | PA      | $8619032.57    | 0.03%             | 2031-01-31      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                        | CUSIP: 92840VAZ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    6030000 | PA      | $6071745.69    | 0.02%             | 2036-01-31      | Fixed         | 5.35%                 | 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        |   24928750 | PA      | $25224306.81   | 0.10%             | 2031-08-15      | Fixed         | 9.50%                 | Yes           |                  3 | On Loan: No      |
| Volkswagen Group of America Finance LLC                              | Volkswagen Group of America Finance LLC                                                          | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    9214000 | PA      | $9331790.76    | 0.04%             | 2028-11-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                              | Volkswagen Group of America Finance LLC                                                          | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   11216000 | PA      | $11398342.10   | 0.04%             | 2028-03-27      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                              | Volkswagen Group of America Finance LLC                                                          | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   18911000 | PA      | $19602906.02   | 0.08%             | 2030-03-27      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     384569 | PA      | $384707.56     | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                          | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41023 | PA      | $40450.96      | 0.00%             | 2033-08-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                        | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31342 | PA      | $30857.90      | 0.00%             | 2033-09-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A21                       | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9629 | PA      | $9732.17       | 0.00%             | 2045-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                         | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12048 | PA      | $11588.35      | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111258 | PA      | $107017.91     | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                         | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89890 | PA      | $89208.48      | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A                         | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81730 | PA      | $76471.38      | 0.00%             | 2034-10-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                       | WP Carey, Inc.                                                                                   | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    2092000 | PA      | $2092732.03    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                       | WP Carey, Inc.                                                                                   | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    2796000 | PA      | $2386614.29    | 0.01%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                        | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5886969 | PA      | $5298154.51    | 0.02%             | 2045-03-15      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| WR Grace Holdings LLC                                                | WR Grace Holdings LLC                                                                            | CUSIP: 92943GAF8<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $3247322.67    | 0.01%             | 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        |     594000 | PA      | $604781.10     | 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 D                                         | CUSIP: 92987LAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6095000 | PA      | $6397941.61    | 0.02%             | 2040-07-15      | Variable      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Wand NewCo 3, Inc.                                                   | Wand NewCo 3, Inc.                                                                               | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |    2284000 | PA      | $2383264.28    | 0.01%             | 2032-01-30      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| SPX FLOW, Inc.                                                       | SPX FLOW, Inc., 1st Lien Term Loan                                                               | CUSIP: 78470DAW8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3081633 | PA      | $3080246.05    | 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        |    9278652 | PA      | $9278652.20    | 0.04%             | 2032-08-12      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                            | First Student Bidco, Inc., 1st Lien Term Loan B                                                  | CUSIP: 33718FAN0<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |    3302458 | PA      | $3296281.92    | 0.01%             | 2030-08-15      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7       | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187604 | PA      | $176036.12     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust       | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2004-RA1, Class 2A        | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64374 | PA      | $67386.46      | 0.00%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                            | First Student Bidco, Inc., 1st Lien Term Loan C                                                  | CUSIP: 33718FAP5<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |     604268 | PA      | $603137.52     | 0.00%             | 2030-08-15      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                          | Terex Corp., 1st Lien Term Loan                                                                  | CUSIP: 88078FBQ0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2605345 | PA      | $2605345.31    | 0.01%             | 2031-10-08      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Knowlton Development Corp., Inc.                                     | Knowlton Development Corp., Inc., 1st Lien Term Loan                                             | CUSIP: C4953EAH8<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    3507397 | PA      | $3468675.37    | 0.01%             | 2028-08-15      | Variable      | 7.17%                 | 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        |    6542166 | PA      | $6180973.10    | 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        |    5468000 | PA      | $5650860.86    | 0.02%             | 2029-10-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| NCR Atleos LLC                                                       | NCR Atleos LLC, 1st Lien Term Loan B                                                             | CUSIP: 63001PAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1482667 | PA      | $1478960.00    | 0.01%             | 2029-04-16      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Varsity Brands, Inc.                                                 | Varsity Brands, Inc., 1st Lien Term Loan                                                         | CUSIP: 92227QAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4727693 | PA      | $4712942.92    | 0.02%             | 2031-08-26      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                  | Buckeye Partners LP, 1st Lien Term Loan B-7                                                      | CUSIP: 11823LAR6<br>LEI: 549300C1PQJLVEIUBK50 | Long             | LON              | CORP              | US        |    8512680 | PA      | $8530386.84    | 0.03%             | 2032-11-22      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-U, Class A1                            | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46048 | PA      | $45633.05      | 0.00%             | 2034-10-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-K, Class 1A2                           | CUSIP: 94981VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19265 | PA      | $19700.49      | 0.00%             | 2034-07-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    8228000 | PA      | $8184500.62    | 0.03%             | 2028-05-22      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6796000 | PA      | $6396368.49    | 0.02%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11450000 | PA      | $8938842.79    | 0.03%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1942000 | PA      | $1903767.13    | 0.01%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    8999000 | PA      | $9309935.52    | 0.04%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   26791000 | PA      | $28191419.42   | 0.11%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   17050000 | PA      | $17981300.33   | 0.07%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11435000 | PA      | $12697388.21   | 0.05%             | 2034-10-23      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   17119000 | PA      | $17577871.71   | 0.07%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   10875000 | PA      | $11282477.55   | 0.04%             | 2031-01-24      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   25625000 | PA      | $26950574.84   | 0.10%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   47331000 | PA      | $48998706.84   | 0.19%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U4B6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   21985000 | PA      | $22048922.93   | 0.09%             | 2036-09-15      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95000U4E0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9975000 | PA      | $10012930.04   | 0.04%             | 2037-01-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                                | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   14430000 | PA      | $15218570.64   | 0.06%             | 2029-09-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                             | WESCO Distribution, Inc.                                                                         | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    3142000 | PA      | $3164920.89    | 0.01%             | 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        |    4467000 | PA      | $4592205.54    | 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        |    2400000 | PA      | $2496645.60    | 0.01%             | 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        |    1055000 | PA      | $1099965.16    | 0.00%             | 2033-03-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                             | WESCO Distribution, Inc.                                                                         | CUSIP: 95081QAT1<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     847000 | PA      | $845500.81     | 0.00%             | 2031-04-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                              | Talen Energy Supply LLC, 1st Lien Term Loan B                                                    | CUSIP: 87422LBA7<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    1177500 | PA      | $1179560.63    | 0.00%             | 2032-11-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                                           | Elanco Animal Health, Inc., 1st Lien Term Loan B                                                 | CUSIP: 28414BAJ5<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |    1514790 | PA      | $1514471.82    | 0.01%             | 2032-10-29      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2023-1A, Class C                                                    | CUSIP: 96033EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1846558 | PA      | $1884662.79    | 0.01%             | 2037-12-20      | Fixed         | 7.49%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2024-1A, Class D                                                    | CUSIP: 96034KAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4407629 | PA      | $4502928.04    | 0.02%             | 2038-01-20      | Fixed         | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2023-4A, Class D                                   | CUSIP: 96041AAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15900000 | PA      | $16504987.05   | 0.06%             | 2029-07-16      | Fixed         | 7.19%                 | 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        |   18976000 | PA      | $19449828.82   | 0.08%             | 2029-03-15      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| AWS Claire's LLC                                                     | AWS Claire's LLC, 1st Lien Term Loan                                                             | CUSIP: 05455VAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     132480 | PA      | $132479.98     | 0.00%             | 2030-09-18      | Variable      | 10.00%                | No            |                  3 | On Loan: No      |
| Williams Cos., Inc. (The)                                            | Williams Cos., Inc. (The)                                                                        | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    6850000 | PA      | $6933840.23    | 0.03%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                            | Williams Cos., Inc. (The)                                                                        | CUSIP: 969457CL2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3410000 | PA      | $3495122.81    | 0.01%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                            | Williams Cos., Inc. (The)                                                                        | CUSIP: 969457CN8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $10941329.96   | 0.04%             | 2054-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Williams Scotsman, Inc.                                              | Williams Scotsman, Inc.                                                                          | CUSIP: 96949VAL7<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2303294.40    | 0.01%             | 2031-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Williams Scotsman, Inc.                                              | Williams Scotsman, Inc.                                                                          | CUSIP: 96950GAE2<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |    2210000 | PA      | $2197523.00    | 0.01%             | 2028-08-15      | Fixed         | 4.62%                 | Yes           |                  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        |     990667 | PA      | $988239.53     | 0.00%             | 2033-01-26      | Variable      | 5.92%                 | 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        |    2587992 | PA      | $2481237.05    | 0.01%             | 2031-02-03      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                                         | Wolf Energy Asset Issuer LLC                                                                     | CUSIP: 977701AE1<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |    7287136 | PA      | $7287135.64    | 0.03%             | 2050-07-25      | Fixed         | 5.70%                 | No            |                  3 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                                         | Wolf Energy Asset Issuer LLC                                                                     | CUSIP: 977701AG6<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |    4188117 | PA      | $4188117.14    | 0.02%             | 2050-07-25      | Fixed         | 6.61%                 | No            |                  3 | On Loan: No      |
| WULF Compute LLC                                                     | WULF Compute LLC                                                                                 | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6807000 | PA      | $7208708.30    | 0.03%             | 2030-10-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Wyeth LLC                                                            | Wyeth LLC                                                                                        | CUSIP: 983024AN0<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |    1068000 | PA      | $1168116.39    | 0.00%             | 2037-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Wynn Las Vegas LLC                                                   | Wynn Las Vegas LLC                                                                               | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2801000 | PA      | $2808876.41    | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC                                             | Wynn Resorts Finance LLC                                                                         | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13421000 | PA      | $13497580.23   | 0.05%             | 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        |    1979000 | PA      | $2021030.00    | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| XPO, Inc.                                                            | XPO, Inc.                                                                                        | CUSIP: 98379KAB8<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |    6935000 | PA      | $7206255.59    | 0.03%             | 2031-06-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                    | Xcel Energy, Inc.                                                                                | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    2185000 | PA      | $2121425.68    | 0.01%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Glencore Finance Canada Ltd.                                         | Glencore Finance Canada Ltd.                                                                     | CUSIP: 98417EAC4<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |      98000 | PA      | $112506.04     | 0.00%             | 2037-11-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                 | Xerox Holdings Corp.                                                                             | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |    3235000 | PA      | $922935.80     | 0.00%             | 2029-11-30      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Yinson Bergenia Production BV                                        | Yinson Bergenia Production BV                                                                    | CUSIP: 98585VAA6<br>LEI: 549300JDIAWKPMZD5256 | Long             | DBT              | CORP              | NL        |    5941907 | PA      | $6321446.74    | 0.02%             | 2045-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Zimmer Biomet Holdings, Inc.                                         | Zimmer Biomet Holdings, Inc.                                                                     | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |   11450000 | PA      | $11982902.47   | 0.05%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                         | Zoetis, Inc.                                                                                     | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    1942000 | PA      | $1793930.60    | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                         | Zoetis, Inc.                                                                                     | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $2005379.23    | 0.01%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                         | Zoetis, Inc.                                                                                     | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    6230000 | PA      | $6355246.67    | 0.02%             | 2035-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGI Operating Co. LLC                                                | FGI Operating Co. LLC, 1st Lien Term Loan                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     122458 | PA      | $1224.58       | 0.00%             | 2026-12-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Moran Foods LLC                                                      | Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      35661 | PA      | $33878.41      | 0.00%             | 2026-06-30      | Variable      | 15.23%                | No            |                  3 | On Loan: No      |
| Medline Borrower LP                                                  | Medline Borrower LP, 1st Lien Term Loan                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     421279 | PA      | $421733.52     | 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        |   24000000 | PA      | $23970000.00   | 0.09%             | 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        |   39968000 | PA      | $39968000.00   | 0.15%             | 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        |   16489017 | PA      | $16535680.92   | 0.06%             | 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        |    6964405 | PA      | $6984114.27    | 0.03%             | 2030-09-19      | Fixed         | 11.16%                | No            |                  3 | On Loan: No      |
| P4 SFR                                                               | P4 SFR                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   14227980 | PA      | $14141189.35   | 0.05%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Jonah                                                                | Jonah                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   15384480 | PA      | $15627554.34   | 0.06%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Camden                                                               | Camden                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   19746716 | PA      | $19511729.94   | 0.08%             | 2031-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Areit Frn                                                            | Areit Frn                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   30000000 | PA      | $29763000.00   | 0.12%             | 2026-10-17      | Fixed         | 0.00%                 | 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        |     212500 | PA      | $212500.00     | 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        |     275000 | PA      | $275000.00     | 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      |
| Evolution 2026-pdp1  feb30                                           | Evolution 2026-pdp1  feb30                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   18120000 | PA      | $18120000.00   | 0.07%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  3 | On Loan: No      |
| Evolution 2026-pd  feb30                                             | Evolution 2026-pd  feb30                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5000000.00    | 0.02%             | 2030-02-15      | Fixed         | 10.05%                | No            |                  3 | On Loan: No      |
| Gemini Corp.                                                         | Gemini Corp.                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   22000000 | PA      | $22000000.00   | 0.09%             | 2029-02-20      | Fixed         | 10.50%                | No            |                  3 | On Loan: No      |
| ICITII                                                               | ICITII                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    2472394 | PA      | $1107261.69    | 0.00%             | 2033-01-31      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Oneslt                                                               | Oneslt                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   18893991 | PA      | $18893991.34   | 0.07%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| New Evhc Physical Equity                                             | New Evhc Physical Equity                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       3921 | NS      | $60285.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| P2                                                                   | P2                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   35000000 | PA      | $35000000.00   | 0.14%             | 2031-12-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FTF Funding LLC                                                      | FTF Funding LLC                                                                                  | CUSIP: N/A<br>LEI: 549300881VLD4ANNI662       | Long             | ABS-MBS          | CORP              | US        |    5054250 | PA      | $3664331.49    | 0.01%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Mallinckrodt plc                                                     | Mallinckrodt plc                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      15944 | NS      | $1598792.57    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Mallinckrodt plc                                                     | Mallinckrodt plc                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |  726472416 | NS      | $726.47        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Nmg Escrow                                                           | Nmg Escrow                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       1620 | NS      | $810.00        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Escrow Rite Aid                                                      | Escrow Rite Aid                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     354078 | PA      | $0.00          | 0.00%             | 2049-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HCFT                                                                 | HCFT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   28010470 | PA      | $27822799.85   | 0.11%             | 2027-01-13      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                   | Grene Energy Senio                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    1481977 | PA      | $1202475.99    | 0.00%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Renew                                                                | Renew                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  133729160 | PA      | $6352135.10    | 0.02%             | 2049-12-20      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| Incora Intermediate LLC                                              | Incora Intermediate LLC                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     112567 | NS      | $1259624.73    | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Ygrene Frn                                                           | Ygrene Frn                                                                                       | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |   10993304 | PA      | $11048270.52   | 0.04%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Rcfii Baml Frn                                                       | Rcfii Baml Frn                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   12438642 | PA      | $12392618.64   | 0.05%             | 2026-12-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Renew                                                                | Renew                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | JE        |  160625201 | PA      | $3614067.02    | 0.01%             | 2049-12-20      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| Acrc                                                                 | Acrc                                                                                             | CUSIP: N/A<br>LEI: 549300VGHLH24T0B8529       | Long             | DBT              | CORP              | GB        |   24000000 | PA      | $23491199.99   | 0.09%             | 2026-11-15      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                   | Grene Energy Senio                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    3595780 | PA      | $2917615.98    | 0.01%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Credit One Ltd.                                                      | Credit One Ltd.                                                                                  | CUSIP: N/A<br>LEI: 984500DAE0FFZ45C8093       | Long             | ABS-MBS          | CORP              | NG        |   30000000 | PA      | $30540000.00   | 0.12%             | 2029-02-25      | Fixed         | 6.47%                 | No            |                  3 | On Loan: No      |
| Retium-rcaf                                                          | Retium-rcaf                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    8620237 | PA      | $8588342.34    | 0.03%             | 2026-12-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Renew                                                                | Renew                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  134406248 | PA      | $5712265.54    | 0.02%             | 2049-12-20      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| Ygrene Energy Fund, Inc.                                             | Ygrene Energy Fund, Inc.                                                                         | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |   12649405 | PA      | $11929653.59   | 0.05%             | 2026-03-29      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| HPA Frn                                                              | HPA Frn                                                                                          | CUSIP: N/A<br>LEI: 254900GWIIN37QSW7Z86       | Long             | ABS-MBS          | CORP              | US        |    5645647 | PA      | $5611773.20    | 0.02%             | 2026-04-15      | Fixed         | 3.95%                 | No            |                  3 | On Loan: No      |
| Argentine Peso                                                       | Argentine Peso                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AR        |        112 | OU      | $0.08          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Australian Dollar                                                    | Australian Dollar                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AU        |        589 | OU      | $419.30        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Iraq                                                     | Republic of Iraq                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | IQ        |     950000 | PA      | $945250.00     | 0.00%             | 2028-01-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                                              | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1899270.38    | 0.01%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Republic of Paraguay                                                 | Republic of Paraguay                                                                             | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    4589000 | PA      | $4459085.41    | 0.02%             | 2048-03-13      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Republic of Paraguay                                                 | Republic of Paraguay                                                                             | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     129000 | PA      | $129028.38     | 0.00%             | 2026-04-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                               | Arab Republic of Egypt                                                                           | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    5800000 | PA      | $5539000.00    | 0.02%             | 2047-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                          | Hashemite Kingdom of Jordan                                                                      | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    4000000 | PA      | $3952000.00    | 0.02%             | 2047-10-10      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                          | Federal Republic of Nigeria                                                                      | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    4150000 | PA      | $4213536.50    | 0.02%             | 2027-11-28      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                               | Arab Republic of Egypt                                                                           | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    1400000 | PA      | $1467816.00    | 0.01%             | 2029-03-01      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                               | Arab Republic of Egypt                                                                           | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    2500000 | PA      | $2428900.00    | 0.01%             | 2049-03-01      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Paraguay Government International Bond                               | Republic of Paraguay                                                                             | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |   14281000 | PA      | $13481264.00   | 0.05%             | 2050-03-30      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    3398000 | PA      | $3326642.00    | 0.01%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                               | Arab Republic of Egypt                                                                           | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    1600000 | PA      | $1554000.00    | 0.01%             | 2031-02-16      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                               | Arab Republic of Egypt                                                                           | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    2500000 | PA      | $2508750.00    | 0.01%             | 2033-09-30      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                  | Republic of Ecuador                                                                              | CUSIP: 27927IAF0<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |   15556847 | PA      | $14115466.23   | 0.05%             | 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        |    6310666 | PA      | $5149564.04    | 0.02%             | 2040-07-31      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                          | Hashemite Kingdom of Jordan                                                                      | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    2500000 | PA      | $2513750.00    | 0.01%             | 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        |    4900000 | PA      | $5023725.00    | 0.02%             | 2032-05-29      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                               | Arab Republic of Egypt                                                                           | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    3600000 | PA      | $3519000.00    | 0.01%             | 2050-05-29      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                   | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3922000 | PA      | $3480662.63    | 0.01%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                   | Dominican Republic Government Bond                                                               | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    5243000 | PA      | $5347860.00    | 0.02%             | 2033-02-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Paraguay                                                 | Republic of Paraguay                                                                             | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    1400000 | PA      | $1456262.50    | 0.01%             | 2044-08-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                              | Romania Government Bond                                                                          | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    8293000 | PA      | $9784898.23    | 0.04%             | 2044-09-24      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Brazilian Real                                                       | Brazilian Real                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | BR        |          3 | OU      | $0.50          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Diversified Gas & Oil Corp.                                          | Diversified Gas & Oil Corp., Series FEB                                                          | CUSIP: N/A<br>LEI: 5493008O08WU7K5XC271       | Long             | DBT              | CORP              | US        |   12000000 | PA      | $11944136.16   | 0.05%             | 2029-04-09      | Fixed         | 9.75%                 | 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        |    8166000 | PA      | $8088423.00    | 0.03%             | 2033-06-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Colombian Peso                                                       | Colombian Peso                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CO        |      18718 | OU      | $4.99          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO                                                                 | EURO                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |       3237 | OU      | $3825.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Note                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      11969 | NC      | $3354522.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Hungarian Forint                                                     | Hungarian Forint                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | HU        |     135246 | OU      | $424.09        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SES SA                                                               | SES SA                                                                                           | CUSIP: N/A<br>LEI: 5493008JPA4HYMH1HX51       | Long             | EC               | CORP              | LU        |      70043 | NS      | $1055022.69    | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| New Mexican Pesos                                                    | New Mexican Pesos                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | MX        |      18402 | OU      | $1068.52       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Norwegian Krone                                                      | Norwegian Krone                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             |  | NO        |         -3 | OU      | $-0.30         | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New Zealand Dollar                                                   | New Zealand Dollar                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NZ        |        535 | OU      | $321.08        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Diversified Gas & Oil Corp.                                          | Diversified Gas & Oil Corp.                                                                      | CUSIP: N/A<br>LEI: 5493008O08WU7K5XC271       | Long             | DBT              | CORP              | US        |   54000000 | PA      | $52382453.22   | 0.20%             | 2029-04-09      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Peruvian New Sol                                                     | Peruvian New Sol                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | PE        |      79959 | OU      | $23832.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Romanian Leu                                                         | Romanian Leu                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | RO        |         26 | OU      | $6.07          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Russian Roubles                                                      | Russian Roubles                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | RU        |          0 | OU      | $0.00          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Turkish Lira                                                         | Turkish Lira                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | TR        |          0 | OU      | $0.00          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 2 Year Note                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       4772 | NC      | $1001810.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       7418 | NC      | $3639026.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bond                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       2658 | NC      | $2196617.35    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bond                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -22 | NC      | $-32177.79     | -0.00%            |  |  |  | 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        |       2919 | NC      | $3461583.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Ultra Bond                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       7235 | NC      | $7892975.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Ultra Bond                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -3 | NC      | $-5185.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ardagh Holdings SA                                                   | Ardagh Holdings SA                                                                               | CUSIP: 985923101<br>LEI: 6354006L1NWUUOPYX274 | Long             | EC               | CORP              | LU        |      68529 | NS      | $571877.93     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Tricolor Auto Securitization Trust                                   | Tricolor Auto Securitization Trust, Series 2022-1A, Class E                                      | CUSIP: 89616BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1043955 | PA      | $887361.90     | 0.00%             | 2027-08-16      | Fixed         | 7.79%                 | Yes           |                  3 | On Loan: No      |
| Sonangol Finance Ltd.                                                | Sonangol Finance Ltd.                                                                            | CUSIP: 83540CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | AO        |    4030000 | PA      | $3998364.50    | 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        |    4459000 | PA      | $4534803.00    | 0.02%             | 2039-01-29      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer